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The Euro exchange rate market efficiency and the risk premium: an empirical analysis with an ecm model

Napolitano, O - 2002

The purpose of this work is to investigate the efficiency of the current Euro spot and current forwardexchange rates. Within the past three decades there have been large movements in the exchange ratemarkets and often these movements were not related with the changes in the “fundamentals” of...

Persistent link: https://www.econbiz.de/10009465472

Weather risk management

López Cabrera, Brenda - 2010

CAT-Bonds und Wetterderivate sind die Endprodukte eines Verbriefungprozesses, der nicht handelbare Risikofaktoren (Wetterschäden oder Naturkatastrophenschäden) in handelbare Finanzanlagen verwandelt. Als Ergebnis sind die Märkte für diese Produkte in der Regel unvollständig. Da geeignete...

Persistent link: https://www.econbiz.de/10009467030

Risk premia in banking and the macroeconomy

Gersbach, Hans; Wenzelburger, Jan - 2004

This paper discusses the relationship between premia for macroeconomic risk in banking, aggregate behavior, and banking crises. We consider a competitive banking system embedded in an overlapping generation model subject to repeated macroeconomic shocks. We highlight how risk premia decline when...

Persistent link: https://www.econbiz.de/10009452465

Do risk premia protect from banking crises?

Gersbach, Hans; Wenzelburger, Jan - 2004

This paper studies the question to what extent premia for macroeconomic risks in banking are sufficient to avoid banking crises. We investigate a competitive banking system embedded in an overlapping generation model subject to repeated macroeconomic shocks. We show that even if banks fully...

Persistent link: https://www.econbiz.de/10009452467

Sophistication in risk management and banking stability. The short term

Gersbach, Hans; Wenzelburger, Jan - 2006

We explore the impact of sophistication in risk management as required by Basel II on banking stability and market conditions. We compare a competitive banking system in which only average ratings are available with a competitive system in which banks are able to assess the default risk of...

Persistent link: https://www.econbiz.de/10009452515

Sophistication in risk management and banking stability. The long term

Gersbach, Hans; Wenzelburger, Jan - 2006

We investigate the question of whether sophistication in risk management fosters banking stability. We compare a simple banking system in which an average rating is used with a sophisticated banking system in which banks are able to assess the default risk of entrepreneurs individually. Both...

Persistent link: https://www.econbiz.de/10009452517

Securitization and asset prices

Aksoy, Yunus; Basso, Henrique S. - 2015

Este trabajo analiza la relación entre el volumen de titulización de activos de crédito y los precios de bonos y acciones. Se muestra que aumentos en la tasa de crecimiento de titulización generan una disminución considerable en primas en el mercado de bonos y de renta variable. En un...

Persistent link: https://www.econbiz.de/10012530484

The information quality of derivative disclosure in corporate annual reports of Australian firms in the extractive industries

Hassan, Mohamat Sabri - 2004

quality disclosure standard.This thesis investigates the transparency or information quality of derivative disclosures of … the relationship between the transparency or disclosure quality of derivative information and firm characteristics. Second …

Persistent link: https://www.econbiz.de/10009438230

The Transparency of Derivative Disclosures by Australian Firms in the Extractive Industries

Hassan, Mohamat S.; Percy, Majella; Stewart, Jenny D. - 2006

This paper investigates the transparency of derivative disclosures of Australian firms in the extractive industries … transparency is an important component of the quality of financial reporting. We measure transparency based on a disclosure index … developed from AASB 1033 Presentation and Disclosure of Financial Instruments. We examine the relationship between transparency …

Persistent link: https://www.econbiz.de/10009438340

Review of monetary policy in South Africa since 1994

Aron, Janine; Muellbauer, John - 2006

indexes of transparency reveal a strong rise in the transparency and accountability of monetary policy between 1994 and 2004 …

Persistent link: https://www.econbiz.de/10009441502