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Predicting failure in the commercial banking industry

Tatom, John - Volkswirtschaftliche Fakultät, … - 2011

The ability to predict bank failure has become much more important since the mortgage foreclosure crisis began in 2007. The model proposed in this study uses proxies for the regulatory standards embodied in the so-called CAMELS rating system, as well as several local or national economic...

Persistent link: https://www.econbiz.de/10009372631

Crises and the recent recession

Tatom, John - Volkswirtschaftliche Fakultät, … - 2010

The United States economy has suffered over the past four years from crises in mortgage foreclosures and in financial markets, as well as a long recession that some have referred to as the Great Recession. The links between these events, or more broadly the causes, extent and effects of these...

Persistent link: https://www.econbiz.de/10009220099

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

The Fed’s new front in the financial crisis

Tatom, John - Volkswirtschaftliche Fakultät, … - 2008

The continuing foreclosure crisis worsened in October 2008. The Federal Reserve (Fed) continued the aggressive expansion of new private credit that it began in mid-September and it created three new credit facilities to add to the plethora of other facilities created since the financial crisis...

Persistent link: https://www.econbiz.de/10005619409

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