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Interest and credit risk management in German banks : evidence from a quantitative survey
Dräger, Vanessa; Heckmann-Draisbach, Lotta; Memmel, … - 2020
Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of...
Persistent link: https://www.econbiz.de/10012160610
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10011431370
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Return and volatility reactions to monthly announcements of business cycle forecasts : an event study based on high-frequency data
Entorf, Horst; Groß, Anne; Steiner, Christian - 2009
. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly … higher level for approximately two minutes slightly elevated for approximately 15 minutes. Combining returns and volatility … in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …
Persistent link: https://www.econbiz.de/10003814068
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The Risk Return Relationship : Evidence from Index Return and Realised Variance Series
Yang, Minxian - 2019
findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …
Persistent link: https://www.econbiz.de/10012904964
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The Risk Return Relationship : Evidence from Index Return and Realised Variance Series
Yang, Minxian - 2014
findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …
Persistent link: https://www.econbiz.de/10013056852
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …
Persistent link: https://www.econbiz.de/10003636008
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On the impact of macroeconomic news surprises on Treasury-bond returns
El Ouadghiri, Imane; Mignon, Valérie; Boitout, Nicolas - In: Annals of finance 12 (2016) 1, pp. 29-53
Persistent link: https://www.econbiz.de/10011555427
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How dynamic hedging affects stock price movements : evidence from German option and certificate markets
Fischer, Georg - 2019
We examine the impact of dynamic hedging demand of German option and discount certificate markets on the autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate market, a structured financial product with a concave...
Persistent link: https://www.econbiz.de/10011960804
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Interest rate risk of German financial institutions : the impact of level, slope, and curvature of the term structure
Czaja, Marc-Gregor; Scholz, Hendrik; Wilkens, Marco - In: Review of quantitative finance and accounting 33 (2009) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10003850662
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Are International Equity Market Returns Predictable?
Chun, Sungju - 2009
The slope coefficient estimator in predictive regressions for stock returns is biased by a lagged stochastic regressor. There is also a spurious regression if the underlying expected return is highly persistent. This paper studies how the interactions between the two biases affect inferences...
Persistent link: https://www.econbiz.de/10013155218