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Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001 … and Italy less closely linked to the German market. Fourth, overall dependencies are quite symmetric, in the sense that … grosser Kursschwankungen anhand von täglichen Daten der Aktienmarktindices für Deutschland, Großbitannien, Frankreich, die …

Persistent link: https://www.econbiz.de/10011431447

Asset prices in taylor rules : specification, estimation, and policy implications for the ECB

Siklos, Pierre L. (contributor); Werner, Thomas (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002235268

Measuring business sector concentration by an infection model

Düllmann, Klaus (contributor) - 2006

Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can substantially increase the value-at-risk (VaR). The purpose of this paper is to analyze whether a tractable infection modelʺ can provide a meaningful estimate of the impact of...

Persistent link: https://www.econbiz.de/10003326735

Real-time macroeconomic data and ex ante predictability of stock returns

Döpke, Jörg (contributor); Hartmann, Daniel (contributor); … - 2006

We report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised …

Persistent link: https://www.econbiz.de/10003304970

Forecasting stock market volatility with macroeconomic variables in real time

Döpke, Jörg (contributor); Hartmann, Daniel (contributor); … - 2006

used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We …

Persistent link: https://www.econbiz.de/10003315444

Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach

Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - 2009

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...

Persistent link: https://www.econbiz.de/10003846947

Do specialization benefits outweigh concentration risks in credit portfolios of German banks?

Böve, Rolf; Düllmann, Klaus; Pfingsten, Andreas - 2010

Lending specialization on certain industry sectors can have opposing effects on monitoring (including screening) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if monitoring abilities of German cooperative banks and savings...

Persistent link: https://www.econbiz.de/10008701994

Sector concentration in loan portfolios and economic capital

Düllmann, Klaus (contributor); … - 2006

The purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a multi-factor asset value model for...

Persistent link: https://www.econbiz.de/10003391659

How safe was the "safe haven"? : financial market liquidity during the 1998 turbulences

Upper, Christian - 2000

bonds in Germany. This feature is particularly attractive for the bond market, where OTC transactions account for most … Transaktion dieser vier Anleihen in Deutschland umfasst. Dies ist besonders für Arbeiten über den Rentenmarkt von großem Interesse …

Persistent link: https://www.econbiz.de/10011418740

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10011431370