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Showing results 121 to 137 of 137
  Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common CurrencyLehnert, Thorsten  Scientific Conference (2012) Detailed reference viewed: 11 (0 UL) Does the GARCH Structural Credit Risk Model Make a Difference?Jin, Xisong ; Lehnert, Thorsten 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 ▲] Detailed reference viewed: 116 (3 UL)The Relative Informational Efficiency of Stocks, Options and Credit Default SwapsBekkour, Lamia ; Lehnert, Thorsten ; E-print/Working paper (2011) Detailed reference viewed: 58 (2 UL)The Relative Informational Efficiency of Stocks, Options and Credit Default SwapsBekkour, Lamia ; Lehnert, Thorsten ; E-print/Working paper (2011) Detailed reference viewed: 54 (1 UL)The Relative Informational Efficiency of Stocks, Options and Credit Default SwapsBekkour, Lamia ; ; Lehnert, Thorsten 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 ▲] Detailed reference viewed: 82 (9 UL)Large Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic CopulasJin, Xisong ; Lehnert, Thorsten E-print/Working paper (2011) Detailed reference viewed: 77 (2 UL)Modeling Structural Changes in the Volatility ProcessLehnert, Thorsten ; ; in Journal of Empirical Finance (2011) Detailed reference viewed: 51 (0 UL)Contagion or Interdependence: Does the speed of the transmission of shocks matter?Lehnert, Thorsten ; ; in Financial Contagion: The Viral Threat to the Wealth of Nations (2011) Detailed reference viewed: 43 (1 UL)Cultural Values, CEO Risk Aversion and Corporate TakeoversLehnert, Thorsten ; ; et alE-print/Working paper (2011) Detailed reference viewed: 64 (2 UL)TIPS, Inflation Expectations, and the Financial CrisisLehnert, Thorsten ; ; in Financial Analysts Journal (2010), 66(6), 27-39 Detailed reference viewed: 82 (1 UL)Modeling structural changes in the volatility processLehnert, Thorsten ; ; E-print/Working paper (2010) Detailed reference viewed: 48 (1 UL)Behavioral Heterogeneity in the Option MarketLehnert, Thorsten ; ; in Journal of Economic Dynamics & Control (2010) Detailed reference viewed: 58 (0 UL)A Cumulative Prospect Theory Approach to Option PricingLehnert, Thorsten ; Wolff, Christian ; E-print/Working paper (2009) Detailed reference viewed: 131 (0 UL)Behavioral Heterogeneity in the Option MarketLehnert, Thorsten ; ; E-print/Working paper (2009) Detailed reference viewed: 52 (0 UL)Loss Functions in Option Valuation: A Framework for Model SelectionWolff, Christian ; ; Lehnert, Thorsten in Management Science (2009), 55(5), 853-862 Detailed reference viewed: 82 (4 UL) Mandelbrot and the SmileLehnert, Thorsten in Kredit und Kapital (2009) Detailed reference viewed: 20 (1 UL)Loss Functions in Option Valuation: A Framework for SelectionLehnert, Thorsten ; Wolff, Christian ; E-print/Working paper (2008) Detailed reference viewed: 66 (0 UL) |
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