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Measuring and stress-testing market-implied bank capital

Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022

We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of … risk of banks with a low market capitalization. We argue that this adjusted measure of capital is the relevant market …-implied capital measure for policy makers. We propose an econometric model for the combined simulation of equity and CDS prices, which …

Persistent link: https://www.econbiz.de/10013168743

Measuring and stress-testing market-implied bank capital

Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022

Persistent link: https://www.econbiz.de/10012815680

Modélisation du prix des actifs financiers

Jondeau, Eric; Nicolaï, Jean-Paul - 1993

Persistent link: https://www.econbiz.de/10000871284

Reading PIBOR futures options smiles : the 1997 snap election

Coutant, Sophie; Jondeau, Eric; Rockinger, Michael - In: Journal of banking & finance 25 (2001) 11, pp. 1957-1987

Persistent link: https://www.econbiz.de/10001617901

Conditional volatility, skewness, and kurtosis : existence and persistence

Jondeau, Eric; Rockinger, Michael - 2000

Persistent link: https://www.econbiz.de/10001534321

Conditional volatility, skewness and kurtosis : existence and persistence

Jondeau, Eric; Rockinger, Michael - 2000

Persistent link: https://www.econbiz.de/10001526562

Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements

Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1699-1737

Persistent link: https://www.econbiz.de/10001755410

Long-Run Causality, with an Application to International Links between Long-Term Interest Rates

Bruneau, Catherine - 2011

In this paper we give a precise definition of long-run causality in a multivariate non-stationary, possibly cointegrated, framework. A variable is said to be causal for another in the long run if knowledge of the past of the former improves long-run predictions of the latter. In a VAR framework,...

Persistent link: https://www.econbiz.de/10013131871

Interest Rate Transmission and Volatility Transmission along the Yield Curve

Avouyi-Dovi, Sanvi - 2011

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which take into account moste of the usual features of financial data (non-stationarity,...

Persistent link: https://www.econbiz.de/10013131874

Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence

Jondeau, Eric - 2010

Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a condi-tional...

Persistent link: https://www.econbiz.de/10013134839