Similar Search Results

Risk Transfer with CDOs and Systemic Risk in Banking

Krahnen, Jan Pieter; Wilde, Christian - C.E.P.R. Discussion Papers - 2006

the correlation properties both within and across risk classes. We then determine the effect of securitization on the …

Persistent link: https://www.econbiz.de/10005123936

Extreme Correlation of International Equity Markets

Longin, François; Solnik, Bruno H - C.E.P.R. Discussion Papers - 2000

volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise …

Persistent link: https://www.econbiz.de/10005504611

The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies

Bansal, Ravi; Dahlquist, Magnus - C.E.P.R. Discussion Papers - 1999

In this paper we document new results regarding the forward premium puzzle. The often found negative correlation … inflation rates, and inflation volatility. Our empirical work suggests that it is hard to justify the cross …

Persistent link: https://www.econbiz.de/10005504460

Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence

Albuquerque, Rui; Durnev, Artyom; Koskinen, Yrjö - C.E.P.R. Discussion Papers - 2013

This paper presents an industry equilibrium model where firms can choose to engage in corporate social responsibility (CSR) activities. We model CSR activities as an investment in customer loyalty and show that CSR decreases systematic risk and increases firm value. These effects are stronger...

Persistent link: https://www.econbiz.de/10011083749

Risk-Adjusting the Returns to Venture Capital

Korteweg, Arthur; Nagel, Stefan - C.E.P.R. Discussion Papers - 2013

Performance evaluation of venture-capital (VC) payoffs is challenging because payoffs are infrequent, skewed, realized over endogenously varying time horizons, and cross- sectionally dependent. We show that standard stochastic discount factor (SDF) methods can be adapted to handle these issues....

Persistent link: https://www.econbiz.de/10011084553

Credit Risk and Disaster Risk

Gourio, François - C.E.P.R. Discussion Papers - 2011

Macroeconomic models with financial frictions typically imply that the excess return on a well-diversified portfolio of corporate bonds is close to zero. In contrast, the empirical finance literature documents large and time-varying risk premia in the corporate bond market (the "credit spread...

Persistent link: https://www.econbiz.de/10008854475

Information Contagion and Inter-Bank Correlation in a Theory of Systemic Risk

Acharya, Viral V; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2003

rise to a pro-cyclical pattern in the correlation of bank loan returns. The direction of information contagion, the …

Persistent link: https://www.econbiz.de/10005504423

A Theory of Systemic Risk and Design of Prudential Bank Regulation

Acharya, Viral V - C.E.P.R. Discussion Papers - 2009

Systemic risk is modeled as the endogenously chosen correlation of returns on assets held by banks. The limited …

Persistent link: https://www.econbiz.de/10004980206

Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees

Kelly, Bryan; Lustig, Hanno; van Nieuwerburgh, Stijn - C.E.P.R. Discussion Papers - 2012

We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in U.S. option markets. A large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial crisis. The difference in costs of out-of-the-money put...

Persistent link: https://www.econbiz.de/10011083289

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

Acharya, Viral V; Engle III, Robert F; Pierret, Diane - C.E.P.R. Discussion Papers - 2013

Macroprudential stress tests have been employed by regulators in the United States and Europe to assess and address the solvency condition of financial firms in adverse macroeconomic scenarios. We provide a test of these stress tests by comparing their risk assessments and outcomes to those from...

Persistent link: https://www.econbiz.de/10011083469