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A Simple Approach to Calibration of Low-Probability of Default Curve

Voloshyn, Ihor; Voloshyn, Mykyta - 2023

In the paper, authors compare Bayesian approaches to the calibration of default probability curves: a) a standard approach based on the use of logarithm of odds, b) a modified approach based on the use of logarithm of odds ratio which explicitly includes the prior probability of default in the...

Persistent link: https://www.econbiz.de/10014259799

Public Policy Issues Raised by the Report of the Lehman Bankruptcy Examiner

Black, William K. - 2010

This statement addresses the following issues of public policy in the context of the Lehman failure: The extent to which corporate governance should be enhanced to appropriately manage firm risk. The role of the SEC as Lehman's primary regulator in oversight, examination and enforcement in...

Persistent link: https://www.econbiz.de/10013143480

Uncertainty and the financial crisis

Pacces, Alessio M. - In: Journal of Financial Transformation 29 (2010), pp. 79-93

distorted the choices of financial intermediaries ex-ante (inducing them to rely too much and too quickly on liquidity for … funding and profits) and it has turned out to be too rigid ex-post (failing to provide the banking system with incentive …

Persistent link: https://www.econbiz.de/10008498520

The Broad Yen Carry Trade

Hattori, Masazumi; Shin, Hyun Song - Institute for Monetary and Economic Studies, Bank of Japan - 2007

Yen carry trades have traditionally been viewed in narrow terms purely as a foreign exchange transaction. However, evidence from the waxing and waning of balance sheets of foreign banks operating in Japan points to a broader notion of the carry trade. Yen liabilities fund not only pure currency...

Persistent link: https://www.econbiz.de/10004975764

Illiquidité, contagion et risque systémique

Dudek, Jérémy - Université Paris-Dauphine (Paris IX) - 2013

. We focus on liquidity (market and funding), contagion and systemic risk, which have attracted a particularly large … interest in the last years of financial turmoil. Firstly, we construct a funding liquidity factor based on the contagion … extra component related to funding liquidity to the standard DCoVaR model. In this way we obtain a countercyclical measure …

Persistent link: https://www.econbiz.de/10011074619

Lessons from the 2007 Financial Crisis

Buiter, Willem H. - C.E.P.R. Discussion Papers - 2007

global liquidity creation by key central banks and, second, an ex-ante global saving glut, brought about by the entry of a … England’s liquidity management, regulatory failure of the FSA, an inadequate deposit insurance arrangement and deficient …

Persistent link: https://www.econbiz.de/10005791213

Ratingmodell zur Quantifizierung des Ausfallrisikos von LBO-Finanzierungen

Lang, Michael; Cremers, Heinz; Hentze, Rainald - 2010

Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...

Persistent link: https://www.econbiz.de/10010299985

Wieweit tragen rationale Modelle in der Finanzmarktforschung?

Franke, Günter; Weber, Thomas - 2006

In diesem Beitrag wird untersucht, inwieweit Erkenntnisse des Behavioral Finance erforderlich sind, um einerseits das kundenbezogene Wertpapiergeschäft von Banken und andererseits die Preisbildung auf Kapitalmärkten zu untersuchen. Es wird dargelegt, daß das kundenbezogene Wertpapiergeschäft...

Persistent link: https://www.econbiz.de/10010324162

On the preferences of CoCo bond buyers and sellers: a logistic regression analysis

Caporale, Guglielmo Maria; Kang, Woo-Young - 2019

This paper estimates the preference scores of CoCo bond buyers and sellers by running logistic regressions taking into account both bond and issuing bank’s characteristics, and also considers the role of country−specific CoCo bond market competitiveness. Buyers are found to be characterised...

Persistent link: https://www.econbiz.de/10012018242

What drives performance in the speculative market of short-term exchange-traded retail products?

Baller, Stefanie; Entrop, Oliver; Schober, Alexander; … - 2017

This paper considers the realized returns of individual investors in warrants and leverage certificates. First, we derive a general formula that analytically decomposes the return into several economically meaningful components that are related to investor's trading behavior and the issuers'...

Persistent link: https://www.econbiz.de/10011854264