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Evaluating Market Risk from Leveraged Derivative Exposures
Jukonis, Audrius - 2022
Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...
Persistent link: https://www.econbiz.de/10013491644
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The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …
Persistent link: https://www.econbiz.de/10012422046
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Internationally correlated jumps
Pukthuanthong, Kuntara; Roll, Richard - 2012
diversification is less effective when jumps are frequent, unpredictable and strongly correlated. Public supervisors may also mind …
Persistent link: https://www.econbiz.de/10011605481
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Risk spillover among hedge funds: The role of redemptions and fund failures
Klaus, Benjamin; Rzepkowski, Bronka - 2009
This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...
Persistent link: https://www.econbiz.de/10011605158
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Finance and diversification
Manganelli, Simone; Popov, Alexander - 2010
We study how financial market efficiency affects a measure of diversification of output across industrial sectors … and for various levels of disaggregation, we construct a benchmark measure of diversification as the set of allocations of … patterns disappear when we employ "naive" measures of diversification based on the equal spreading of output across sectors. …
Persistent link: https://www.econbiz.de/10011605305
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Finance and Diversification
Manganelli, Simone - 2010
We study how financial market efficiency affects a measure of diversification of output across industrial sectors … and for various levels of disaggregation, we construct a benchmark measure of diversification as the set of allocations of … patterns disappear when we employ "naive" measures of diversification based on the equal spreading of output across sectors …
Persistent link: https://www.econbiz.de/10013136834
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Risk Spillover among Hedge Funds : The Role of Redemptions and Fund Failures
Klaus, Benjamin - 2009
This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...
Persistent link: https://www.econbiz.de/10013154957
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The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios
Craig, Ben R. - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …
Persistent link: https://www.econbiz.de/10012838336
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Sovereign credit ratings, market volatility, and financial gains
Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014
The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The...
Persistent link: https://www.econbiz.de/10011605699
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Risky Assets in Europe and the US : Risk Vulnerability, Risk Aversion and Economic Environment
Bekhtiar, Karim - 2019
We use cross-country microdata to analyse the risk taking of households in Europe and the US. Concerning the extensive as well as the intensive margin of risky assets, European households differ substantially from US households; but also inside Europe we document substantial differences....
Persistent link: https://www.econbiz.de/10012871885