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When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia

Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010

equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …

Persistent link: https://www.econbiz.de/10009305103

Demokratie in Afrika –Eine wirtschaftsethische Stellungnahmezur Initiative „New Partnership forAfrica’s Development“ (NePAD)

Voigt, Cora; Pies, Ingo - Wittenberg-Zentrum für Globale Ethik - 2004

Die internationale Gemeinschaft unternimmt seit Jahren erhebliche Anstrengungen, umEntwicklungs- und Schwellenländer auf einen stabilen Wachstumspfad zu führen. Dabei istman zunehmend zu der Erkenntnis gelangt, dass ein wesentlicher Schwerpunkt der Entwicklungszusammenarbeitauf die...

Persistent link: https://www.econbiz.de/10005867574

Are Correlations Constant Over Time? Application of the CC-TRIGt-test to ReturnSeries from Different Asset Classes.

Fischer, Matthias - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

A new test for constant correlation is proposed. Based on the bivariate Student-t distribution, this test is derived as … & Rouwenhorst, 2005) specify the unknown correlations as piecewise constant, our model-setup for the correlation coefficient is …

Persistent link: https://www.econbiz.de/10005861181

Modelling Volatilities and Conditional Correlations inFutures Markets with a Multivariate t Distribution

Pesaran, Bahram; Pesaran, M. Hashem - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation(DCC) model proposed by …

Persistent link: https://www.econbiz.de/10005862589

Stress testing German banks in adownturn in the automobile industry

Düllmann, Klaus; Erdelmeier, Martin - Volkswirtschaftliches Forschungszentrum <Frankfurt, Main> - 2009

In this paper, we measure the impact of a downturn in the automobile industry on thesolvency of 28 large German banks. The choice of the stressed sector is motivated by theimportant role which the automobile industry plays in the German economy, not the leastbecause of its close ties to other...

Persistent link: https://www.econbiz.de/10005866278

Estimating asset correlations fromstock prices or default rates –which method is superior?

Düllmann, Klaus; Küll, Jonathan; Kunisch, Michael - Deutsche Bundesbank <Frankfurt, Main> / … - 2008

institutions. By means of a simulation study, we explore the hypothesis that differencesin the correlation estimates are due to a … substantial downward bias characteristicof estimates based on default rates. Our results suggest that correlation estimates … explain the dierences in correlation estimates. Furthermore, ourresults help to quantify the estimation error of asset …

Persistent link: https://www.econbiz.de/10005866366

A Note on the Hansen-Jagannathan Volatility Bounds

Rey, David Michael; Seiler, Daniel - 2001

Hansen/Jagannathan (1991) show how to use security market data to restrict the admissible region for means and standards deviations of intertemporal marginal rates of substitution of consumers. They als characterise the duality betwenn the mean-standard deviation frontier for valid stochastic...

Persistent link: https://www.econbiz.de/10005866751

The Empirical Relation between CreditQuality, Recovery, and Correlation

Rösch, Daniel; Scheule, Harald - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2009

Credit risk is an important issue in many nance areas, such as the determinationof cost of capital, the valuation of corporate bonds and pricing of credit derivatives.Credit risk has also been a cause and consequence of the current nancial crisis.Thus, methods for measuring credit risk, default...

Persistent link: https://www.econbiz.de/10005867311

Stress-Testing Credit Risk Parameters - An Application toRetail Loan Portfolios

Rösch, Daniel; Scheule, Harald - University <Regensburg> / Department of Statistics, … - 2007

focus on portfolio models consisting of a limited set of parameters,such as the probability of default, asset correlation …

Persistent link: https://www.econbiz.de/10005867434

A Multi-Factor Approachfor Systematic Default and Recovery Risk

Rösch, Daniel; Scheule, Harald - Universität <Regensburg> / Institut für Banken und …

framework is accompanied by an empirical analysis in which a negative correlation between defaults and recoveries over the …

Persistent link: https://www.econbiz.de/10005867438