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Globalisation of financial markets - risks and opportunities : Beiträge zum CFScolloquium

Balcerowicz, Leszek (contributor) - 2003

Persistent link: https://www.econbiz.de/10013439318

Wiederaufbau der Finanzmärkte

Ackermann, Josef (contributor) - 2012

Persistent link: https://www.econbiz.de/10013439726

Central counterparties

Koeppl, Thorsten V.; Monnet, Cyril - Center for Financial Studies - 2008

Central counterparties (CCPs) have increasingly become a cornerstone of financial markets infrastructure. We present a model where trades are time-critical, liquidity is limited and there is limited enforcement of trades. We show a CCP novating trades implements efficient trading behaviour. It...

Persistent link: https://www.econbiz.de/10010958500

Performance-sensitive debt: The intertwined effects of performance measurement and pricing grid asymmetry

Bannier, Christina E.; Wiemann, Markus - Center for Financial Studies - 2014

This paper studies the use of performance pricing (PP) provisions in debt contracts and compares accounting-based with rating-based pricing designs. We find that rating-based provisions are used by volatile-growth borrowers and allow for stronger spread increases over the credit period....

Persistent link: https://www.econbiz.de/10010958543

Collateral, default risk, and relationship lending: An empirical study on financial contracting

Elsas, Ralf; Krahnen, Jan Pieter - Center for Financial Studies - 2000

lending, borrower quality and collateral as a key variable in loan contract design. We used a unique data set based on the … borrower quality and the incidence or degree of collateralization. Our results indicate that the use of collateral in loan … housebanks do require more collateral from their debtors, thereby increasing the borrower's lock-in and strengthening the banks …

Persistent link: https://www.econbiz.de/10010958616

Collateral, relationship lending and financial distress: An empirical study on financial contracting

Elsas, Ralf; Krahnen, Jan Pieter - Center for Financial Studies - 2002

This paper analyses the role of collateral in loan contracting when companies are financed by multiple bank lenders and … the view that collateral is a strategic instrument intended to influence the bargaining position of banks. Our result …

Persistent link: https://www.econbiz.de/10010958813

CDOs and Systematic Risk: Why bond ratings are inadequate

Krahnen, Jan Pieter; Wilde, Christian - Center for Financial Studies - 2009

This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...

Persistent link: https://www.econbiz.de/10004969023

CDOs and systematic risk: Why bond ratings are inadequate

Krahnen, Jan Pieter; Wilde, Christian - Center for Financial Studies - 2009

Persistent link: https://www.econbiz.de/10010958590

The comovement of credit default swap, bond and stock markets: An empirical analysis

Norden, Lars; Weber, Martin - Center for Financial Studies - 2004

This paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period 2000-2002. Focusing on the intertemporal comovement, we examine weekly and daily lead-lag relationships in a vector autoregressive model and the adjustment between markets caused...

Persistent link: https://www.econbiz.de/10010958637

Risk transfer with CDOs

Krahnen, Jan Pieter; Wilde, Christian - Center for Financial Studies - 2008

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management. This paper aims to resolve a part of the...

Persistent link: https://www.econbiz.de/10010958755