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  • Nils Friewald, Rainer Jankowitsch, +5 authors Jian Wang
  • 2009
We analyze whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity effects are more pronounced in periods of financial crises, and moreover, for bonds with high credit risk. We use a unique data-set covering more than 20,000 bonds, between October 2004 and December 2008, to examine three(More)
This paper investigates the performance of international affine term structure models (ATSMs) that are driven by a mutual set of global state variables. We discuss which mixture of Gaussian and square root processes is best suited for modelling international bond markets. We derive necessary conditions for the correlation and volatility structure of mixture(More)
This paper describes the financial planning model InnoALM developed by Innovest for Austrian pension funds including their own managed for the Austrian employees of the electronics firm Siemens. The model is one tool in the analysis of the growing worldwide problem of ageing and the growing number of pensioners in an environment of increased demand for(More)
Using an extensive cross-section of US corporate CDS this paper offers an economic understanding of implied loss given default (LGD) and jumps in default risk. We formulate and underpin empirical stylized facts about CDS spreads, which are then reproduced in our affine intensity-based jump-diffusion model. Implied LGD is well identified, with obligors(More)
  • Adam Gehr, Alois Geyer, +9 authors Wolfgang Aussenegg
  • 2001
Reitbauer, Christian Schlag, Peter Theodossiou (the managing editor), Helmut Uhlir, Pieter van Oijen, David Walker, Anja Wodrich, the editor-in-charge, two anonymous referees, participants of the 1999 Conference on Equity Market Development in Emerging and Transition Economies (Amsterdam, December 1999), the 2000 Midwest Finance Association meeting(More)
In this article we estimate default intensities within the continuous time Jarrow/Turnbull (1995) model from daily observations of German bank bond prices, based on the default-free term structure estimated from the Svensson (1994) model provided by the Deutsche Bundesbank. Cross-sectional and time-series estimations are performed. We show that pricing(More)
The London Interbank Offered Rate (Libor) and the Euro Interbank Offered Rate (Euribor) are two key market benchmark interest rates used in a plethora of financial contracts with notional amounts running into the hundreds of trillions of dollars. The integrity of the rate-setting process for these benchmarks has been under intense scrutiny ever since the(More)
This investigation examines the relations between transforma-tional/transactional leadership and performance indicators of 20 diierent banks, using a sample of some 1500 observations. Leadership behavior is measured by the Multifactor Leadership Questionnaire (MLQ), which i s used for the rst time in the German-speaking area. The psychometric quality of the(More)
Many numerical optimization methods use scenario trees as a discrete approximation for the true (multidimensional) probability distributions of the problem’s random variables. Realistic specifications in financial optimization models can lead to tree sizes that quickly become computationally intractable. In this paper we focus on the two main approaches(More)