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Visible and hidden risk factors for banks
Schuermann, Til; Stiroh, Kevin J. - 2006
This paper examines the common factors that drive the returns of U.S. bank holding companies from 1997 to 2005. We compare a range of market models from a basic one-factor model to a nine-factor model that includes the standard Fama-French factors and additional factors thought to be...
Persistent link: https://www.econbiz.de/10010333053
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Firm heterogeneity and credit risk diversification
Hanson, Samuel; Pesaran, Mohammad Hashem; Schuermann, Til - 2005
This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...
Persistent link: https://www.econbiz.de/10010276169
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Modeling dependencies in finance using copulae
Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2008
In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the dependency structure between random variables, next we explain the...
Persistent link: https://www.econbiz.de/10010274147
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Inheritances and the distribution of wealth or whatever happened to the great inheritance boom?
Wolff, Edward N.; Gittleman, Maury - 2011
of death. However, there is little evidence of an inheritance “boom.” In fact, from 1989 to 2007, the share of households …
Persistent link: https://www.econbiz.de/10011605346
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Informal care and labor supply
Fevang, Elisabeth; Kverndokk, Snorre; Røed, Knut - 2008
Based on Norwegian register data we show that having a lone parent in the terminal phase of life significantly affects the offspring's labor market activity. The employment propensity declines by around 1 percentage point among sons and 2 percentage points among daughters during the years just...
Persistent link: https://www.econbiz.de/10010268828
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Savings after retirement
French, Eric; Jones, John Bailey; McGee, Rory - 2022
Retired households, especially those with high lifetime income, decumulate their wealth very slowly, and many die leaving large estates. The three leading explanations for the 'retirement savings puzzle' are the desire to insure against uncertain lifespans and medical expenses, the desire to...
Persistent link: https://www.econbiz.de/10014480367
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Ungleiche Mittelschichten: Über Unterschiede im Immobilienvermögen und im Erbe innerhalb der Mitte Deutschlands
Korom, Philipp - 2017
Eigentum und Erbe in der Mitte der deutschen Gesellschaft relativ gleichmäßig verteilt oder zeigen sich bedeutsame … Immobilienvermögen und im Erbe nachgegangen. Geht man von einer rein einkommensbezogenen Definition der Mitte aus, so zeigt sich ein … geringer Verbreitungsgrad von Immobilienbesitz und Erbe in der unteren Mittelschicht (60 bis 80 Prozent des Medianeinkommens …
Persistent link: https://www.econbiz.de/10011707716
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Is it what you inherited or what you learnt? Intergenerational linkage and interpersonal inequality in Senegal
Lambert, Sylvie; Ravallion, Martin; Van de Walle, Dominique - 2011
by land inheritance, other bequests and parental background as influences on an adult's economic welfare and economic … land and housing bring little gain to mean consumption and play little role in explaining inequality. Inheritance of non … more important to adult welfare than property inheritance. Significant gender inequality in consumption is evident. …
Persistent link: https://www.econbiz.de/10010280069
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Why Hedge? - A Critical Review of Theory and Empirical Evidence -
Ammon, Norbert - 1998
Der Artikel gibt einen Literaturüberblick zur Fragestellung, warum Unternehmen Risikomanagement betreiben und …
Persistent link: https://www.econbiz.de/10010297586
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Marktpreisrisiko-Reporting bei Nichtfinanzinstituten nach IFRS 7: empirische Befunde zum Einsatz von Value at Risk und Sensitivitätsanalysen bei kapitalmarktorientierten Unternehme...
Fürst, Benedikt; Henselmann, Klaus; Klein, Martin - 2009
The paper shows the ways of disclosing financial risks by IFRS 7 and certain types of sensitivity analysis. The different possibilities of preparing a sensitivity analysis, such as value at risk are illustrated and their suitability for reporting are faced critically. Following, the manner of...
Persistent link: https://www.econbiz.de/10010299998