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The aim of this paper is to study the impact of structure of dependency on the pricing of multi-name credit derivatives such as collateralised debt obligations (CDO). The correlation between names defaulting has an effect on the value of the basket credit derivatives. We present a copula based...
Persistent link: https://www.econbiz.de/10008755261
investments of banks at the security level for 2005-2012 in conjunction with the credit register from Germany. Analyzing data at … increase their overall investments in securities, especially in those that had a larger price drop. The quantitative effects …
Persistent link: https://www.econbiz.de/10011196029
В статье рассматриваются основные этапы становления инвестиционно-банковской деятельности как неотъемлемой части современной экономики и рынка ценных бумаг....
Persistent link: https://www.econbiz.de/10011221836
Purpose – This paper aims to identify the significance of carbon emissions reporting for investment banking. Design …
Persistent link: https://www.econbiz.de/10014641342
importance of the counter‐party credit risk, which was surprisingly neglected by the Basel Committee on Banking Supervision in … banking practices on the manipulation of that system is explored. Findings – The paper shows how creative accounting and … banking practices can be used in manipulating an advanced IRB corporate credit‐rating system, and thus presenting a high …
Persistent link: https://www.econbiz.de/10014729683
efficiency. The second objective is to assess more evidence regarding the banking system efficiency trend and dynamics in each … fixed income securities. There is a serious need for some countries to deregulate their banking systems more, in order to … enhance the compatibility and the efficiency of their banking, such as the case of Sudan. Originality/value – Given the …
Persistent link: https://www.econbiz.de/10014988296
Persistent link: https://www.econbiz.de/10015011100
Persistent link: https://www.econbiz.de/10015011317
/methodology/approach – These aspects are examined by studying network position and specialization of actors operating in the investment banking … highlight that actors operating in the investment banking industry enhance performance by having a central position in their …
Persistent link: https://www.econbiz.de/10014906628
This paper empirically examines the benefits of relationship banking to banks, in the context of consumer credit … its credit card customers, we estimate the effects of relationship banking on the customers' default, attrition, and … significant potential benefits of relationship banking to banks in the retail credit market. …
Persistent link: https://www.econbiz.de/10010292093