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The optimal mix of business entities : the value of partial limited liability
Kraizberg, Elli - 1989
Persistent link: https://www.econbiz.de/10000769114
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Portfolio liquidation under factor uncertainty
Horst, Ulrich; Xia, Xiaonyu; Zhou, Chao - 2021
We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE with superlinear gradient, monotone generator and singular...
Persistent link: https://www.econbiz.de/10012500352
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Redemptions and asset liquidations in corporate bond funds
Dötz, Niko; Weth, Mark - 2019
Mutual funds' exposure to corporate bonds has brought concerns about risks arising from liquidity transformation back … to the fore. With a focus on fund asset liquidity and investors, this paper explores the flow-performance relationship … and the liquidity management of funds in the presence of net redemptions. We highlight the response of fund liquidity …
Persistent link: https://www.econbiz.de/10011995042
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Optimal trade execution under endogenous order flow
Chen, Ying; Hoang Hai Tran; Horst, Ulrich - 2023
We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk...
Persistent link: https://www.econbiz.de/10014476807
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Calculating trading book capital : is risk separation appropriate?
Raupach, Peter - 2015
Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic capital. Although it is known that joint market...
Persistent link: https://www.econbiz.de/10011299075
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Investment risk appraisal
Serguieva, A.; Hunter, J. - 2000
Persistent link: https://www.econbiz.de/10001572628
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Sensitivity analysis of values at risk
Gouriéroux, Christian; Laurent, Jean-Paul; Scaillet, … - 2000
Persistent link: https://www.econbiz.de/10001456589
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Model and estimation risk in credit risk stress tests
Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019
This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...
Persistent link: https://www.econbiz.de/10011981523
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Vulnerable asset management? : the case of mutual funds
Fricke, Christoph; Fricke, Daniel - 2017
funds’ vulnerability to systemic asset liquidations, highlighting the importance of funds’ liquidity transformation …. Therefore, regulators should monitor structural vulnerabilities in the fund sector arising through liquidity transformation. …
Persistent link: https://www.econbiz.de/10011740280
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Connected funds
Fricke, Daniel; Wilke, Hannes - 2020
Investment funds are highly connected with each other, but also with the broader financial system. In this paper, we quantify potential vulnerabilities arising from funds' connectedness. While previous work exclusively focused on indirect connections (overlapping asset portfolios) between...
Persistent link: https://www.econbiz.de/10012264505