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Decomposing Risk in Dynamic Stochastic General Equilibrium
Lan, Hong; Meyer-Gohde, Alexander - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10010643117
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Transparency through Financial Claims with Fingerprints – A Free Market Mechanism for Preventing Mortgage Securitization Induced Financial Crises
Gründl, Helmut; Post, Thomas - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
Lack of transparency in securitization transactions significantly contributed to the severe financial crisis of 2007–2009. To increase transparency we propose a new mechanism: financial claims with fingerprints. They would allow market participants at each stage of the securitization process...
Persistent link: https://www.econbiz.de/10005207947
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Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model.
Uhlig, Harald - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005677959
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Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model.
Uhlig, Harald - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005784856
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Stock Picking via Nonsymmetrically Pruned Binary Decision Trees
Andriyashin, Anton - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005678028
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Representations for optimal stopping under dynamic monetary utility functionals
Krätschmer, Volker; Schoenmakers, John - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10008527066
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The Impact of Industry Classification Schemes on Financial Research
Weiner, Christian - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
This paper investigates industry classification systems. During the last 50 years there has been a considerable discussion of problems regarding the classification of economic data by industries. From my perspective, the central point of each classification is to determine a balance between...
Persistent link: https://www.econbiz.de/10005652780
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Hidden Liquidity: Determinants and Impact
Cebiroglu, Gökhan; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10009652363
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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 - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10011212948
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Similarities and Differences between U.S. and German Regulation of the Use of Derivatives and Leverage by Mutual Funds – What Can Regulators Learn from Each Other?
Gałkiewicz, Dominika Paula; Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10011277283