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A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions

Alvarez, Luis H. R.; Rakkolainen, Teppo A. - 2006

We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a connection between the considered problem and a stopping...

Persistent link: https://www.econbiz.de/10012502963

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855295

Unleashing animal spirits : self-control and overpricing in experimental asset markets

Kocher, Martin; Lucks, Konstantin; Schindler, David - 2018

One explanation for overpricing on asset markets is a lack of traders' self-control. Self-control is the individual capacity to override or inhibit undesired impulses that may drive prices. We implement the first experiment to address the causal relationship between self-control abilities and...

Persistent link: https://www.econbiz.de/10011899248

Collateral requirements and asset prices

Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2013

Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing collateral...

Persistent link: https://www.econbiz.de/10010203684

Performance of maturity transformation strategies

Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020

This paper analyses theperformance ofmaturity transformation strategiesduring a period of high and low interest rates. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where long-term assets are financed by short-term...

Persistent link: https://www.econbiz.de/10012313784

Scarcity effects of QE : a transaction-level analysis in the Bund market

Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017

This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the Public Sector Purchase Program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...

Persistent link: https://www.econbiz.de/10011632212

Modeling the Duration of Patent Examination at theEuropean Patent Office

Harhoff, Dietmar; Wagner, Stefan - Universität <München> / Fakultät für Betriebswirtschaft - 2006

We analyze the duration of the patent examination process at the EuropeanPatent Office (EPO). Our data contain information related to the patent’seconomic and technical relevance, EPO capacity and workload as well as novelcitation measures which are derived from the EPO’s search reports. In...

Persistent link: https://www.econbiz.de/10009418841

Credit risk stress testing and copulas : is the Gaussian copula better than its reputation?

Koziol, Philipp; Schell, Carmen; Eckhardt, Michael - 2015

that the use of a Gaussian copula in credit risk stress testing should not by default be dismissed in favor of a heavy …-tailed copula which is widely recommended in the finance literature. Gaussian copula would be the appropriate choice for estimating … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …

Persistent link: https://www.econbiz.de/10011419593

M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements

Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017

M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....

Persistent link: https://www.econbiz.de/10011663208

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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