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A new approach to modelling banks' equity volatility: Adding time-to-maturity jumps
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2017
We add discrete jumps in the time-to-maturity of a firm's debt to the model of Engle and Siriwardane (2015), such that … changes in equity volatility can be explained by the volatility of the firm's assets, its market leverage and investors …' perception of the time-to-maturity of the firm's debt. For banks a shortening of the time-to-maturity can be interpreted as …
Persistent link: https://www.econbiz.de/10012059465
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The information content in contingent convertible bond prices
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2017
Credit institutions are to an increasing extent using Contingent Convertible Bonds (CoCos) to meet part of their capital requirements, which could suggest that the market for CoCos contains useful information on the robustness of the issuer. This paper gives a thorough introduction to CoCos -...
Persistent link: https://www.econbiz.de/10012059469
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Systemic risk in Danish banks: Implementing SRISK in a Danish context
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2016
The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk in Danish banks and the Danish financial sector as a whole for the period 2005-15. The systemic risk contribution for a bank is measured as its propensity to be undercapitalized...
Persistent link: https://www.econbiz.de/10011754962
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Systemic risk in Danish banks: Implementing SRISK in a Danish context
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2016
The market-based SRISK measure introduced in Brownlees and Engle (2015) is used to measure the level of systemic risk in Danish banks for the period 2005-15. We find that SRISK was a very good predictor of which banks that needed public capital injections during the financial crisis of 2007-09....
Persistent link: https://www.econbiz.de/10011439967
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The information content in contingent convertible bond prices
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2017
Credit institutions are to an increasing extent using Contingent Convertible Bonds (CoCos) to meet part of their capital requirements, which could suggest that the market for CoCos contains useful information on the robustness of the issuer. This paper gives a thorough introduction to CoCos -...
Persistent link: https://www.econbiz.de/10011761303
Cover Image
A new approach to modelling banks' equity volatility : adding time-to-maturity jumps
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2017
We add discrete jumps in the time-to-maturity of a firm's debt to the model of Engle and Siriwardane (2015), such that … changes in equity volatility can be explained by the volatility of the firm's assets, its market leverage and investors …' perception of the time-to-maturity of the firm's debt. For banks a shortening of the time-to-maturity can be interpreted as …
Persistent link: https://www.econbiz.de/10011740702