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Extracting implied volatilities from bank bonds
Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 23 (2023) 7/8, pp. 1177-1197
Persistent link: https://www.econbiz.de/10014321670
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Overview of an alternative trigger for DCL
Segal, Maxime; Sverrir Ólafsson - In: Finance research letters 58 (2023) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10014580294
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Effects of regulatory policies on bank-specific risk and financial stability
Ludolph, Melina - 2021
Persistent link: https://www.econbiz.de/10013326457
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Valuation and analysis of zero-coupon contingent capital bonds
Metzler, A.; Reesor, R. M. - In: Mathematics and financial economics 9 (2015) 2, pp. 85-109
Persistent link: https://www.econbiz.de/10011349466
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The adverse effect of contingent convertible bonds on bank stability
Ludolph, Melina - 2022
This paper examines the impact of issuing contingent convertible (CoCo) bonds on bank risk. I apply a matching-based difference-in-differences approach to banklevel data for 246 publicly traded European banks and 61 CoCo issues from 2008−2018. My estimation results reveal that issuing CoCo...
Persistent link: https://www.econbiz.de/10012801677
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The adverse effect of contingent convertible bonds on bank stability
Ludolph, Melina - Leibniz-Institut für Wirtschaftsforschung Halle - 2023 - This version: August 27, 2023
results reveal a significant reduction in the distance to insolvency following the hybrid bond issuance due to increased …
Persistent link: https://www.econbiz.de/10014336100
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Systemic banks, capital composition and CoCo bonds issuance : the effects on bank risk
Echevarría-Icaza, Víctor; Sosvilla-Rivero, Simón - 2017
Persistent link: https://www.econbiz.de/10011716517
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The risks and benefits of credit default swaps and the impact of a new regulatory environment
Theis, Christoph - 2013
Seit dem Ausbruch der jüngsten Finanzkrise sind Credit Default Swaps (CDS) ins Rampenlicht des akademischen und medialen Interesses gerückt und bilden seitdem den Gegenstand einer kontroversen Diskussion. Auf Europäischer Ebene werden zudem neue regulatorische Rahmenbedingungen eingeführt,...
Persistent link: https://www.econbiz.de/10009713714
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The risks and benefits of credit default swaps and the impact of a new regulatory environment
Theis, Christoph - 2014 - 1. Aufl.
Seit dem Ausbruch der jüngsten Finanzkrise sind Credit Default Swaps (CDS) ins Rampenlicht des akademischen und medialen Interesses gerückt und bilden seitdem den Gegenstand einer kontroversen Diskussion. Auf Europäischer Ebene werden zudem neue regulatorische Rahmenbedingungen eingeführt,...
Persistent link: https://www.econbiz.de/10010355458
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Are hazard models superior to traditional bankruptcy prediction approaches? : a comprehensive test
Bauer, Julian; Agarwal, Vineet - In: Journal of banking & finance 40 (2014), pp. 432-442
Persistent link: https://www.econbiz.de/10010403649