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Risk measures for autocorrelated hedge fund returns
Di Cesare, Antonio; Stork, Philip; Vries, Casper G. de - 2011
Persistent link: https://www.econbiz.de/10009230368
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Web Appendix for : 'Risk Measures for Autocorrelated Hedge Fund Returns'
Di Cesare, Antonio - 2014
This Web Appendix contains several technical details, figures and tables that were not reported in Di Cesare, Stork and de Vries (2014) for the sake of brevity.The paper "Risk Measures for Autocorrelated Hedge Fund Returns" to which these Appendices apply is available at the following URL:...
Persistent link: https://www.econbiz.de/10013050698
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Risk Measures for Autocorrelated Hedge Fund Returns
Di Cesare, Antonio - 2014
Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported returns. Getmansky, Lo, and Makarov (2004) derive mean, variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Following their lead, we derive adjusted...
Persistent link: https://www.econbiz.de/10013066639
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Risk Measures for Autocorrelated Hedge Fund Returns
Di Cesare, Antonio - 2012
Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported returns. Getmansky et al. (2004) derive mean, variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Following their lead, adjusted downside and global...
Persistent link: https://www.econbiz.de/10013114817
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Banking panic risk and macroeconomic uncertainty
Mikkelsen, Jakob Guldbæk; Poeschl, Johannes - 2020
We show that systemic risk in the banking sector breeds macroeconomic uncertainty. We develop a model of a production economy with a banking sector where financial constraints of banks can lead to disastrous banking panics. We find that a higher probability of a banking panic increases...
Persistent link: https://www.econbiz.de/10012149870
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The pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018
Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the reluctance to clear derivative trades in the absence of a central clearing obligation. We develop a comprehensive understanding of the benefits and potential pitfalls with respect...
Persistent link: https://www.econbiz.de/10011923506
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Political Uncertainty and Finance : A Survey
Dai, Lili - 2020
An emerging stream of literature investigates the impact of political uncertainty on financial markets. In this survey …, we review this line of literature from four perspectives, namely, asset prices, corporate policies, financial … changes corporate behavior and adversely affects the economy. At the end of the survey, we discuss a few future directions …
Persistent link: https://www.econbiz.de/10012848947
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Distorted Risk Incentives from Size Threshold-Based Regulations
Johnson, Shane A. - 2018
Many regulations that affect firms and banks in the economy are based on size thresholds. We develop a model that shows that such regulations distort risk-taking incentives, providing above-threshold firms with greater incentives to take risk and below-threshold firms the opposite. Risk...
Persistent link: https://www.econbiz.de/10012931758
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Uncovering the Impact of Regulatory Uncertainty on Credit Spreads : A Study of the U.S. Covered Bond Experience
Bhanot, Karan - 2017
We examine how regulatory uncertainty impacts the credit spreads of covered bonds issued by U.S. domiciled banks. Using data on covered bonds issued by Washington Mutual and Bank of America, for the September 2006 to December 2016 period, we find that investors require an incremental spread that...
Persistent link: https://www.econbiz.de/10012972335
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Europe's CoCos Provide a Lesson on Uncertainty
Gleason, Katherine - 2017
Contingent convertible bonds (CoCos) issued by European global systemically important banks (GSIBs) as part of their total loss-absorbing capacity (TLAC) are meant to enhance financial stability by forcing investors to absorb losses when a bank is under stress. Coupon payments are made at...
Persistent link: https://www.econbiz.de/10012956840