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Credit dynamics in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...

Persistent link: https://www.econbiz.de/10011293918

Evidence about the transmission of monetary policy

Laine, Olli-Matti - 2022

This doctoral dissertation analyses the transmission of monetary policy. It applies a variety of empirical methods to study how conventional and unconventional monetary policy measures transmit to different macroeconomic and financial variables. The first article analyses the effect of monetary...

Persistent link: https://www.econbiz.de/10013207407

Essays on real estate and financial crisis : from the US housing market downturn to the global financial crisis

Witt, Christian - 2015

possibly been intact today. No financial contagion would have been released. But unfortunately, all of these events did occur …

Persistent link: https://www.econbiz.de/10011346892

Social Influence, status, and entrepreneurial entry : evidence from the comic book industry

Engel, Michael - 2019

hypotheses on proximity-based contagion and status-based convergence mechanisms and test them in the context of the comic book …

Persistent link: https://www.econbiz.de/10012107870

Essays on systemic risk and stock market contagion

Wewel, Claudio Nicolai - 2014

This thesis consists out of three essays on systemic risk in the banking system and stock market contagion. The first … contagion dominated in the US and European banking systems at the onset of the Subprime Crisis. The second essay (Döring … international stock market contagion investigating pre-and post-event cross-market correlation on national and international stock …

Persistent link: https://www.econbiz.de/10010336326