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Displaying results 1 to 12 of 12.

  1. Manager- und transaktionsspezifische Determinanten der Performance von Arbitrage CLOs
    Author: Scholz, Julia
    Published: 2011
    Publisher:  Fakultät für Betriebswirtschaft, Ludwig-Maximilians-Universität München, München

    Der vorliegende Beitrag untersucht die Determinanten der Performance europäischer Arbitrage Collateralized Loan Obligations für das Jahr 2009. Der Fokus liegt dabei auf der Bedeutung der performanceabhängigen Vergütung des CLO-Managers, den... more

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    Der vorliegende Beitrag untersucht die Determinanten der Performance europäischer Arbitrage Collateralized Loan Obligations für das Jahr 2009. Der Fokus liegt dabei auf der Bedeutung der performanceabhängigen Vergütung des CLO-Managers, den 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 Wahrscheinlichkeit herabgestuft werden als Transaktionen ohne Incentive Fee. Dieser Befund bestätigt die Hypothese, dass durch die Incentive Fee Risikoanreize für CLO-Manager geschaffen werden. Des Weiteren wird ein positiver Zusammenhang zwischen der Erfahrung bzw. der Größe eines CLO-Managers und der Rating Performance festgestellt. Der Einfluss des Managers auf die Performance einer CLO-Transaktion wird auch an den weiteren in der Studie herangezogenen managerspezifischen Charakteristika wie Typ und Unternehmenssitz bestätigt. Für die Transaktionscharakteristika wird hingegen im betrachteten Untersuchungszeitraum kein signifikanter Einfluss auf die Rating Performance nachgewiesen.

     
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    Source: Union catalogues
    Language: German
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/104528
    Series: Array ; 2011-01
    Subjects: Internationaler Kredit; Anleihe; Arbitrage; Verbriefung; Bankmanager; Leistungsanreiz; Ratingagentur; Bewertung; Korrelation
    Scope: Online-Ressource (40 S.)
  2. Do markets perceive sukuk and conventional bonds as different financing instruments?
    Author: Godlewski, Christophe J.; Turk Ariss, Rima; Weill, Laurent
    Published: 2011
    Publisher:  Bank of Finland, Helsinki

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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789524627016
    Other identifier:
    hdl: 10419/212694
    Series: BOFIT Discussion papers ; 06/2011
    Subjects: Islamisches Finanzsystem; Anleihe; Börsengang; Ereignisstudie; Malaysia
    Scope: Online-Ressource (37 S., 0.84 MB)
  3. Volatility patterns of CDS, bond and stock markets before and during the financial crisis
    evidence from major financial institutions
    Author: Belke, Ansgar; Gokus, Christian
    Published: 2011
    Publisher:  RWI, Essen

    This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on... more

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    This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility clustering. But very few studies dealing with credit default swaps account for the characteristics of the variances. Our aim is to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks over the period ranging from January 01, 2006, to December 31, 2009. More specifically, a multivariate GARCH approach fits the data very well and also accounts for the dependency structure of the variables under consideration. With the commonly known shortcomings of credit ratings, the demand for market-based indicators has risen as they can help to assess the creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of crisis. This is particularly evident in the variances of stock returns and CDS spread changes. Furthermore, correlations and covariances are time-varying and also increased in absolute values after the outbreak of the crisis, indicating stronger dependency among the examined variables. Specific events which have a huge impact on the financial markets as a whole (e.g. the collapse of Lehman Brothers) are also visible in the (co)variances and correlations as strong movements in the respective series. -- Bond markets ; credit default swaps ; credit risk ; financial crisis ; GARCH ; stock markets ; volatility

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783867882798
    Other identifier:
    hdl: 10419/45305
    Series: Ruhr economic papers ; 243
    Subjects: Kreditderivat; Bank; Anleihe; Risikoprämie; Börsenkurs; Volatilität; Finanzkrise; Bankenkrise; Schätzung; USA
    Scope: Online-Ressource (PDF-Datei: 36 S., 563 KB), graph. Darst.
    Notes:

    Parallel als Druckausg. erschienen
  4. When bonds matter
    home bias in goods and assets
    Author: Coeurdacier, Nicolas; Gourinchas, Pierre-Olivier
    Published: 2011
    Publisher:  Centre for Economic Policy Research, London

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    W 32 (8649)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 8649
    Subjects: Portfoliodiversifikation; Portfolio-Management; International; Anleihe; Aktie; Theorie; G7-Staaten
    Scope: 59 S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen
  5. When bonds matter
    home bias in goods and assets
    Author: Coeurdacier, Nicolas; Gourinchas, Pierre-Olivier
    Published: 2011

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 17560
    Subjects: Portfoliodiversifikation; Portfolio-Management; International; Anleihe; Aktie; Theorie; G7-Staaten
    Scope: 61 S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen
  6. Default, liquidity and crises
    an econometric framework
    Author: Monfort, Alain; Renne, Jean-Paul
    Published: 2011
    Publisher:  Banque de France, Paris

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Document de travail / Banque de France ; 340
    Subjects: Anleihe; Kreditrisiko; Zinsstruktur; Ökonometrisches Modell
    Scope: Online-Ressource (PDF-Datei: 41 S.), graph. Darst.
    Notes:

    Zsfassung in franz. Sprache
  7. Volatility patterns of CDS, bond and stock markets before and during the financial crisis
    evidence from major financial institutions
    Author: Belke, Ansgar; Gokus, Christian
    Published: 2011
    Publisher:  DIW, Berlin

    This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on... more

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    This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility clustering. But very few studies dealing with credit default swaps account for the characteristics of the variances. Our aim is to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks over the period ranging from January 01, 2006, to December 31, 2009. More specifically, a multivariate GARCH approach fits the data very well and also accounts for the dependency structure of the variables under consideration. With the commonly known shortcomings of credit ratings, the demand for market-based indicators has risen as they can help to assess the creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of crisis. This is particularly evident in the variances of stock returns and CDS spread changes. Furthermore, correlations and covariances are time-varying and also increased in absolute values after the outbreak of the crisis, indicating stronger dependency among the examined variables. Specific events which have a huge impact on the financial markets as a whole (e.g. the collapse of Lehman Brothers) are also visible in the (co)variances and correlations as strong movements in the respective series. -- Bond markets ; credit default swaps ; credit risk ; financial crisis ; GARCH ; stock markets ; volatility

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/52537
    Series: Discussion papers / German Institute for Economic Research ; 1107
    Subjects: Kreditderivat; Bank; Anleihe; Risikoprämie; Börsenkurs; Volatilität; Finanzkrise; Bankenkrise; Schätzung; USA
    Scope: Online-Ressource (PDF-Datei: 33 S., 558 KB), graph. Darst.
  8. The negative CDS-bond basis and convergence trading during the 2007/09 financial crisis
    Author: Fontana, Alessandro
    Published: 2011
    Publisher:  Swiss Finance Inst., Genève

    This papers studies the CDS-bond basis, i.e. a measure of price discrepancies between CDS and bonds spreads, for a sample of investment-graded US firms. Results show that during the 2007/09 financial crisis the basis was time varying and negatively... more

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    This papers studies the CDS-bond basis, i.e. a measure of price discrepancies between CDS and bonds spreads, for a sample of investment-graded US firms. Results show that during the 2007/09 financial crisis the basis was time varying and negatively correlated to: the "Libor-OIS" spread, a proxy for the increased funding cost and risk in the interbank lending market, to measures of "bond value uncertainty", which proxy for the increase in "haircuts" and to the "OIS-Tbill" spread, a proxy for the "flight-to-liquidity" and its related liquidity premium. Moreover, large losses erased the capital used to fund margin requirements and forced convergence traders to close their positions prematurely, thus amplifying large shocks. CDS, bond spread, funding liquidity, repurchase agreement, convergence trading, financial crisis

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Research paper series / Swiss Finance Institute ; 11,41
    Swiss Finance Institute Research Paper ; No. 11-41
    Subjects: Kreditderivat; Anleihe; Börsenkurs; Marktliquidität; Finanzkrise; USA
    Scope: Online-Ressource (PDF-Datei: 59 S.), graph. Darst.
  9. Volatility patterns of CDS, bond and stock markets before and during the financial crisis
    evidence from major financial institutions
    Author: Belke, Ansgar; Gokus, Christian
    Published: 2011
    Publisher:  ROME, Düsseldorf

    This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 426 (2011,2)
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    This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility clustering. But very few studies dealing with credit default swaps account for the characteristics of the variances. Our aim is to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks over the period ranging from January 01, 2006, to December 31, 2009. More specifically, a multivariate GARCH approach fits the data very well and also accounts for the dependency structure of the variables under consideration. With the commonly known shortcomings of credit ratings, the demand for market-based indicators has risen as they can help to assess the creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of crisis. This is particularly evident in the variances of stock returns and CDS spread changes. Furthermore, correlations and covariances are time-varying and also increased in absolute values after the outbreak of the crisis, indicating stronger dependency among the examined variables. Specific events which have a huge impact on the financial markets as a whole (e.g. the collapse of Lehman Brothers) are also visible in the (co)variances and correlations as strong movements in the respective series.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/88201
    Series: ROME discussion paper series ; 11-02
    Subjects: Kreditderivat; Bank; Anleihe; Risikoprämie; Börsenkurs; Volatilität; Finanzkrise; Bankenkrise; Schätzung; USA
    Scope: Online-Ressource (33 S.), graph. Darst.
  10. Coco design as a risk preventive tool
    Author: Flannery, Mark J.; Perotti, Enrico
    Published: 2011
    Publisher:  Duisenberg School of Finance, Amsterdam

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Duisenberg School of Finance policy paper series ; 11
    Subjects: Anleihe; Kreditrisiko; Kreditderivat; Coco-bonds
    Scope: Online-Ressource ([9] S.)
  11. The journal of fixed income
    Published: 1991-; 1999-2018
    Publisher:  IPR Journals, London ; Institutional Investor, New York, NY

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    Source: Union catalogues
    Language: English
    Media type: Journal
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    ISSN: 1059-8596
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    swets: 02092328
    RVK Categories: QA 10000
    Subjects: Anleihe; Portfolio-Management; Institutioneller Investor
  12. The journal of fixed income
    JFI
    Published: [1991]-; 1999-2018
    Publisher:  IPR Journals, London ; Institutional Investor, New York, NY

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    Source: Union catalogues
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    Media type: E-Journal
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    ISSN: 2168-8648
    Other identifier:
    pq12246
    Subjects: Anleihe; Portfolio-Management; Institutioneller Investor
    Scope: Online-Ressource
    Notes:

    Gesehen am 28.11.2023