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Credit risk transfer, hedge fundsand the supply of liquidity

Zimmermann, Heinz - Wirtschaftswissenschaftliches Zentrum <Basel> - 2007

perspective of global liquidity. The CRT market is enormouslygrowing and exhibits major structural shifts in terms of buyers and … sellers ofprotection. I try to address these issues from an options perspective by suggestingthat liquidity providing can be … se, as oftenclaimed, which causes liquidity related systemic risk, but rather the potential coordinationfailures of the …

Persistent link: https://www.econbiz.de/10005867875

Optimierung von Liquiditätsreserven undVerrechnung der entstehenden Kosten

Pohl, Michael - Wirtschaftswissenschaftliches Zentrum <Basel> - 2008

Ausschuss durch seineForderungen in Form der „Sound Practices for Managing Liquidity in Banking Organisations”und die nationalen … demInstrumentarium des Liquidity at Risk auf, welcher den mit vorgegebener Wahrscheinlichkeitmaximal zu erwartenden Liquiditätsbedarf …

Persistent link: https://www.econbiz.de/10005868114

Corporate Cash Holdings:Evidence from Switzerland

Drobetz, Wolfgang; Grüninger, Matthias C. - Wirtschaftswissenschaftliches Zentrum <Basel> - 2006

-linear relationship between the leverage ratio and liquidity holdings. Dividendpayments and operating cash flows are positively related to …

Persistent link: https://www.econbiz.de/10005868195

Intelligible Factors for the Yield Curve

Lengwiler, Yvan; Lenz, Carlos - Wirtschaftswissenschaftliches Zentrum <Basel>; … - 2007

We construct a factor model of the yield curve and specify time series processes forthese factors, so that the innovations are mutually orthogonal. At the same time,the factors are constructed in such a way that they assume clear, intuitive interpretations.The resulting “intelligible...

Persistent link: https://www.econbiz.de/10005867867

The Analysis of Forward-looking Monetary Policy in a SVAR Framework

Kugler, Peter; Jordan, Thomas J.; Savioz, Marcel R.; … - Wirtschaftswissenschaftliches Zentrum <Basel> - 2005

This paper analyzes forward-looking monetary policy rules in structural VAR’s. First, an approach for modeling a monetary policy which aims at a strict medium term inflation or output growth target is developed. Second, the ex ante inflation-output-growth volatility trade-off for a...

Persistent link: https://www.econbiz.de/10005867938

GDP data revisions and forward-looking monetary policy in Switzerland

Kugler, Peter; Jordan, Thomas; Savioz, Marcel R.; Lenz, … - Wirtschaftswissenschaftliches Zentrum <Basel>; …

This paper analyzes forward-looking rules for Swiss monetary policy in a small structural VAR model consisting of four variables taking into account data revisions for GDP. First, the paper develops an analytical method to analyze the effect of data revision errors in GDP on the ex ante or...

Persistent link: https://www.econbiz.de/10005867940