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A value at risk analysis of credit default swaps

Raunig, Burkhard; Scheicher, Martin - 2008

We investigate the risk of holding credit default swaps (CDS) in the trading book and compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity using a sample of CDS stock price pairs for 86 actively traded firms over the period from March 2003 to...

Persistent link: https://www.econbiz.de/10003825863

Investors with too many options?

Dorn, Daniel - 2010

During the last decade, markets for covered warrants (bank-issued options) have flourished in Europe and Asia. In these … trades in call options on the German DAX index, this paper documents substantial price dispersion across securities that are … close substitutes. Moreover, investors generally fail to identify attractively priced options. The results suggest that the …

Persistent link: https://www.econbiz.de/10003973343

Detecting and interpreting financial stress in the euro area

Grimaldi, Marianna - 2010

There is a need to find better models and indicators for large disruptive events, not least in order to be more prepared and mitigate their effects. In this paper we take a step in this direction and discuss the performance of a financial stress indicator with a specific focus on the euro area....

Persistent link: https://www.econbiz.de/10003983636

Finance and carbon emissions

Haas, Ralph de; Popov, Alexander - 2019

We study the relation between the structure of nancial systems and carbon emissions in a large panel of countries and industries over the period 1990-2013. We find that for given levels of economic and financial development and environmental regulation, CO2 emissions per capita are lower in...

Persistent link: https://www.econbiz.de/10012104466

Fund fragility : the role of investor base

Allaire, Nolwenn; Breckenfelder, Johannes; Hoerova, Marie - 2023

Using security-by-security data on investor holdings in the euro area, we study run dynamics across different fund-shares of the same fund during the unprecedented liquidity crisis in March 2020. For an average bond or equity mutual fund-share, households, other euro area funds, and the foreign...

Persistent link: https://www.econbiz.de/10014482949