Narrow search
Showing 1 - 10 of 5,651
Cover Image
The effect of financial innovation on European banks' risk
Otero-González, Luis; Martorell Cunill, Onofre; … - In: Journal of business research : JBR 69 (2016) 11, pp. 4781-4786
Persistent link: https://www.econbiz.de/10011588445
Cover Image
Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises
Caporin, Massimiliano - 2013
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...
Persistent link: https://www.econbiz.de/10013074792
Cover Image
Systemic risk spillovers in the European banking and sovereign network
Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomo; … - 2014
-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The … equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over …
Persistent link: https://www.econbiz.de/10010411283
Cover Image
Systemic risk spillovers in the European banking and sovereign network
Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomo; … - 2016
sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis, and how they are reflected …
Persistent link: https://www.econbiz.de/10011414705
Cover Image
Model Calibration and Automated Trading Agent for Euro Futures
Creamer, Germán G. - 2013
We explored the application of a machine learning method, Logitboost, to automatically calibrate a trading model using different versions of the same technical analysis indicators. This approach takes advantage of boosting's feature selection capability to select an optimal combination of...
Persistent link: https://www.econbiz.de/10013091289
Cover Image
What Drives the Price Convergence between Credit Default Swap and Put Option : New Evidence
Chan, Ka Kei - 2019
Credit default swaps (CDSs) and deep out-of-the-money put (DOOMP) options can both be used as a credit protection instrument. However, partial market segmentation results in deviations between firm hazard rates implied by these contracts. These deviations are driven by a systematic...
Persistent link: https://www.econbiz.de/10012899167
Cover Image
Stochastic Volatility Models for the European Electricity Markets : Forecasting and Extracting Conditional Moments for Option Pricing and Implied Market Risk Premiums
Bjarte Solibakke, Per - 2014
volatility as having its own stochastic process, broadens the applications into derivative pricing purposes, risk assessment and …
Persistent link: https://www.econbiz.de/10013050714
Cover Image
What drives the demand of monetary financial institutions for domestic government bonds? : empirical evidence on the impact of Basel II and Basel III
Lang, Michael; Schröder, Michael - 2014
This paper examines the treatment of sovereign debt exposure within the Basel framework and measures the impact of bank … regulation on the demand of Monetary Financial Institutions (MFI) for marketable sovereign debt. Our results suggest that bank …
Persistent link: https://www.econbiz.de/10010459905
Cover Image
What drives the demand of monetary financial institutions for domestic government bonds? : empirical evidence on the impact of Basel II and Basel III
Lang, Michael; Schröder, Michael - 2015
This paper examines the treatment of sovereign debt exposure within the Basel framework and measures the impact of bank … regulation on the demand of Monetary Financial Institutions (MFI) for marketable sovereign debt. Our results suggest that bank …
Persistent link: https://www.econbiz.de/10010462544
Cover Image
The determinants of bank capital structure
Gropp, Reint; Heider, Florian - 2009
deposits towards non-deposit liabilities. We find that unobserved timeinvariant bank fixed effects are ultimately the most … important determinant of banks' capital structures and that banks' leverage converges to bank specific, time invariant targets …. -- Bank capital ; capital regulation ; capital structure ; leverage …
Persistent link: https://www.econbiz.de/10003963775