We consider modeling errors in the hedging of a portfolio composed from BBB-rated bonds. By doing this, we open a new perspective to the debate on the relationship between corporate bonds and CDS spreads. We find that in ordinary times the added value of indexlinked credit derivatives is very...

This study compares the performance of the widely used risk measure Value-at-Risk (VaR) across a large sample of developed and emerging countries. The performance of the VaR is assessed by both unconditional and conditional tests of Kupiec and Christoffersen, respectively, as well as the...

Following the financial crisis, the share of non-performing loans has significantly increased, while the regulatory guidelines on the Internal-Ratings Based (IRB) approach for capital adequacy calculation related to defaulted exposures remains too general. As a result, the high-risk nature of...

Climate transition risk, the generated from the transition to a low-carbon economy due to changing policies, can have cross-border impacts. In this paper, we study the transition risk spillover among six major financial markets globally from 2013 to 2021. We evidence the transition risk...

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...

This paper describes sovereign credit ratings in emerging markets both for a specific year and over time, using quantitative explanatory variables. It turns out that rating adjustments have been worse than what economic fundamentals justify for some countries and also more frequently altered,...

An exact maximum likelihood method is developed for the estimation of parameters in a nonlinear non-Gaussian dynamic panel data model with unobserved random individual-specific and time-varying effects. We propose an estimation procedure based on the importance sampling technique. In particular,...

We provide evidence of an inherent trade-off between access regulation and investment incentives in telecommunications by using a comprehensive data set covering 70+ fixed-line operators in 20 countries over 10 years. Our econometric model accommodates: different investment incentives for...

International standards have the potential to both promote and hinder international trade. Yet empirical scholarship on the standards-trade relationship has been held up due to some methodological challenges: measurement problems, varied effects, and endogeneity concerns. We are able to surmount...

Die derzeitigen Turbulenzen auf den Immobilienmärkten in Ländern wie den USA und Spanien verstellen den Blick auf die längerfristige Entwicklung der realen Immobilienpreise. Während sie in den vergangenen Jahren in vielen westlichen Industrieländern deutlich anzogen, stagnieren sie...