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Linking credit risk premia to the equity premium
Berg, Tobias; Kaserer, Christoph - 2008
estimation method which is based on credit valuations. The main idea is straigtforward: We use structural models to link equity … valuations to credit valuations. Based on a simple Merton model, we derive an estimator for the market Sharpe ratio. This … appr. 40%. Adjusting for taxes and other parts of the credit spread not attributable to credit risk yields an average …
Persistent link: https://www.econbiz.de/10010305726
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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10010500191
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How Banks Construct and Manage Risk : A Sociological Study of Small Firm Lending in Britain and Germany
Quack, Sigrid - 2012
This paper analyses the role of banks in financing SMEs in Britain and Germany. It applies a sociological institutionalist approach to understand how banks construct and manage risk, relating to SME business. The empirical analysis is based on the results of a comparative survey of a sample of...
Persistent link: https://www.econbiz.de/10013102832
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Disclosing the undisclosed: Commercial paper as hidden liquidity suffers
Klingler, Sven; Syrstad, Olav - 2021
Using new transaction-level data for non-financial commercial paper (CP) in the U.S., we show that companies systematically reduce their outstanding short-term debt on quarterly and annual disclosure dates. Constraints on CP lending supply cannot explain this pattern. Instead, companies optimize...
Persistent link: https://www.econbiz.de/10013373826
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Real and Financial Tradeoffs in Non-Listed Firms: Cash Flow Sensitivities and How They Change with Shocks to Firms' Main-Bank
Ostergaard, Charlotte; Sasson, Amir; Sørensen, Bent E. - 2010
We study how non-listed firms trade off financial, real, and distributive uses of cash. We show that firms' marginal value of cash (MVC) affects the mix of external and internal finance used to absorb fluctuations in cash flows; in particular, high-MVC firms employ substantially more external...
Persistent link: https://www.econbiz.de/10012143761
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Measuring Market Liquidity Risk - Which Model Works Best?
Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009
Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...
Persistent link: https://www.econbiz.de/10005870304
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Accounting for Non-Normality in Liquidity Risk
Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009
It has been frequently discussed, that returns are not normally distributed. Liquidity costs, measuring market liquidity, are similarly non-normally distributed displaying fat tails and skewness. Liquidity risk models either ignore this fact or use the historical distribution to empirically...
Persistent link: https://www.econbiz.de/10005870319
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Reforming agricultural development banks (AgDBs)
Seibel, Hans Dieter - 2007
Persistent link: https://www.econbiz.de/10010300080
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The multilateral response to the global crisis: Rationale, modalities, and feasibility
Fernández-Arias, Eduardo; Powell, Andrew; Rebucci, … - 2009
The paper reviews the case for a strong multilateral response to the global crisis in emerging markets (EMs). It discusses modalities and feasibility of intervention and its associated risks, depending on country circumstances of fiscal space and liquidity needs. The specific role of...
Persistent link: https://www.econbiz.de/10010278213
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What do you think of the IDB? Conclusions from an opinion survey of Latin American leaders about multilateral organizations
Bassi, Marina - 2007
This document analyzes the results of a Web-based survey conducted by the Research Department to assess how the IDB is viewed by political and corporate leaders in the region. The questionnaire included 31 questions that compared the IDB to the IMF, World Bank, CAF, BCIE and CDB. The sample...
Persistent link: https://www.econbiz.de/10010278232