We use dynamic panel analysis to examine whether credit rating agencies achieve what they claim to achieve, namely, look into the future when assigning their ratings. We find that Moodey's ratings help predict individual financial ratios over a horizon of up to five years. Ratings also predict a...

Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory. There are however limitations of some widely-used risk management methods that either calculate risk measures under the Gaussian distributional assumption or involve numerical...

The aim of this paper is to examine the impact of capital and risk transfer instruments on diversification and insolvency risk in a parent-subsidiary relationship. To better assess the effects, we compare this setting to the case of a holding company and an integrated financial group. In the...

Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...

Financial constraints affecting new firms are some of the factors most cited for impeding entrepreneurial dynamics from flourishing. This article introduces the problem of regional patterns of financial constraints. The research is conducted with regard to the French regions and the new French...

The rate of growth in bank loans to private households and firms in Germany hasdeclined substantially since early 2000 and currently stands at virtually zero. In thisarticle, we analyse whether cyclical factors (“demand-side driven”) or banks’ unwillingnessand/or inability to lend...

This paper investigates the returns and flows of German money marketfunds before and during the liquidity crisis of 2007/2008. The mainfindings of this paper are: In liquid times money market funds enhancedtheir returns by investing in less liquid papers. By doing so they outperformedother funds...

In the work of the Basel Committee there has been a tradition ofdistinguishing market from credit risk and to treat both categories independentlyin the calculation of risk capital. In practice positionsin a portfolio depend simultaneously on both market and credit riskfactors. In this case, an...

EU financial integration is at an advanced, yet incomplete stage. This paper furtherlinks and contributes new insights to a) the financial integration, and b) the strategyliterature strands. The research develops propositions on how the differing degrees of integration in EU ¯nancial markets...

Credit risk is an important issue in many nance areas, such as the determinationof cost of capital, the valuation of corporate bonds and pricing of credit derivatives.Credit risk has also been a cause and consequence of the current nancial crisis.Thus, methods for measuring credit risk, default...