Narrow search
Showing 1 - 10 of 208
Cover Image
A stochastic forward-looking model to assess the profitability and solvency of European insurers
Berdin, Elia; Kok, Christoffer; Pancaro, Cosimo - 2017
In this paper, we develop an analytical framework for conducting forward-looking assessments of profitability and solvency of the main euro area insurance sectors. We model the balance sheet of an insurance company encompassing both life and non-life business and we calibrate it using country...
Persistent link: https://www.econbiz.de/10011667212
Cover Image
Burned by leverage? Flows and fragility in bond mutual funds
Vivar, Luis Molestina; Wedow, Michael; Weistroffer, … - 2020
Does leverage drive investor ows in bond mutual funds? Leverage can increase fund returns in good times, but it can also magnify investors' losses and their response to bad performance. We study bond fund ows to provide new evidence for the link between mutual fund leverage and financial...
Persistent link: https://www.econbiz.de/10012422075
Cover Image
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
Cover Image
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
Cover Image
Burned by Leverage? Flows and Fragility in Bond Mutual Funds
Molestina Vivar, Luis - 2020
Does leverage drive investor flows in bond mutual funds? Leverage can increase fund returns in good times, but it can also magnify investors' losses and their response to bad performance. We study bond fund flows to provide new evidence for the link between mutual fund leverage and financial...
Persistent link: https://www.econbiz.de/10012833579
Cover Image
A Stochastic Forward-Looking Model to Assess the Profitability and Solvency of European Insurers
Berdin, Elia - 2017
In this paper, we develop an analytical framework for conducting forward-looking assessments of profitability and solvency of the main euro area insurance sectors. We model the balance sheet of an insurance company encompassing both life and non-life business and we calibrate it using country...
Persistent link: https://www.econbiz.de/10012961958
Cover Image
Public sector efficiency: evidence for new EU member states and emerging markets
Afonso, António; Schuknecht, Ludger; Tanzi, Vito - 2006
In this paper we analyse public sector efficiency in the new member states of the European Union compared to that in … emerging markets. After a conceptual discussion of expenditure efficiency measurement issues, we compute efficiency scores and … rankings by applying a range of measurement techniques. The study finds that expenditure efficiency across new EU member states …
Persistent link: https://www.econbiz.de/10011604627
Cover Image
Income distribution determinants and public spending efficiency
Afonso, António; Schuknecht, Ludger; Tanzi, Vito - 2008
economies. We also assess the efficiency of public spending in redistributing income by using a DEA (Data Envelopment Analysis …
Persistent link: https://www.econbiz.de/10011604907
Cover Image
Public Sector Efficiency : Evidence for New EU Member States and Emerging Markets
Afonso, António; Schuknecht, Ludger; Tanzi, Vito - 2021
In this paper we analyse public sector efficiency in the new member states of the European Union compared to that in … emerging markets. After a conceptual discussion of expenditure efficiency measurement issues, we compute efficiency scores and … rankings by applying a range of measurement techniques. The study finds that expenditure efficiency across new EU member states …
Persistent link: https://www.econbiz.de/10013318047
Cover Image
Tackling the volatility paradox: spillover persistence and systemic risk
Kubitza, Christian - 2024
Financial losses can have persistent effects on the financial sy stem. This paper proposes an empirical measure for the duration of these effects, S pillover P ersistence. I d ocument that Spillover Persistence is strongly correlated with financial c onditions; d uring b anking crises, Spillover...
Persistent link: https://www.econbiz.de/10015199543