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Structured Eurobonds
Bauer, Christian; Herz, Bernhard; Hild, Alexandra - 2011
This paper develops a market-based approach to implement so called Eurobonds, i.e. common sovereign debt securities of … Eurobonds with varying risk and rating (tranching). By pooling and tranching the default risk is concentrated in one part of the … default. By contrast to propositions on Eurobonds made so far, our proposal has one major advantage: All EMU countries can …
Persistent link: https://www.econbiz.de/10010356071
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Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung
Heidorn, Thomas; Kaiser, Dieter G.; Muschiol, Andrea - 2007
Hedge Funds are often considered as a possibility for optimizing traditional portfolios due to their alternative risk factors and sources of return. But as the return distribution of hedge funds shows negative skewness and excess kurtosis, using portfolio optimization techniques, based on the...
Persistent link: https://www.econbiz.de/10003754615
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Stages of the ongoing global financial crisis: Is there a wandering asset-price bubble?
Orłowski, Lucjan T. (contributor) - 2008
This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market, spillovers into broader credit market, the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns with contagion effects on other financial...
Persistent link: https://www.econbiz.de/10003790529
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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
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Rating opaque borrowers : why are unsolicited ratings lower?
Bannier, Christina E.; Behr, Patrick; Güttler, André - 2009
This paper examines why unsolicited ratings tend to be lower than solicited ratings. Both self-selection among issuers and strategic conservatism of rating agencies may be reasonable explanations. Analyses of default incidences of non-U.S. borrowers between January 1996 and December 2006 show...
Persistent link: https://www.econbiz.de/10003904071
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Trade-throughs in European cross-traded equities after transaction costs : empirical evidence for the EURO STOXX 50
Ende, Bartholomäus; Lutat, Marco - 2010
The new regulatory environment triggered by MiFID has resulted in a transformed competitive landscape and increased fragmentation among execution venues in Europe. One key component of MiFID is best execution, i.e. investment firms are obliged to achieve the best result for customer orders on a...
Persistent link: https://www.econbiz.de/10008698015
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Market failures and regulatory failures : lessons from past and present financial crises
Acharya, Viral V.; Cooley, Thomas F.; Richardson, Matthew; … - 2011
The paper analyzes the financial crisis of through the lens of market failures and regulatory failures. We present a case that there were four primary failures contributing to the crisis: excessive risk-taking in the financial sector due to mispriced government guarantees; regulatory focus on...
Persistent link: https://www.econbiz.de/10008907804
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Solicited and unsolicited credit ratings : a global perspective
Poon, Winnie P. H.; Chan, Kam C. - 2010
We conducted a global study of the long-term issuer ratings of nonfinancial firms from Standard and Poor's Ratings Services (S&P) for the period 1998-2003. Specifically, we focused on the solicited versus unsolicited ratings and sample-selection bias in the analysis. Unlike the literature, we...
Persistent link: https://www.econbiz.de/10008732335
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The great liquidity freeze : what does it mean for international banking?
Domanski, Dietrich; Turner, Philip - 2011
In mid-September 2008, following the bankruptcy of Lehman Brothers, international interbank markets froze and interbank lending beyond very short maturities virtually evaporated. Despite massive central bank support operations and purchases of key assets, many financial markets remained impaired...
Persistent link: https://www.econbiz.de/10009161745
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Opaque governance, special purpose vehicles, and the preacher's waiver
Apreda, Rodolfo - 2012
This paper argues that special purpose vehicles, SPVs, are two-edged financial constructs whose bad edge consists in conveying opaque governance, whereas its good one amounts to interesting financial engineering. Firstly, the notion of opaque governance is highlighted, to focus next on SPVs and...
Persistent link: https://www.econbiz.de/10009509737