Narrow search
Showing 1 - 10 of 458
Cover Image
Basel II, External Ratings and Adverse Selection
Akhtar, S.; Bannier, C.; Tyrell, M.; Elizalde, A.; Janda, K. - Volkswirtschaftliche Fakultät, … - 2008
ratings in the Standardized Approach in Basel II. Furthermore it will examine the problem of adverse selection which appears … in Basel II as a result from the proposal for the use of external ratings in determining the risk weights in the …
Persistent link: https://www.econbiz.de/10005836225
Cover Image
The predictive accuracy of credit ratings: Measurement and statistical inference
Orth, Walter - Volkswirtschaftliche Fakultät, … - 2010
Credit ratings are ordinal predictions for the default risk of an obligor. To evaluate the accuracy of such predictions … dataset. All procedures are illustrated in the empirical section using a dataset of S\&P Long Term Credit Ratings. …
Persistent link: https://www.econbiz.de/10009643208
Cover Image
Modeling Russian Banks Ratings
Peresetsky, А. А.; Karminsky, A. M.; van Soest, A. H. O. - Volkswirtschaftliche Fakultät, … - 2004
The paper presents econometric analysis of the of Russian banks ratings, and the experts’ opinion based on a survey …, designed in a framework of the project. From the ratings and the survey we derived the factors that in the experts’ opinion and … in the rating agencies’ opinion are most important for bank reliability. The models of the ratings and experts’ opinions …
Persistent link: https://www.econbiz.de/10009371822
Cover Image
Global financial crisis and its impact on the financial system of Kosovo
Ramosaj, Berim - Volkswirtschaftliche Fakultät, … - 2010
The Kosovo’s Financial Sector is one of the newest financial sectors in Eastern Europe whose developments began in early 2000. Kosovo's banking sector consists of 8 privately owned commercial banks, the insurance companies which make up 5% of total financial sector assets by 10 insurance...
Persistent link: https://www.econbiz.de/10008728057
Cover Image
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
Cover Image
The impact of institutional investors and increasingly sophisticated financial instruments on risk and leverage
Bojańczyk, Mirosław - Volkswirtschaftliche Fakultät, … - 2010
The volatility of capital markets is often blamed on the activities of institutional investors, or an excessive amount of financial instruments. It must be remembered that there are different institutional investors. Some of them play a very useful role without having a negative impact on the...
Persistent link: https://www.econbiz.de/10008532169
Cover Image
On the substitution of institutions and finance in investment
Asongu, Simplice - Volkswirtschaftliche Fakultät, … - 2014
The Ali (2013, EB) findings on the nexuses among institutions, finance and investment could have an important influence on policy and academic debates. This paper relaxes his hypotheses on the conception, definition and measurement of finance and institutions because they are less realistic to...
Persistent link: https://www.econbiz.de/10011108883
Cover Image
Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization
Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates sensitivity of the VaR models when return series of stocks and stock indices are not normally distributed. It also studies the effect of market capitalization of stocks and stock indices on their Value at risk and Conditional VaR estimation. Three different market...
Persistent link: https://www.econbiz.de/10011109117
Cover Image
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
Cover Image
An Econometric Analysis of Impact of Public Issue on Economic Development in India during 1989-2009
Das, Tapas; Das, Seshanwita - Volkswirtschaftliche Fakultät, … - 2012
This paper examines the empirical association between public issue and economic development (GDP) during the period 1989-2009. With help of log-lin regression model, we found that public issue had a positive significant impact on India’s economic development during this period, which survives...
Persistent link: https://www.econbiz.de/10011258279