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Market Structures and Systemic Risks of Exchange-Traded Funds

Ramaswamy, Srichander - 2014

Crisis experience has shown that as the financial intermediation chain lengthens, it becomes complicated to assess the risks of financial products due to a lack of transparency as to how risks are managed at different levels of the intermediation chain. Exchange-traded funds, which have become...

Persistent link: https://www.econbiz.de/10013067912

An empirical examination of currency ETFs tracking error

Ivanov, Stoyu I. - In: International journal of bonds and derivatives 1 (2015) 4, pp. 333-368

Persistent link: https://www.econbiz.de/10011546750

Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading

Levy, Ariel; Lieberman, Offer - In: Journal of Banking & Finance 37 (2013) 5, pp. 1412-1421

&P 500 index have special effects on ETF prices, and characterize a special intraday and overnight updating structure between … these variables and country ETF prices. Our findings suggest a structural difference between synchronized and non …-synchronized trading hours. While during synchronized trading hours ETF prices are mostly driven by their NAV returns, during non …

Persistent link: https://www.econbiz.de/10010741762

Does diversification improve the performance of German banks? Evidence from individual bank loan portfolios

von Westernhagen, Natalja; Porath, Daniel; Hayden, Evelyn - 2006

Should banks be diversified or focused? Does diversification indeed lead to enhanced performance and, therefore, greater safety for banks, as traditional portfolio and banking theory would suggest? This paper investigates the link between banks? profitability (ROA) and their portfolio...

Persistent link: https://www.econbiz.de/10010295912

The marketability of bank assets and managerial rents: implications for financial stability

Fecht, Falko; Wagner, Wolf - 2007

Ongoing financial innovation and greater information availability increase the tradability of bank assets and reduce banks' dependence on individual bank managers as private information in the lending process declines. In this paper we argue that this has two effects on banks, with opposing...

Persistent link: https://www.econbiz.de/10010295931

Regulatory capital for market and credit risk interaction: is current regulation always conservative?

Breuer, Thomas; Jandacka, Martin; Rheinberger, Klaus; … - 2008

In the work of the Basel Committee there has been a tradition of distinguishing market from credit risk and to treat both categories independently in the calculation of risk capital. In practice positions in a portfolio depend simultaneously on both market and credit risk factors. In this case,...

Persistent link: https://www.econbiz.de/10010295951

Private equity returns and disclosure around the world

Walz, Uwe; Cumming, Douglas - 2004

We study the returns the venture capital and private equity investment from 221 venture capital and private equity funds that are part of 72 venture capital and private equity firms, 5040 entrepreneurial firms (3826 venture capital and 1214 private equity), and spanning 32 years (1971 - 2003)...

Persistent link: https://www.econbiz.de/10010298258

Public venture capital in Germany: task force or forced task?

Schilder, Dirk - 2006

This paper deals with the question of whether public venture capital (VC) is performing its task properly, taking a look at how public VC companies' selection process, investment behavior, and consulting services reflect goals that differ from those of private VC firms. The results present...

Persistent link: https://www.econbiz.de/10010298521

Distressed debt in Germany: What's next? Possible innovative exit strategies

Dickler, Robert A.; Schalast, Christoph - 2006

During the past two years, private equity funds have acquired substantial portfolios of nonperforming loans from banks in Germany. Typically a private equity investor does not commit funds unless exit strategies are clearly defined. The usual exit strategies for distressed debt investors are fix...

Persistent link: https://www.econbiz.de/10010298917

Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps

Cremers, Heinz; Walzner, Jens - 2007

Within the last decade, credit risk management of financial institutions has been subject to major changes due to the development of the credit derivatives market. In the past, financial institutions merely had the possibility to manage their credit portfolio by either approving or refusing a...

Persistent link: https://www.econbiz.de/10010298923

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