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Empirical Analysis and Trading Strategies for Defaulted Debt Securities with Models for Risk and Investment Management
Jacobs, Jr., Michael - In: Journal of Financial Transformation 32 (2011), pp. 59-74
. Returns are also increasing for issuers having superior ratings at origination, more leverage at default, higher cumulative … abnormal returns on equity prior to default, or greater market implied loss severity at default. Considering systematic factors …, returns on defaulted debt are positively related to equity market indices and industry default rates. On the other hand …
Persistent link: https://www.econbiz.de/10009291626
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Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
, CDO, CLO, etc.). I argue that a proper 'dynamic' modeling of systemic risk is crucial for gauging the exposure to default …
Persistent link: https://www.econbiz.de/10013128337
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Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
, CDO, CLO, etc.). I argue that a proper 'dynamic' modeling of systemic risk is crucial for gauging the exposure to default …
Persistent link: https://www.econbiz.de/10013131934
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Public guarantees and credit additionality during the Covid-19 pandemic
Cascarino, Giuseppe; Gallo, Raffaele; Palazzo, Francesco; … - 2022
We study the public loan guarantee programs implemented in Italy in the aftermath of the Covid-19 pandemic. Guided by a theoretical model and relying on a unique loan-level dataset covering the period between December 2019 and March 2021, including both guaranteed and non-guaranteed loans, we...
Persistent link: https://www.econbiz.de/10013288934
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Optimizing risk allocation for CCPs under the European market infrastructure regulation
Zepeda, Rodrigo - In: Journal of Financial Transformation 37 (2013), pp. 39-52
clearing offers significant benefits such as reduced systemic risk, more effective default management, and mitigation of …
Persistent link: https://www.econbiz.de/10010991640
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Understanding business economics for investment managers
Ashkenazy, Irene; Mackris, Frank - In: Journal of Financial Transformation 36 (2013), pp. 18-25
The complex dynamics of world financial markets yield inherent uncertainty and the prospect of periods of enhanced volatility. The turbulent global economic and regulatory environment of the past few years has certainly illustrated this reality. As investment managers interpret clients’...
Persistent link: https://www.econbiz.de/10010991651
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Unwrapping Fund Expenses: What are You Paying For?
Jacobsen, Brian - In: Journal of Financial Transformation 30 (2010), pp. 83-88
It has become almost conventional wisdom that investors should avoid funds with high expense ratios. Like many nuggets of conventional wisdom, there is some truth, but many exceptions: some of the best funds come at the price of higher expense ratios. Financial planners need this type of...
Persistent link: https://www.econbiz.de/10008751494
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Preventing the Next Great Meltdown
Levine, David - In: Journal of Financial Transformation 30 (2010), pp. 95-104
innovation increased. The two instruments that produced the Great Meltdown of 2008 - subprime mortgages and credit default swaps …
Persistent link: https://www.econbiz.de/10008751495
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Optimal business model for financial institutions under post-crisis regulatory environment
Dehnad, Kosrow; Dehnad, Darius - In: Journal of Financial Transformation 36 (2013), pp. 49-54
Dodd-Frank Wall Street Reform regulations and other postcrisis regulations and guidelines have put enormous pressure on financial institutions to optimize the use of their scarce capital and to improve their return on equity (ROE) which has been significantly compressed compared to historical...
Persistent link: https://www.econbiz.de/10010840605
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Stress testing credit risk portfolios
Jacobs Jr, Michael - In: Journal of Financial Transformation 37 (2013), pp. 53-76
In this study we survey practices and supervisory expectations for stress testing (ST) in a credit risk framework for banking book exposures. We introduce and motivate ST; and discuss the function, supervisory requirements and expectations, credit risk parameters, interpretation results with...
Persistent link: https://www.econbiz.de/10010840610