1,721,016 research outputs found
Creditor coordination with social learning and endogenous timing of credit decisions
Get PDFIn case of multiple source lending even solvent firms may be forced into bankruptcy due to uncoordinated credit withdrawals of their lenders. This paper analyzes whether a debtor firm can thwart such inefficient liquidations by offering creditors the option to delay their foreclosure decision rather than obliging them to simultaneous actions as suggested by Morris and Shin (2004). With this option, lenders can endogenously determine the timing of their credit decisions, trading of the informational benefit from waiting against the associated cost of delay. Our results state that the option to delay diminishes creditor coordination failure whenever the firm is expected to be in distress. --global games,creditor coordination failure,option to delay,social learning
Insider trading in Germany: Do corporate insiders exploit inside information?
Get PDFOur study analyzes a large sample of transactions carried out by corporate insiders reported to the German regulatory authority BaFin in the period July 1, 2002 to April 30, 2005 employing event study methodology. In particular, we focus on the question whether corporate insiders exploit inside information while trading in their company's stock. Therefore we use a distinct property of German law, i.e. company's obligation to reveal inside information through ad-hoc news disclosures, to link trading of insiders to their foreknowledge of important corporate news. We find strong evidence that insiders exploit inside information as they earn above average profits by front-running on subsequent news disclosures. Furthermore, looking at the type of insider, we find that members of the supervisory board (directors) and the group of other insiders (basically family members of senior managers and directors) profit substantially from exploiting inside information. In contrast, members of the executive board (senior managers) can be largely exculpated from exploiting inside information as they realize below average returns with their rare front-running transactions. --insider trading,inside information,§15a WpHG,German stock market,regulation of financial markets
Deriving the dependence structure of portfolio credit derivatives using evolutionary algorithms
Get PDFEven if the correct modeling of default dependence is essential for the valuation of portfolio credit derivatives, for the pricing of synthetic CDOs a one-factor Gaussian copula model with constant and equalpairwise correlationsfor all assets in the reference portfolio has become the standard market model. If this model were a re?ection of market opinion, there wouldn't be the implied correlation smilethatis observedinthe market. Thepurposeof thispaperistoderive a correlation structure from observed CDO tranche spreads. The correlation structure is chosen such that all tranche spreads of the traded CDO can be reproduced. This implied correlation structure can then be used to price o?-market tranches with the same underlying as the traded CDO. Using this approach we can significantly reduce the risk to misprice o?-market derivatives. Due to the complexity of the optimization problem we apply Evolutionary Algorithms. --
Risk preference based option pricing in a fractional Brownian market
Get PDFWe focus on a preference based approach when pricing options in a market driven by fractional Brownian motion. Within this framework we derive formulae for fractional European options using the traditional idea of conditional expectation. The obtained formulae - as well as further results - accord with classical Brownian theory and con?rm economic intuition towards fractional Brownian motion. Furthermore the in?uence of the Hurst parameter H on the price of a European option will be analyzed. --Fractional Brownian motion,Conditional expectation,Risk preference based option pricing,Fractional option pricing,Fractional Greeks
The proximity-concentration trade-off in a dynamic framework
Get PDFThis paper presents a dynamic framework which implements risk as a continuous variable into the proximity-concentration trade-of concept. Additionally firms have the possibility to postpone their investment decision which gives them the possibility to collect further information about the volatile variable over time. On the basis of the real option theory (Dixit and Pindyck, 1994) an investment plan under uncertainty is derived. In contrast to static models firms postpone their investment decision although positive returns can be achieved. For specific risk values the model predicts, in the presence of a foreign direct investment choice, the export strategy can be rejected although it is dominating the FDI project and although it is worthier than its option value. The results of the model undermine empirical findings which analyze the impact of continuous variables on export and FDI patterns. --export,FDI,uncertainty,real option approach
Credibility theory and filter theory in discrete and continuous time
Get PDFIt is well known that credibility theory in discrete time is closely related to the discrete technique of Kalman filtering. In this paper we show the close relationship between credibility theory and filter theory in discrete and continuous time as well as between credibility theory in a discrete and continuous time setting. --
Kreditmärkte und Innovationsaktivität
No full textKreditmärkte und Innovationsaktivität / Hans Jürgen Ramser ; Manfred Stadler. - In: Ifo-Studien. 41. 1995. S. 187-20
Marktstruktur und Innovationen
No full textMarktstruktur und Innovationen : e. modelltheoret. Analyse / von Bernhard Gahlen u. Manfred Stadler. - Augsburg, 1986. - 59 S. - (Arbeitspapiere zur Strukturanalyse ; 39
Marktstruktur und Innovationen: eine modelltheoretische Analyse
No full textMarktstruktur und Innovationen : e. modelltheoret. Analyse / von Bernhard Gahlen u. Manfred Stadler. - Augsburg, 1986. - 59 S. - (Arbeitspapiere zur Strukturanalyse ; 39
Success breeds success
No full textSuccess breeds success : the dynamics of the innovation process / Gebhard Flaig ; Manfred Stadler. - In: Empirical economics. 19. 1994. S. 55-6
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