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Assessment of Economic Capital: An Equity Market approach

Bandyopadhyay, Arindam; Saha, Asish - Volkswirtschaftliche Fakultät, … - 2008

Assessment of individual bank’s need for economic capital will enable them to understand their actual solvency position for internal management of capital and evaluating the larger strategic issues like expanding or contracting its risk appetite to generate returns. This paper is an attempt to...

Persistent link: https://www.econbiz.de/10005623300

Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?

Avino, Davide; Cotter, John - Volkswirtschaftliche Fakultät, … - 2013

This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to convey timely signals on the default risk of European sovereign countries and their banking systems. For a sample including six major European economies, we find that sovereign and...

Persistent link: https://www.econbiz.de/10011110320

Estimating Recovery Rates on Bank’s Historical Loan Loss Data

Bandyopadhyay, Arindam; Singh, Pratima - Volkswirtschaftliche Fakultät, … - 2007

The main objective of this paper is to estimate a statistical model that incorporates information at different levels: collateral, facility, industry, zone and the macro economy to predict the Recovery Rates which will enable the bank to arrive at the Loss Given Default figure that would help to...

Persistent link: https://www.econbiz.de/10005619574

Downside Risk for European Equity Markets

Cotter, John - Volkswirtschaftliche Fakultät, … - 2004

This paper applies extreme value theory to measure downside risk for European equity markets. Two related measures, value at risk and the excess loss probability estimator provide a coherent approach to optimally protect investor wealth opportunities for low quantile and probability...

Persistent link: https://www.econbiz.de/10005835398

Extreme risk in Asian equity markets

Cotter, John - Volkswirtschaftliche Fakultät, … - 2007

Extreme price movements associated with tail returns are catastrophic for all investors and it is necessary to make accurate predictions of the severity of these events. Choosing a time frame associated with large financial booms and crises this paper investigates the tail behaviour of Asian...

Persistent link: https://www.econbiz.de/10005835855

International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000

Cotter, John - Volkswirtschaftliche Fakultät, … - 2004

We examine the relationship between the Irish, German, UK and US equity markets. Our main finding is that the Irish equity market depends heavily on trading activity in the other markets but not vice versa. Significant return and volatility spillover effects occur in the direction of, but not...

Persistent link: https://www.econbiz.de/10005836901

Real & Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing

Cotter, John - Volkswirtschaftliche Fakultät, … - 2006

This paper compares real and nominal foreign exchange volatility effects on exports. Using a flexible lag version of the Goldstein-Khan two-country imperfect substitutes model for bilateral trade, we identify the overall effect into both a timing as well as a size impact. We find that the size...

Persistent link: https://www.econbiz.de/10005837211

Hedging Effectiveness under Conditions of Asymmetry

Cotter, John; Hanly, James - Volkswirtschaftliche Fakultät, … - 2007

We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific … metrics to compare the hedging effectiveness of short and long hedgers using Oil futures contracts. The metrics used include … of hedging strategies including OLS and both Symmetric and Asymmetric GARCH models. Our findings show that asymmetry …

Persistent link: https://www.econbiz.de/10005837212

Intra-Day Seasonality in Foreign Exchange Market Transactions

Cotter, John; Dowd, Kevin - Volkswirtschaftliche Fakultät, … - 2007

This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer broking system indicates significant evidence of intraday seasonality...

Persistent link: https://www.econbiz.de/10005837512

Modelling extreme financial returns of global equity markets

Cotter, John - Volkswirtschaftliche Fakultät, … - 2004

Extreme asset price movements appear to be more pronounced recently and have major consequences for an economy’s financial stability and monetary policies. This paper investigates the extreme behaviour of equity market returns and quantifies the probabilities of these losses. Taking fourteen...

Persistent link: https://www.econbiz.de/10005619659