This paper provides an overview on classical and new methods for testing time series properties of migration matrices. It is well known that due to cyclical behaviour of the economy transition matrices for many credit portfolios cannot be considered to be constant through time. Further,...

This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...

We use dynamic panel analysis to examine whether credit rating agencies achieve what they claim to achieve, namely, look into the future when assigning their ratings. We find that Moody's ratings help predict individual financial ratios over a horizon of up to five years. Ratings also predict a...

Individual financial systems can be understood as very specific configurations of certain keyelements. Often these configurations remain unchanged for decades. We hypothesize that thereis a specific relationship between key elements, namely that of complementarity. Thus,complementarity seems to...

This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...

We construct a novel dataset to measure banks' complexity and relate it to banks' riskiness. The sample covers stock listed Euro area banks from 2007 to 2014. Bank stability is significantly affected by complexity, whereas the direction of the effect differs across complexity measures. This...

Centralized cryptocurrency exchanges, which manage annual trading volumes on the scale of trillions of US dollars worldwide, are classified as virtual asset service providers (VASPs). They facilitate the exchange, custody, and transfer of cryptoassets organized in wallets across distributed...

Individual financial systems can be understood as very specific configurations of certain key elements. Often these configurations remain unchanged for decades. We hypothesize that there is a specific relationship between key elements, namely that of complementarity. Thus, complementarity seems...

A Central Counterparty (CCP) is an entity that interposes itself between transacting counterparties - a seller vis-à-vis the original buyer and a buyer vis-àvis the original seller - to guarantee execution of the transaction.Thus, the original transacting parties substitute their contractual...

Rating agencies claim to look through the cycle when assigning corporate credit ratings,which entails that they are able to separate trend components of default risk from transitoryones. To test whether agencies possess this competence, I take market-based estimates of oneyeardefault...