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An engine, not a camera : how financial models shape markets
MacKenzie, Donald A. - 2006
Persistent link: https://www.econbiz.de/10003039616
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Was riet der Rat? : eine kommentierte Zusammenstellung von Aussagen des Sachverständigenrats zur Regulierung der Finanzmärkte und zugleich eine Chronik der Entstehung der Krise
Wienert, Helmut - 2009
Die Arbeit untersucht die Aussagen des Sachverständigenrates zur Beurteilung der gesamtwirtschaftlichen Entwicklung (SVR) bezüglich der Stabilität der Finanzmärkte. Die systemischen Risiken von Finanzmärkten werden vom SVR klar angesprochen, die Notwendigkeit einer staatlichen Regulierung...
Persistent link: https://www.econbiz.de/10010357162
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Kreditmärkte im Wandel : Märkte, Modellierung und regulatorisches Umfeld in der Post-Lehman-Ära
Felsenheimer, Jochen (ed.) - 2011 - 1. Aufl.
Durch den volatilen Kredit- und Finanzmarkt der letzten Jahre und die fehlenden Regelungen zu seiner Neuordnung ist dies das erste Buch, das sich mit den Auswirkungen der Krise was Modellierung, Märkte und Regulierung betrifft, beschäftigt.
Persistent link: https://www.econbiz.de/10009315833
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Financial frictions and global spillovers
Metiu, Norbert; Hilberg, Björn; Grill, Michael - 2015
We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...
Persistent link: https://www.econbiz.de/10010493885
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Banks, markets, and financial stability
Eder, Armin; Fecht, Falko; Pausch, Thilo - 2014
We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis...
Persistent link: https://www.econbiz.de/10010433396
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Defaultable term structures driven by semimartingales
Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
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A new approach to modelling banks' equity volatility : adding time-to-maturity jumps
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2017
We add discrete jumps in the time-to-maturity of a firm's debt to the model of Engle and Siriwardane (2015), such that changes in equity volatility can be explained by the volatility of the firm's assets, its market leverage and investors' perception of the time-to-maturity of the firm's debt....
Persistent link: https://www.econbiz.de/10011740702
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Stress-testing the banking system : methodologies and applications
Quagliariello, Mario (ed.) - 2009 - 1. publ.
Persistent link: https://www.econbiz.de/10003816389
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Multivariate Copula-Modelle für Finanzmarktdaten : eine simulative und empirische Untersuchung
Köck, Christian - 2008
Persistent link: https://www.econbiz.de/10003717606
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Modelling Asymmetric Dependence of Financial Returns with Multivariate Dynamic Copulas
Braun, Valentin - 2016
We propose a multidimensional extension for Patton's (2006) bivariate Dynamic Copulas. We also introduce a Dynamic … the proposed Dynamic Copulas. The object of interest is the analysis of the characteristics of financial market …-stable. Further, we conduct analyses to demonstrate that our suggested Dynamic Copulas are flexible enough to capture time …
Persistent link: https://www.econbiz.de/10012999941