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Release of the Kraken: A novel money multiplier equation's debut in 21st century banking
Hanley, Brian P. - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-3, pp. 1-25
Historically, the banking multiplier has been in a range of 4 to 100, with 25% to 1% reserve ratios at most layers of the banking system encompassing the majority of its range in recent centuries. Here it is shown that multipliers over 1 000 can occur from a new mechanism in banking. This new...
Persistent link: https://www.econbiz.de/10010307970
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La relación entre el COVID-19 y el riesgo de crédito: Un estudio de caso para las 50 compañías del EuroStoxx
Téllez, Cecilia; Martín García, Margarita; Di … - In: Revista de Métodos Cuantitativos para la Economía y … 36 (2023), pp. 1-16
selected corporations belonged to the EuroStoxx 50 Index and whose CDS (Credit Default Swap) may be found in the iTraxx Europe …) show that the impact on the credit risk of the companies, as measured by the change in the spread of CDS, is important and …
Persistent link: https://www.econbiz.de/10014494509
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Sovereign bond spreads and CDS premia in the Eurozone: A causality analysis
Téllez, Cecilia; Martín García, Margarita; Ramón … - In: Revista de Métodos Cuantitativos para la Economía y … 30 (2020), pp. 58-78
credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either … 2008-2016. By applying the causality Granger test for these variables, after six different ways of proxy, CDS premia are … other cases. So the CDS market contains clear and highly useful information on the sovereign risk. …
Persistent link: https://www.econbiz.de/10014494556
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Bootstrap-DEA management efficiency and early prediction of bank failure: Evidence from 2008-2009 U.S. bank failures
Samad, Abdus; Armstrong, Vaughn S. - In: Central Bank Review (CBR) 22 (2022) 3, pp. 119-127
This paper examines prediction of U.S. bank failure with a probit model that uses bias-corrected technical efficiency estimated using bootstrap data envelopment analysis as the measure of management quality. The model is tested on a sample of failed and non-failed banks during the sub-prime...
Persistent link: https://www.econbiz.de/10014547693
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Kreditverbriefungen: zehn Prozent anstatt fünf!: Kommentar
Schäfer, Dorothea - In: DIW Wochenbericht 77 (2010) 40, pp. 16
Persistent link: https://www.econbiz.de/10011602242
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Bad Bank: Staat soll toxische Papiere zum Null-Wert übernehmen
Schäfer, Dorothea; Zimmermann, Klaus F. - In: DIW Wochenbericht 76 (2009) 13, pp. 198-206
Angesichts der ausbleibenden Stabilisierung des Bankensektors in Deutschland konzentriert sich die öffentliche Diskussion immer mehr auf die Möglichkeiten zur Auslagerung der Problemaktiva in Bad Banks. Dazu wird hier ein Modell vorgestellt. Kernpunkte sind eine Wertberichtigung der...
Persistent link: https://www.econbiz.de/10011601975
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Der Steuerzahler soll für sein Engagement etwas zurückbekommen: Sieben Fragen an Dorothea Schäfer
Wittenberg, Erich; Schäfer, Dorothea - In: DIW Wochenbericht 76 (2009) 13, pp. 199
Persistent link: https://www.econbiz.de/10011601976
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Revisiting structural modeling of credit risk: Evidence from the credit default swap (CDS) market
Huang, Zhijian; Luo, Yuchen - In: Journal of Risk and Financial Management 9 (2016) 2, pp. 1-20
The ground-breaking Black-Scholes-Merton model has brought about a generation of derivative pricing models that have been successfully applied in the financial industry. It has been a long standing puzzle that the structural models of credit risk, as an application of the same modeling paradigm,...
Persistent link: https://www.econbiz.de/10011843268
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Are CDS spreads sensitive to the term structure of the yield curve? A sector-wise analysis under various market conditions
Aman, Asia - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 1-13
This study examines the impact of changes in the yield curve factors on the Credit Default Swap (CDS) spreads of the U … significant determinant of the CDS premia regardless of the sector and market state. The CDS spread of the financial sector … findings also suggest a significant inverse relationship between CDS spreads and stock returns. …
Persistent link: https://www.econbiz.de/10012611225
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Kreditrisiken - Modellierung und Management: Ein Überblick
Albrecht, Peter - In: German Risk and Insurance Review (GRIR) 1 (2005) 2, pp. 22-152
Die Messung und Bewertung von Kreditrisiken stellt sich aktuell als ein sehr bedeutsames (Stichworte : Basel II, Solvency II, Kreditderivate) Gebiet dar. Allerdings hat sich hierbei keine einheitliche Vorgehensweise herausgebildet, sondern es existieren eine Vielzahl unterschiedlicher...
Persistent link: https://www.econbiz.de/10010311175