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Essays on corporate loans and credit risk

Mølgaard, Pia - 2018 - 1st edition

Classical asset pricing theory assumes \perfect markets" which means that nancial markets are frictionless. However, in the real world nancial frictions exists. Recently the nancial literature has focused more on these frictions and on how they a ect asset prices. This thesis contributes to the...

Persistent link: https://www.econbiz.de/10012132198

Essays on financial frictions in lending markets

Daetz, Stine Louise - 2018 - 1st edition

CDS contracts has in general been outlined to improve bank lending by reducing financial frictions on the supply side of … credit. Using unique and comprehensive CDS and credit registry data from Deutsche Bundesbank I explicitly study the CDS … firm and are often also net sellers of CDS contracts written on their own borrowers. The third essay investigates whether …

Persistent link: https://www.econbiz.de/10012132332

Three Essays on Using High Frequency Data in Estimating Financial Risks

Großmaß, Lidan - 2013

This dissertation comprises of three stand-alone research papers, all considering the use of high frequency financial data for financial market risk measurement. The first chapter considers the extraction of liquidity information from the intraday limit order book to enhance the daily market...

Persistent link: https://www.econbiz.de/10010200953