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Credit risk transfer, real sector productivity, and financial deepening

Behr, Patrick (contributor); Lee, Samuel (contributor) - 2005

We derive the effects of credit risk transfer (CRT) markets on real sector productivity and on the volume of financial intermediation in a model where banks choose their optimal degree of CRT and monitoring. We find that CRT increases productivity in the up-market real sector but decreases it in...

Persistent link: https://www.econbiz.de/10002844073

A note on asset management and market risk

Scherer, Bernd - In: Financial markets and portfolio management 24 (2010) 3, pp. 309-320

Persistent link: https://www.econbiz.de/10008668593

A Note on Asset Management and Market Risk

Scherer, Bernd - 2010

The textbook view on risk in asset management companies is summarized by Hull (Risk Management and Financial Institutions, p. 372, 2007): “For an asset manager the greatest risk is operational risk.” Using evidence from various panel regression models, we show that asset management revenues...

Persistent link: https://www.econbiz.de/10013138602

Essays on variance risk

Gruber, Peter H. - 2015

new three-factor model for index option pricing. A core feature of the model are unspanned skewness and term structure … volatility level. The second chapter studies the price of the smile, which is defined as the premia for individual option risk … factors. These risk factors are directly linked to the variance risk premium (VRP). I find that option risk premia are spanned …

Persistent link: https://www.econbiz.de/10011931531

Hedging with automatic liquidation and leverage selection on bitcoin futures

Alexander, Carol; Deng, Jun; Zou, Bin - In: European journal of operational research : EJOR 306 (2023) 1, pp. 478-493

Persistent link: https://www.econbiz.de/10014278033

Banking with Contingent Contracts, Macroeconomic Risks, and Banking Crises

Gersbach, Hans - 2008

We examine banking competition when deposit or loan contracts contingent on macroeconomic shocks become feasible. We show that the risk allocation is efficient, provided that banks are not bailed out. In this case, banks may shift part of the risk to depositors. The private sector insures the...

Persistent link: https://www.econbiz.de/10011753157