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Do S&P's Corporate Ratings Reflect Credit Shocks?
Elsas, Ralf; Mielert, Sabine - Universität <München> / Fakultät für Betriebswirtschaft - 2009
This study examines empirically whether corporate ratings by the credit ratingagency Standard & Poor’s reflect fundamental and publicly observable shocks tothe credit quality of companies. This serves to assess the degree of informationsensitivity of external ratings, and the timeliness of...
Persistent link: https://www.econbiz.de/10009418804
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Is shareholders´ strategic default behavior priced?Evidence from the international cross-section of stocks
Favara, Giovanni; Schroth, Enrique; Valta, Philip - Swiss National Centre of Competence in Research North … - 2010
We test whether the …´firms systematic equity risk reflects the shareholders´ incen-tives to default strategically on its debt. We use a standard real options model torelate the shareholders´strategic default behavior to frictions in the debt renegotia-tion procedure. We test its predictions...
Persistent link: https://www.econbiz.de/10009305083
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Collateralized Debt Obligations:Anreizprobleme im Rahmen desManagements von CDOs
Scholz, Julia - Universität <München> / Fakultät für Betriebswirtschaft - 2009
Die Arbeit untersucht die Anreize von CDO-Managern hinsichtlich der Auswahl der einem Poolzugrunde liegenden Forderungen und identifiziert Anreizkonflikte zwischen diesen und den Investorender unterschiedlich subordinierten Tranchen. Es wird aufgezeigt, dass CDO-Managerunabh¨angig von ihrer...
Persistent link: https://www.econbiz.de/10009418803
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Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation
Filipović, Damir; Kremslehner, Robert; Muermann, Alexander - National Centre of Competence in Research - Financial … - 2011
the value policyholders attach toand premiums they are willing to pay for insurance coverage.We characterize Pareto …
Persistent link: https://www.econbiz.de/10009486858
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Is there Market Discipline in the European Insurance Industry? An Analysis of the German Insurance Market
Eling, Martin; Schmit, Joan T. - Institut für Versicherungswirtschaft <Sankt Gallen> - 2008
(banking) and Solvency II (insurance). Even though these promulgations are focused on European institutions, their … influence. The research reported here is intended to provide input for measuring this strength in the German insurance market … has only limited effect to date in the German insurance market. We therefore conclude that for regulators to utilize …
Persistent link: https://www.econbiz.de/10005861349
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The United States RBC Standards, Solvency II, and the Swiss Solvency Test : A Comparative Assessment
Holzmüller, Ines - Institut für Versicherungswirtschaft <Sankt Gallen> - 2008
focus on property/casualty insurance, as implemented in three regions of the world (the United States, the European Union …, and Switzerland). To integrate the dynamics of the insurance and capital markets and recent developments in regulation we …
Persistent link: https://www.econbiz.de/10005861350
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An Overview and Comparison of Risk-Based Capital Standards
Eling, Martin; Holzmüller, Ines - Institut für Versicherungswirtschaft <Sankt Gallen> - 2008
This article provides an overview and comparison of risk-based capital (RBC) requirements as they currently exist in the United States, the European Union, Switzerland, and New Zealand. These four systems are representative of different ways capital standards are implemented around the globe....
Persistent link: https://www.econbiz.de/10005861358
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The Swiss Solvency Test and its Market Implications
Eling, Martin; Gatzert, Nadine; Schmeiser, Hato - Institut für Versicherungswirtschaft <Sankt Gallen> - 2008
insurance companies (Swiss Solvency Test), introduced in 2006. As the insurance industry is one of the largest institutional … changes in the asset and liability management of Swiss insurance companies. We investigate resulting effects on the Swiss …
Persistent link: https://www.econbiz.de/10005861404
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The Impact of Solvency II on Insurance Market Competition - An Economic Assessment
Schuckmann, Stefan - Institut für Versicherungswirtschaft <Sankt Gallen> - 2007
finds that the impact of a minimum solvency capital on insurance market competition needs further examination. Furthermore …, the economic justification for insurance market regulation needs to be evaluated in detail. …
Persistent link: https://www.econbiz.de/10005861472
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Der Swiss Solvency Test : Ein Vorbild für Solvency II?
Eling, Martin - Institut für Versicherungswirtschaft <Sankt Gallen> - 2007
In diesem Beitrag wird mit dem Swiss Solvency Test (SST) ein mögliches Referenzmodellfür die Ausgestaltung von Solvency II vorgestellt. Der SST wurde vomschweizerischen Bundesamt für Privatversicherungen entwickelt und zu Beginn desJahres 2006 für grosse Lebens- und Schadenversicherer...
Persistent link: https://www.econbiz.de/10005861505