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Capital Markets- Utility for Micro-finance
Dash, Debasis Kumar - Volkswirtschaftliche Fakultät, … - 2010
traditional lenders to capital markets. This can primarily be achieved through securitization and CDOs. Both have different …
Persistent link: https://www.econbiz.de/10008765095
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Bank Capital, Securitization and Credit Risk: an Empirical Evidence
Dionne, Georges; Harchaoui, Tarek - Volkswirtschaftliche Fakultät, … - 2007
, securitization and bank risk-taking in a context of the rapid growth in off-balance-sheet activities. The data come from the Canadian … financial sector. Evidence from the 1988-1998 period indicates that: (a) securitization has a negative statistical link with … securitization and bank risk-taking. Profit-risk measure is more sensitive than loss-risk measure to the variation in securitization …
Persistent link: https://www.econbiz.de/10011110741
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Get rid of banks and build up a modern financial world
Lenz, Rainer - Volkswirtschaftliche Fakultät, … - 2011
The financial crisis has revealed fatal institutional and structural deficits at the finance market. Politics has reacted to the financial crisis with a sea of legal bills and regulations. But all regulating efforts are merely system-imminent reparation measures and do not solve the core...
Persistent link: https://www.econbiz.de/10009322661
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Moody’s credit ratings and the stock market performance of Portuguese rated firms
Pacheco, Luís - Volkswirtschaftliche Fakultät, … - 2011
Never has the issue of sovereign credit ratings attracted such an interest by policy and opinion makers, bankers and journalists, or even the public opinion, as witnessed in the last couple of years. In spite of being accused of contributing to the instability of financial markets, credit rating...
Persistent link: https://www.econbiz.de/10009647328
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Optimal Portfolio Liquidation for CARA Investors
Schied, Alexander; Schöneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2007
We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...
Persistent link: https://www.econbiz.de/10005835745
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Rating Inflation versus Deflation: On Procyclical Credit Ratings
Chen, Yongmin; Gu, Dingwei; Yao, Zhiyong - Volkswirtschaftliche Fakultät, … - 2013
Credit rating agencies play a crucial role in financial markets. There are two competing views regarding their behavior: some argue that they engage in rating inflation, while others suggest that they deflate ratings. This article offers a rationale that reconciles the two opposite arguments. We...
Persistent link: https://www.econbiz.de/10011113295
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An empirical investigation of the arbitrage pricing theory in a frontier stock market: evidence from Bangladesh
FARUQUE, MUHAMMAD U - Volkswirtschaftliche Fakultät, … - 2011
Although the existing literature of Arbitrage Pricing Theory (APT) on different categories of stock markets is vast, it is non-existent in the case of frontier stock markets (defined as very small capital markets). This paper fills this gap by investigating how APT performs in a frontier stock...
Persistent link: https://www.econbiz.de/10011114102
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Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
Schied, Alexander; Schoeneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2008
We consider the infinite-horizon optimal portfolio liquidation problem for a von Neumann-Morgenstern investor in the liquidity model of Almgren (2003). Using a stochastic control approach, we characterize the value function and the optimal strategy as classical solutions of nonlinear parabolic...
Persistent link: https://www.econbiz.de/10005623263
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Restructuring the Banking System to Improve Safety and Soundness
Morris, Charles; Hoenig, Thomas - Volkswirtschaftliche Fakultät, … - 2011
• This paper provides a specific proposal to limit the financial activities that are covered and thus subsidized by the government safety net in order to protect the financial system and the economy. The U.S. safety net, which consists of central bank loans to solvent but liquidity strained...
Persistent link: https://www.econbiz.de/10011259288
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A Tale of Two Eurozones: Banks’s Funding, Sovereign Risk & Unconventional Monetary Policies
Fulli-Lemaire, Nicolas - Volkswirtschaftliche Fakultät, … - 2013
The admission by the Greek government on October 18, 2009, of large-scale accounting fraud in its national accounts sparked an unprecedented sovereign debt crisis that rapidly spread to the Eurozone’s weakest member states. As the crisis increasingly drove a wedge between a seemingly resilient...
Persistent link: https://www.econbiz.de/10011259850