The aim of this note is to provide an overview of various measures of “excess liquidity”,which can be defined as the deviation of the actual stock of money from an estimated equilibriumlevel. Given their dynamic nature, the excess liquidity measures under review are - in thelight of long and...

The aim of this note is to provide an overview of various measures of "excess liquidity", which can be defined as the deviation of the actual stock of money from an estimated equilibrium level. Given their dynamic nature, the excess liquidity measures under review are - in the light of long and...

Welche Einflussfaktoren bestimmen die Spreadentwicklung im Kapitalmarktsegment derBanken im Verlauf der Finanzkrise? Unter Verwendung der Regressionsanalyse werden dieDeterminanten von Asset-Swap- (ASW) und Credit-Default-Swap- (CDS) Spreads ausgewähltereuropäischer Banken im Zeitraum April...

Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such asthe iTraxx Europe have been used in the credit derivatives market for price communication.During the financial crisis, implied correlations have been quite volatile indicating thegrowing fraction of systematic...

This working paper surveys theoretical and empirical work about market liquidityand market liquidity risk. It addresses interested practitioners as well asstudents who want to gain a quick overview about the latest progress in researchin market liquidity.

This paper studies ’Stylised Facts’ and ’Determinants’ of short-and long-termCDS-spreads of banks. As short-term spreads we choose 6M-, as long-termspreads we choose 5Y-spreads. In the section ’Stylised Facts’ we found thatthe correlation between short- and long-term spreads for the...

Some traders estimate precipitation derivatives to have a potential which increases even thatof temperature derivatives. Precipitation derivatives can be used both for hedging and marketingpurposes for a diverse number of possible end users. However, the complex way ofmeasuring precipitation,...

One major outcome of the review of the ECB’s “two pillar monetary policy strategy”, whichwas published on 8 May 2003, has been the de facto downgrading of the hitherto prominentrole assigned to the stock of money. According to the authors’ judgement, however, there is astrong theoretical...

We investigate the problem of modeling defaults of dependent credits.In the framework of the class of structural default models we studythreshold models where for each credit the underling ability-to-payprocess is a transformation of a Wiener processes. We propose a modelfor dependent defaults...