Search Results - isPartOf:"CFS Working Paper"

Practical volatility and correlation modeling for financial market risk management

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - Center for Financial Studies - 2005

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...

Persistent link: https://www.econbiz.de/10010986411

Default risk sharing between banks and markets: The contribution of collateralized debt obligations

Franke, Günter; Krahnen, Jan Pieter - Center for Financial Studies - 2005

This paper contributes to the economics of financial institutions risk management by exploring how loan securitization a.ects their default risk, their systematic risk, and their stock prices. In a typical CDO transaction a bank retains through a first loss piece a very high proportion of the...

Persistent link: https://www.econbiz.de/10010986468

Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes

Krahnen, Jan Pieter - Center for Financial Studies - 2005

This paper makes an attempt to present the economics of credit securitization in a nontechnical way, starting from the description and the analysis of a typical securitization transaction. The paper sketches a theoretical explanation for why tranching, or nonproportional risk sharing, which is...

Persistent link: https://www.econbiz.de/10010958581

Market efficiency today

Pesaran, Mohammad Hashem - Center for Financial Studies - 2005

Persistent link: https://www.econbiz.de/10010958617

Volatility forecasting

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - Center for Financial Studies - 2005

Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning...

Persistent link: https://www.econbiz.de/10010958660

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - Center for Financial Studies - 2005

@sas.upenn.edu CFS Working Paper No. 2005/02 Practical Volatility and Correlation Modeling for Financial Market Risk Management … Working Paper Series presents the result of scientific research on selected top- ics in the field of money, banking and … affiliated with the University of Frankfurt, it provides a strong link between the financial community and academia. The CFS …

Persistent link: https://www.econbiz.de/10005022433

Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes

Krahnen, Jan Pieter - Center for Financial Studies - 2005

community and academia. The CFS Working Paper Series presents the result of scientific research on selected top- ics in the …), und CEPR. Taunusanlage 6, D-60329 Frankfurt. E-mail: krahnen@wiwi.uni-frankfurt.de CFS Working Paper No. 2005/05 Der …

Persistent link: https://www.econbiz.de/10005022450

Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations

Franke, Günter; Krahnen, Jan Pieter - Center for Financial Studies - 2005

Frankfurt, it provides a strong link between the financial community and academia. The CFS Working Paper Series presents the … Prof. Volker Wieland, Ph.D. CFS Working Paper No. 2005/06 Default Risk Sharing Between Banks and Markets: The …

Persistent link: https://www.econbiz.de/10005120778

Volatility Forecasting

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - Center for Financial Studies - 2005

strong link between the financial community and academia. The CFS Working Paper Series presents the result of scientific … Pennsylvania, Philadelphia, PA 19104, and NBER phone: 215-898-1507, e-mail: fdiebold@sas.upenn.edu CFS Working Paper No. 2005 …

Persistent link: https://www.econbiz.de/10005176456

Are IPOs of different VCs different?

Tykvová, Tereza; Walz, Uwe - 2004

This paper aims to analyze the impact of different types of venture capitalists on the performance of their portfolio firms around and after the IPO. We thereby investigate the hypothesis that different governance structures, objectives and track record of different types of VCs have a...

Persistent link: https://www.econbiz.de/10010298255