Narrow search
Showing 1 - 10 of 2,482
Cover Image
Hedging Market Risk in Optimal Liquidation
Monin, Phillip - 2017
effects from insufficient market liquidity. A typical method to manage these price impact effects is to split a given order …
Persistent link: https://www.econbiz.de/10012972701
Cover Image
The impact of the Basel III liquidity ratios on banks : evidence from a simulation study
Grundke, Peter; Kühn, André - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 167-190
Persistent link: https://www.econbiz.de/10012416452
Cover Image
Risk of Financial Distress in Secondary Buyouts
Eschenröder, Tjark - 2020
Secondary buyouts (SBOs) represent more than 50 percent of all buyouts in 2018. Even though general partners argue that SBOs are less attractive investment targets for buyouts and some empirical indication against an outperformance of SBOs exists, the share of SBOs continuously increases....
Persistent link: https://www.econbiz.de/10012845490
Cover Image
Collateral-Enhanced Default Risk
Kenyon, Chris - 2013
Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between Merton-type and Black-Cox-type structural default models. Our...
Persistent link: https://www.econbiz.de/10013087656
Cover Image
Agent-based model of system-wide implications of funding risk
Hałaj, Grzegorz - 2018
Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent … account in a stylised fashion. In particular, we investigate the importance of the channels through which the funding shock to …
Persistent link: https://www.econbiz.de/10011779837
Cover Image
Optimal Asset Allocation Subject to Liquidity and Withdrawal Risks
Cousin, Areski; Jiao, Ying; Robert, Christian; Zerbib, … - 2021
This study investigates the optimal asset allocation of a financial institution subject to liquidity risks and whose …
Persistent link: https://www.econbiz.de/10013242595
Cover Image
Financial Distress and Macroeconomic Risks
Athreya, Kartik; Mather, Ryan; Mustre-del-Rio, Jose; … - 2021
The goal of this paper is to show that household-level financial distress (FD) varies greatly, meaning there is unequal exposure to macroeconomic risk, and that FD can increase macroeconomic vulnerability. To do this, we first establish three facts: (i) regions in the U.S. vary significantly in...
Persistent link: https://www.econbiz.de/10013322291
Cover Image
Empirische Analyse der Drawdowns von Dach-Hedgefonds
Heidorn, Thomas (contributor); Kaiser, Dieter G. (contributor) - 2009
Funds of Hedge Funds (FHF) are perceived to be the premier choice of institutional investors for first-time allocations into the alternative investment asset class. While many papers cover the bright side of FHF investing, we in this paper empirically investigate the maximum drawdowns of FHF....
Persistent link: https://www.econbiz.de/10003796083
Cover Image
Hedge Funds, Fund Attributes and Risk Adjusted Returns
Soydemir, Gokce - 2011
We use proprietary data to examine factors that lead hedge fund managers to offer hurdle rates and investigate relative hedge fund performance based on risk adjusted returns. Using data from 3,571 hedge funds over a 15 year period, we find that funds that do not offer a hurdle rate outperform...
Persistent link: https://www.econbiz.de/10013122045
Cover Image
Dynamic Exposure of Hedge Funds to the Changes in the Risk Factors
Shin, Sangheon - 2013
This paper models exposure of hedge fund to risk factors and examines time-varying performance of hedge funds. From existing models such as ABS-factor model, SAC-factor model, and four-factor model, we extract the best six factors for each hedge fund portfolio by investment strategy. Then, we...
Persistent link: https://www.econbiz.de/10013090031