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Deconstructing ESG Scores : How to Invest with Your Own Criteria?

Ehlers, Torsten; Elsenhuber, Ulrike; Jegarasasingam, … - 2023

Environmental, Social, and Governance (ESG) scores are a key tool for asset managers in designing and implementing ESG investment strategies. They, however, amalgamate a broad range of fundamentally different factors, creating ambiguity for investors as to the underlying drivers of higher or...

Persistent link: https://www.econbiz.de/10014351359

Delegated Portfolio Management, Benchmarking, and the Effects on Financial Markets

Igan, Deniz - 2015

We analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark - a common solution to the agency problem in delegated portfolio management. In the presence of such relative-performance-based objectives, investors have...

Persistent link: https://www.econbiz.de/10013013820

Crises and Liquidity : Evidence and Interpretation

Detragiache, Enrica - 2021

In a large panel of countries, we find that less liquid countries are more likely to default on their external debt. Specifically, for given total external debt, the probability of a crisis increases with the proportion of short-term debt and debt service coming due and decreases with foreign...

Persistent link: https://www.econbiz.de/10013212028

Sovereign Eurobond Liquidity and Yields

Hardy, Daniel - 2022

Market liquidity is of value to both investors and issuers of securities, and is therefore a crucial factor in asset … pricing. For the important asset class of Eurobonds, significant feedback from liquidity to pricing is established, and it is … shown that bid-ask spreads (a proxy for market liquidity) and yields are closely related to bond characteristics such as …

Persistent link: https://www.econbiz.de/10013406096

Banking and Trading

Ratnovski, Lev - 2012

We study the effects of a bank's engagement in trading. Traditional banking is relationship-based: not scalable, long-term oriented, with high implicit capital, and low risk (thanks to the law of large numbers). Trading is transactions-based: scalable, shortterm, capital constrained, and with...

Persistent link: https://www.econbiz.de/10013098572

Assessing the Cost of Financial Regulation

Elliott, Douglas - 2012

States. Long-term cost estimates are provided for Basel III capital and liquidity requirements, derivatives reforms, and …

Persistent link: https://www.econbiz.de/10013099136

Appraising Credit Ratings : Does the CAP Fit Better than the ROC?

Irwin, R. John - 2012

ROC and CAP analysis are alternative methods for evaluating a wide range of diagnostic systems, including assessments of credit risk. ROC analysis is widely used in many fields, but in finance CAP analysis is more common. We compare the two methods, using as an illustration the ability of the...

Persistent link: https://www.econbiz.de/10013102283

Rating Through-the-Cycle : What Does the Concept Imply for Rating Stability and Accuracy?

Kiff, John - 2013

Credit rating agencies face a difficult trade-off between delivering both accurate and stable ratings. In particular, its users have consistently expressed a preference for rating stability, driven by the transactions costs induced by trading when ratings change frequently. Rating agencies...

Persistent link: https://www.econbiz.de/10013084470

Capital Requirements for Over-the-Counter Derivatives Central Counterparties

Lin, Li - 2013

The central counterparties dominating the market for the clearing of over-the-counter interest rate and credit derivatives are globally systemic. Employing methodologies similar to the calculation of banks' capital requirements against trading book exposures, this paper assesses the sensitivity...

Persistent link: https://www.econbiz.de/10013085978

Capital Requirements for Over-the-Counter Derivatives Central Counterparties

Surti, Jay - 2013

Persistent link: https://www.econbiz.de/10013086881

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