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The division of spoils in a booming industry

Popov, Alexander - 2022

Between 2000 and 2007, the gender gap in earnings in the US real estate sector increased, especially in local markets where house prices appreciated relatively more. Firm frictions and the presence of small children in the household do not explain the widening of the gender gap, while sorting on...

Persistent link: https://www.econbiz.de/10014278502

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - 2009

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

Persistent link: https://www.econbiz.de/10011605102

The Division of Spoils in a Booming Industry

Popov, Alexander - 2022

Persistent link: https://www.econbiz.de/10014078585

Estimating the full effect of a partially anticipated event: A market-based approach applied to the case of TLTROIII

Mosk, Benjamin; Vassallo, Danilo - 2024

This paper presents an event-study methodology that combines market data and survey-based probabilities to infer the full effect of a policy decision, as seen through the lens of financial markets. The market reaction to an event's outcome reflects its surprise or announcement effect, and...

Persistent link: https://www.econbiz.de/10015199444

Climate-linked bonds

Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2025

Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term...

Persistent link: https://www.econbiz.de/10015199518

Evaluating market risk from leveraged derivative exposures

Jukonis, Audrius - 2022

Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...

Persistent link: https://www.econbiz.de/10014278525

The time dimension of the links between loss given default and the macroeconomy

Konečný, Tomáš; Seidler, Jakub; Belyaeva, Aelita; … - 2017

Most studies focusing on the determinants of loss given default (LGD) have largely ignored possible lagged effects of the macroeconomy on LGD. We fill this gap by employing a wide set of macroeconomic covariates on a retail portfolio that represents 15% of the Czech consumer credit market over...

Persistent link: https://www.econbiz.de/10011667201

Variation margins, fire sales, and information-constrained optimality

Biais, Bruno; Heider, Florian; Hoerova, Marie - 2018

Protection buyers use derivatives to share risk with protection sellers, whose assets are only imperfectly pledgeable because of moral hazard. To mitigate moral hazard, privately optimal derivative contracts involve variation margins. When margins are called, protection sellers must liquidate...

Persistent link: https://www.econbiz.de/10012142035

The functional form of yield curves

Brousseau, Vincent - 2002

. This specific functional form is predicted by a particular arbitrage pricing model. The paper also examines the possible …

Persistent link: https://www.econbiz.de/10011604194

Time variation in the tail behaviour of bunds futures returns

Upper, Christian; Werner, Thomas - 2002

The present paper focuses on three questions: (i) Are heavy tails a relevant feature of the distribution of BUND futures returns? (ii) Is the tail behaviour constant over time? (iii) If it is not, can we use the tail index as an indicator for financial market risk and does it add value in...

Persistent link: https://www.econbiz.de/10011604245