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Non-Equilibrium Skewness, Market Crises, and Option Pricing : Non-Linear Langevin Model of Markets with Supersymmetry

Halperin, Igor - 2021

This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM)...

Persistent link: https://www.econbiz.de/10013251128

World Financial Crisis and the Rise of Chinese Commercial Banks

Luo, Dan - 2009

The current financial crisis hit the banking giants of the world really hard. It is striking to note that some of the large Chinese commercial banks have emerged to be the biggest winners as a result of the crisis thanks to reforms over the last 10 years. The most significant reform before the...

Persistent link: https://www.econbiz.de/10013157133

Crisis Severity and the International Trade Network

Valentinyine Endresz, Marianna - 2017

In this paper we analyse the role of the international trade network for the strength of the global recession across countries. The novelty of our paper is the use of value-added trade data to capture the importance of trade network structure. We estimate with BMA techniques how far network...

Persistent link: https://www.econbiz.de/10012965544

Foreign Bank Diversification and Efficiency Prior to and During the Financial Crisis : Does One Business Model Fit All?

Curi, Claudia - 2016

Diversified and focused business models may affect foreign bank efficiency differently. We investigate whether there is an optimal business model along three business dimensions—assets, funding and income—and which business model is optimal for foreign banks in a financial center. We apply...

Persistent link: https://www.econbiz.de/10012983088

Financial Centre Productivity and Innovation prior to and during the Financial Crisis

Curi, Claudia; Lozano-Vivas, Ana - Facoltà di Economia / Wirtschaftswissenschaftliche … - 2014

This paper assesses and tests the response of banks operating in the financial centres to the financial crisis in terms of the actual productivity change and its main components: the pure efficiency change, scale efficiency change and technological change (innovation). The heterogeneity in the...

Persistent link: https://www.econbiz.de/10010897153

Efficiency of Islamic banks during the financial crisis: An analysis of Middle Eastern and Asian countries

Rosman, Romzie; Wahab, Norazlina Abd; Zainol, Zairy - In: Pacific-Basin Finance Journal 28 (2014) C, pp. 76-90

The world economy is still suffering from the severe global financial crisis that caused the failure of several banks. This has encouraged economists worldwide to consider alternative financial solutions and attention has been focused on Islamic banking and finance as an alternative model....

Persistent link: https://www.econbiz.de/10010785049

Liquidity regulation, the Central Bank, and the money market : conference paper

Scheubel, Beatrice; Körding, Julia - 2013 - This version: 15 February 2013

crisis, recent advances in global liquidity regulation try to curb the excessive reliance on short-term wholesale funding … regulation may interfere with the central bank's influence on short-term money market rates. This paper tries to fill the gap in … asymmetric information. Regulation can be welfare-improving in the presence of an externality and also in case of collateral …

Persistent link: https://www.econbiz.de/10010342820

The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models

Kuryłek, Wojciech - In: Journal of banking and financial economics 19 (2023) 1, pp. 26-43

The proper forecasting of listed companies' earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of...

Persistent link: https://www.econbiz.de/10014285928

Bubbles and incentives : a post-mortem of the Neuer Markt in Germany

Kalckreuth, Ulf von; Silbermann, Leonid - 2010

quantile regressions. Our results indicate that valuation has strong and systematic effects on incentives. Experience, as …

Persistent link: https://www.econbiz.de/10008653397

Bubbles and Incentives : A Post-Mortem of the Neuer Markt in Germany

von Kalckreuth, Ulf - 2016

quantile regressions. Our results indicate that valuation has strong and systematic effects on incentives. Experience, as …

Persistent link: https://www.econbiz.de/10012991085

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