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Decomposing risk in dynamic stochastic general equilibrium

Lan, Hong; Meyer-Gohde, Alexander - 2013

We analyze the theoretical moments of a nonlinear approximation to a model of business cycles and asset pricing with stochastic volatility and recursive preferences. We find that heteroskedastic volatility operationalizes a time-varying risk adjustment channel that induces variability in...

Persistent link: https://www.econbiz.de/10010318776

Transparency through FinancialClaims with Fingerprints –A Free Market Mechanismfor Preventing MortgageSecuritization Induced FinancialCrises

Gründl, Helmut; Post, Thomas - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

Lack of transparency in securitization transactions significantly contributed to thesevere financial crisis of 2007–2009. To increase transparency we—based on arecent idea by Markowitz (2009)—propose an incentive compatible mechanismfor future securitization transactions: financial claims...

Persistent link: https://www.econbiz.de/10008939784

Transparency through financial claims with fingerprints: A free market mechanism for preventing mortgage securitization induced financial crises

Gründl, Helmut; Post, Thomas - 2009

Lack of transparency in securitization transactions significantly contributed to the severe financial crisis of 20072009. To increase transparency we propose a new mechanism: financial claims with fingerprints. They would allow market participants at each stage of the securitization process to...

Persistent link: https://www.econbiz.de/10010265673

Explaining asset prices with external habits and wage rigidities in a DSGE model

Uhlig, Harald - 2007

In this paper, I investigate the scope of a model with exogenous habit formation - or 'catching up with the Joneses', see Abel (1990) - to generate the observed equity premium as well as other key macroeconomic facts. Along the way, I derive restrictions for four out of eight parameters for a...

Persistent link: https://www.econbiz.de/10010331124

Stock picking via nonsymmetrically pruned binary decision trees

Andriyashin, Anton - 2008

Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...

Persistent link: https://www.econbiz.de/10010263732

Representations for optimal stopping under dynamic monetary utility functionals

Krätschmer, Volker; Schoenmakers, John G. M. - 2009

In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...

Persistent link: https://www.econbiz.de/10010276719

Irrational exuberance and herding in financial markets

Boortz, Christopher - 2016

In the context of a two-state, two-trader financial market herd model introduced by Avery and Zemsky (1998) we investigate how informational ambiguity in conjunction with waves of optimism and pessimism affect investor behavior, social learning and price dynamics. Without ambiguity, neither...

Persistent link: https://www.econbiz.de/10011531892

Hidden liquidity: Determinants and impact

Cebiroğlu, Gökhan; Horst, Ulrich - 2012

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

Persistent link: https://www.econbiz.de/10010281537

Galkiewicz, Dominika Paula - 2014

This study analyzes current regulation with respect to the use of derivatives and leverage by mutual funds in the U … of flexibility funds have in both countries. I find that funds in the U.S. and Germany face limits on direct leverage … that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using …

Persistent link: https://www.econbiz.de/10010427051

Loss potential and disclosures related to credit derivatives: A cross-country comparison of corporate bond funds under U.S. and German regulation

Gałkiewicz, Dominika Paula - 2015

This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...

Persistent link: https://www.econbiz.de/10011335468