323 research outputs found
The Subprime Asset-Backed Securities Market and the Equity Prices of Large Complex Financial Institutions
No full textIn this paper, we investigate the relationship between the subprime asset-backed collateralized debt obligations (CDO) market and Large Complex Financial Institutions (LCFIs). We attempt to account for the dynamics between the ABX index returns and the banks' equity returns through conditioning our analysis on the historical correlation between the variables. Three key results emerge from the analysis. First, we find a positive correlation between movements of the ABX index and the equity returns for all the LCFIs. Second, the volatility of ABX index returns tend to be transmitted to the volatilities of the equity returns of the financial institutions. Third, ABX prices changes lead equity returns changes of the European-based LCFIs. For the US LCFIs a two-way linkage emerges
2nd generation ASICs for CALICE/EUDET calorimeters
No full textOn behalf of CALICE CollaborationInternational audienc
CDX and iTraxx and their relation to the systemically important financial institutions: Evidence from the 2008-2009 financial crisis
No full textThis paper empirically investigates the linkages between the CDS index market and the
equity returns of a sample of systemically important financial institutions (SIFIs). Both the 5-
year investment grade iTraxx Europe and the 5-year investment grade CDX North America
indexes are adopted as a market consensus of the overall credit risk in the financial system.
Through a multivariate VAR model using historical data, the investigation uncovers three key
findings. First, the equity returns for all systematically important institutions are inversely
associated to shocks in the CDS index market. Second, European institutions demonstrate a
stronger connection with the iTraxx whilst the US institutions are more closely related to the
CDX. Furthermore, volatility originating in the CDS index market is unambiguously
transmitted to both the insurance and the banking sector. Third, US banks are most severely
distressed by the volatility transmission mechanism whilst European insurers are least
affected
G. de Jerphanion. Le calice d'Antioche
No full textBréhier Louis. G. de Jerphanion. Le calice d'Antioche. In: Journal des savants, Mai 1928. pp. 230-231
The effects of stress testing on US banks' off-balance sheet activities
No full textThis paper investigates the effects of the new post-financial crisis regulatory regime – risk-based capital ratios (RBC) and stress tests – on banks' off-balance sheet activities (OBS). We use a panel of US bank holding companies over the period 2001–2018 to examine the relationship between banks' capital levels and OBS activities. Our major finding is that banks significantly reduced their OBS exposure following the introduction of the new capital regulatory framework requirements. In particular, we show that tighter regulatory RBC resulted in a reduction of OBS activities in well-capitalised banks. Conversely, we find that under-capitalised banks increased their OBS activities, which suggests the possibility of regulatory arbitrage
Jerphanion (G. de), S. J., Le calice d'Antioche : les théories du Dr Eisen et la date probable du calice. (= « Orientalia Christiana », vol. VII, n°27)
No full textSalaville Sévérien. Jerphanion (G. de), S. J., Le calice d'Antioche : les théories du Dr Eisen et la date probable du calice. (= « Orientalia Christiana », vol. VII, n°27). In: Échos d'Orient, tome 26, n°146, 1927. pp. 238-241
Jerphanion (G. de), S. J., Le calice d'Antioche : les théories du Dr Eisen et la date probable du calice. (= « Orientalia Christiana », vol. VII, n°27)
No full textSalaville Sévérien. Jerphanion (G. de), S. J., Le calice d'Antioche : les théories du Dr Eisen et la date probable du calice. (= « Orientalia Christiana », vol. VII, n°27). In: Échos d'Orient, tome 26, n°146, 1927. pp. 238-241
Exploring risk premium factors for country equity returns
No full textIn this paper, we study a comprehensive set of risk premia of country equity returns for 45 countries over the sample period 2002 to 2018 in both a single and a multiple factor setting. Using a new three-pass estimation method for factor risk premia by Giglio and Xiu (2021), we find that several factors, including default risk, are also priced in country equity excess returns, controlled by the Fama–French 5-factor and Carhart model. Moreover, we apply a novel approach to investigate the multi-factor impact on country equity returns. We find that the multi-factor information, constructed from the first principal component of the statistically significant single factors, provides a consistent and stronger prediction of anomalies in country equity returns
Forecasting options prices using discrete time volatility models estimated at mixed timescales
No full textOption pricing models traditionally have utilized continuous-time frameworks to derive solutions or Monte Carlo schemes to price the contingent claim. Typically these models were calibrated to discrete-time data using a variety of approaches. Recent work on GARCH based option pricing models have introduced a set of models that easily can be estimated via MLE or GMM directly from discrete time spot data. This paper provides a series of extensions to the standard discrete-time options pricing setup and then implements a set of various pricing approaches for a very large cross-section of equity and index options against the forward-looking traded market price of these options, out-of-sample. Our analysis provides two significant findings. First, we provide clear evidence that including autoregressive jumps in the options model is critical in determining the correct price of heavily out-of-the money and in-the-money options relatively close to maturity. Second, for longer maturity options, we show that the anticipated performance of the popular component GARCH models, which exhibit long persistence in volatility, does not materialize. We ascribe this result in part to the inherent instability of the numerical solution to the option price in the presence of component volatility. Taken together, our results suggest that when pricing options, the first best approach is to include jumps directly in the model, preferably using jumps calibrated from intraday data
The CALICE hadron scintillator tile calorimeter prototype
No full textThe CALICE Collaboration develops high granularity calorimeters to achieve excellent energy resolution at ILC. One type is a four million channel scintillator tile Hadron Calorimeter (AHCAL) read out with novel photodetectors—Silicon PhotoMultipliers (SiPM). A 1 m3 prototype with 7608 channels was built in order to test the Particle Flow concept and to gain experience with the novel techniques. The prototype and MEPhI/Pulsar SiPMs have demonstrated excellent performance and stability during several months of testing at CERN and FNAL in 2006–2008. Less than 0.08% of SiPMs are broken. The SiPM calibration and monitoring procedures have been developed. Improved SiPMs have been developed by CPTA for the next engineering prototype and their properties are discussed. This prototype will have very slim sensitive planes with electronics inside. It addresses all engineering issues relevant to the real calorimeter at ILC
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