References of "Lehnert, Thorsten 50002191"
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See detailDoes the GARCH Structural Credit Risk Model Make a Difference?
Jin, Xisong UL; Lehnert, Thorsten UL

E-print/Working paper (2011)

In this study, we empirically investigate and evaluate various approaches to structurally assess credit risk using a panel of European banking groups. We consider not only the standard approaches in the ... [more ▼]

In this study, we empirically investigate and evaluate various approaches to structurally assess credit risk using a panel of European banking groups. We consider not only the standard approaches in the literature, but also include models that allow the asset volatility to be stochastic and models that allow for short- and long-term components of default risk. Models are evaluated by comparing their ability to correctly and timely identify changes in risk indicators. Surprisingly, we find that the GARCH structural credit risk model, despite its more sophisticated modeling approach, typically underperforms more basic models. Importantly for macro-prudential policy, the combined Merton/GARCH-MIDAS model performs best and reflects important market events earlier than the other approaches. [less ▲]

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See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia UL; Lehnert, Thorsten UL; Amadori, Maria Chiara

E-print/Working paper (2011)

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See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia UL; Lehnert, Thorsten UL; Chiara Amadori, Maria

E-print/Working paper (2011)

Detailed reference viewed: 54 (1 UL)
See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia UL; MARIA CHIARA, AMADORI; Lehnert, Thorsten UL

Scientific Conference (2011)

In this study, we investigate the dynamics behind informed investors’ trading decisions among Eu-ropean stock, options and credit default swap markets. This allows us to identify the predictive ex ... [more ▼]

In this study, we investigate the dynamics behind informed investors’ trading decisions among Eu-ropean stock, options and credit default swap markets. This allows us to identify the predictive ex-planatory power of the unique information contained in each market with respect to future stock, CDS and option market movements. A lead-lag relation is found between the CDS market and the other markets, in which changes in CDS spreads are able to consistently forecast changes in stock prices and equity options’ implied volatilities pointing out how the fast growing CDS market seems to play a special role in the price discovery process. Moreover, in contrast to US results, the stock market is found to forecast changes in the other two markets suggesting that investors also prefer stock market involvement to exploit their information advantages and then move to CDS and option markets. Interestingly, those patterns have only emerged during the recent financial crisis, while before the crisis the option market was found to be of major importance in the price discovery process. [less ▲]

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See detailModeling Structural Changes in the Volatility Process
Lehnert, Thorsten UL; Frijns, Bart; Zwinkels, R.

in Journal of Empirical Finance (2011)

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See detailContagion or Interdependence: Does the speed of the transmission of shocks matter?
Lehnert, Thorsten UL; Verschoor, Willem; Kleimeier, Stefanie

in Financial Contagion: The Viral Threat to the Wealth of Nations (2011)

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See detailCultural Values, CEO Risk Aversion and Corporate Takeovers
Lehnert, Thorsten UL; Frijns, Bart; Gilbert, Aaron et al

E-print/Working paper (2011)

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See detailTIPS, Inflation Expectations, and the Financial Crisis
Lehnert, Thorsten UL; Andonov, A.; Bardong, F.

in Financial Analysts Journal (2010), 66(6), 27-39

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See detailModeling structural changes in the volatility process
Lehnert, Thorsten UL; Frijns, Bart; C.J. Zwinkels, Remco

E-print/Working paper (2010)

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See detailBehavioral Heterogeneity in the Option Market
Lehnert, Thorsten UL; Frijns, Bart; Zwinkels, R.

in Journal of Economic Dynamics & Control (2010)

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See detailA Cumulative Prospect Theory Approach to Option Pricing
Lehnert, Thorsten UL; Wolff, Christian UL; Versluis, Cokki

E-print/Working paper (2009)

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See detailBehavioral Heterogeneity in the Option Market
Lehnert, Thorsten UL; Frijns, Bart; Zwinkels, Remco

E-print/Working paper (2009)

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See detailLoss Functions in Option Valuation: A Framework for Model Selection
Wolff, Christian UL; Bams, D.; Lehnert, Thorsten UL

in Management Science (2009), 55(5), 853-862

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See detailMandelbrot and the Smile
Lehnert, Thorsten UL

in Kredit und Kapital (2009)

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See detailLoss Functions in Option Valuation: A Framework for Selection
Lehnert, Thorsten UL; Wolff, Christian UL; Bams, Dennis

E-print/Working paper (2008)

Detailed reference viewed: 66 (0 UL)