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Bank Capital, Securitization and Credit Risk: an Empirical Evidence
Dionne, Georges; Harchaoui, Tarek - Volkswirtschaftliche Fakultät, … - 2007
, securitization and bank risk-taking in a context of the rapid growth in off-balance-sheet activities. The data come from the Canadian … financial sector. Evidence from the 1988-1998 period indicates that: (a) securitization has a negative statistical link with … securitization and bank risk-taking. Profit-risk measure is more sensitive than loss-risk measure to the variation in securitization …
Persistent link: https://www.econbiz.de/10011110741
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Efficiency of islamic and conventional banks in countries with islamic banking
Kablan, S; Yousfi, O - Volkswirtschaftliche Fakultät, … - 2011
Our study aims at analyzing Islamic banks efficiency over the period 2001-2008. We found that they were efficient at 78.9%. The level of efficiency could however vary according to regions. Asia displays the highest score with 84.64%. Indeed, country like Malaysia and Pakistan implemented reforms...
Persistent link: https://www.econbiz.de/10011112326
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Get rid of banks and build up a modern financial world
Lenz, Rainer - Volkswirtschaftliche Fakultät, … - 2011
The financial crisis has revealed fatal institutional and structural deficits at the finance market. Politics has reacted to the financial crisis with a sea of legal bills and regulations. But all regulating efforts are merely system-imminent reparation measures and do not solve the core...
Persistent link: https://www.econbiz.de/10009322661
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Manager- und transaktionsspezifische Determinanten der Performance von Arbitrage CLOs
Scholz, Julia - Volkswirtschaftliche Fakultät, … - 2011
Der vorliegende Beitrag untersucht die Determinanten der Performance europäischer Arbitrage Collateralized Loan … Eigenschaften des CLO-Managers und der Transaktionscharakteristika als mögliche Einflussfaktoren der Rating Performance. Es wird … gezeigt, dass Transaktionen, bei denen dem CLO-Manager eine Incentive Management Fee gewährt wird, mit einer höheren …
Persistent link: https://www.econbiz.de/10008836118
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Optimal Portfolio Liquidation for CARA Investors
Schied, Alexander; Schöneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2007
We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...
Persistent link: https://www.econbiz.de/10005835745
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Rating Inflation versus Deflation: On Procyclical Credit Ratings
Chen, Yongmin; Gu, Dingwei; Yao, Zhiyong - Volkswirtschaftliche Fakultät, … - 2013
Credit rating agencies play a crucial role in financial markets. There are two competing views regarding their behavior: some argue that they engage in rating inflation, while others suggest that they deflate ratings. This article offers a rationale that reconciles the two opposite arguments. We...
Persistent link: https://www.econbiz.de/10011113295
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An empirical investigation of the arbitrage pricing theory in a frontier stock market: evidence from Bangladesh
FARUQUE, MUHAMMAD U - Volkswirtschaftliche Fakultät, … - 2011
Although the existing literature of Arbitrage Pricing Theory (APT) on different categories of stock markets is vast, it …
Persistent link: https://www.econbiz.de/10011114102
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Moody’s credit ratings and the stock market performance of Portuguese rated firms
Pacheco, Luís - Volkswirtschaftliche Fakultät, … - 2011
performance and guiding investor’s decisions. This paper analyzes the impact of the announcement of changes in Moody’s ratings … over the performance of a set of rated firms quoted in the Portuguese stock market. Following an event study methodology …
Persistent link: https://www.econbiz.de/10009647328
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Does Anonymity Matter in Electronic Limit Order Markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - Volkswirtschaftliche Fakultät, … - 2004
Lecture on the first SFB/TR 15 meeting, Gummersbach, July, 18 - 20, 2004We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve...
Persistent link: https://www.econbiz.de/10005248997
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Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
Schied, Alexander; Schoeneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2008
We consider the infinite-horizon optimal portfolio liquidation problem for a von Neumann-Morgenstern investor in the liquidity model of Almgren (2003). Using a stochastic control approach, we characterize the value function and the optimal strategy as classical solutions of nonlinear parabolic...
Persistent link: https://www.econbiz.de/10005623263