Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis / / Jorge Chan-Lau, Estelle Liu, Jochen M. Schmittmann |
Autore | Chan-Lau Jorge |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
Descrizione fisica | 1 online resource (23 p.) |
Altri autori (Persone) |
LiuEstelle
SchmittmannJochen M |
Collana | IMF Working Papers |
Soggetto topico |
Capital market
Investments Banks and Banking Financial Risk Management Investments: Stocks Financial Crises Information and Market Efficiency Event Studies Banks Depository Institutions Micro Finance Institutions Mortgages Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Financial Institutions and Services: Government Policy and Regulation Interest Rates: Determination, Term Structure, and Effects Banking Economic & financial crises & disasters Investment & securities Financial services law & regulation Finance Financial crises Stocks Capital adequacy requirements Yield curve Financial institutions Financial regulation and supervision Financial services Commercial banks Banks and banking Asset requirements Interest rates |
ISBN |
1-4755-7793-1
1-4755-2545-1 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover; Contents; I. Bank Equity Performance during the Recent Crisis; Figures; 1. U.S. and European Banks Price Indices; 2. European Banking Sector Indices, January 2006=100; II. Literature Review; III. Data and Variable Definitions; 3. Excess Equity Returns in the Banking Sector; 4. Sovereign Risk vs. PMI, monthly changes; IV. What Explains Equity Returns in the Banking Sector?; Tables; 1. Banks' Equity Returns: Model Specifications; 2. Banks' Equity Returns: Different Sample Periods; 3. Banks' Equity Returns: United Kingdom, United States, and Japan
4. Banks' Equity Returns: Euro Area CountriesV. Do Bank Characteristics Matter for Explaining Equity Returns?; 5. Banks' Equity Returns and Bank Characteristics; 6. Banks' Equity Returns and Standard Vulnerability Indicators; VI. Conclusions; References; Appendix: I. List of Banks |
Record Nr. | UNINA-9910786480003321 |
Chan-Lau Jorge
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Washington, D.C. : , : International Monetary Fund, , 2012 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
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Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis / / Jorge Chan-Lau, Estelle Liu, Jochen M. Schmittmann |
Autore | Chan-Lau Jorge |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
Descrizione fisica | 1 online resource (23 p.) |
Disciplina | 332.1/52 |
Altri autori (Persone) |
LiuEstelle
SchmittmannJochen M |
Collana | IMF Working Papers |
Soggetto topico |
Capital market
Investments Banks and Banking Financial Risk Management Investments: Stocks Financial Crises Information and Market Efficiency Event Studies Banks Depository Institutions Micro Finance Institutions Mortgages Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Financial Institutions and Services: Government Policy and Regulation Interest Rates: Determination, Term Structure, and Effects Banking Economic & financial crises & disasters Investment & securities Financial services law & regulation Finance Financial crises Stocks Capital adequacy requirements Yield curve Financial institutions Financial regulation and supervision Financial services Commercial banks Banks and banking Asset requirements Interest rates |
ISBN |
1-4755-7793-1
1-4755-2545-1 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover; Contents; I. Bank Equity Performance during the Recent Crisis; Figures; 1. U.S. and European Banks Price Indices; 2. European Banking Sector Indices, January 2006=100; II. Literature Review; III. Data and Variable Definitions; 3. Excess Equity Returns in the Banking Sector; 4. Sovereign Risk vs. PMI, monthly changes; IV. What Explains Equity Returns in the Banking Sector?; Tables; 1. Banks' Equity Returns: Model Specifications; 2. Banks' Equity Returns: Different Sample Periods; 3. Banks' Equity Returns: United Kingdom, United States, and Japan
4. Banks' Equity Returns: Euro Area CountriesV. Do Bank Characteristics Matter for Explaining Equity Returns?; 5. Banks' Equity Returns and Bank Characteristics; 6. Banks' Equity Returns and Standard Vulnerability Indicators; VI. Conclusions; References; Appendix: I. List of Banks |
Record Nr. | UNINA-9910814614303321 |
Chan-Lau Jorge
![]() |
||
Washington, D.C. : , : International Monetary Fund, , 2012 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
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Fundamentals-Based Estimation of Default Probabilities - A Survey / / Jorge Chan-Lau |
Autore | Chan-Lau Jorge |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
Descrizione fisica | 1 online resource (20 p.) |
Collana | IMF Working Papers |
Soggetto topico |
Corporations - Evaluation - Econometric models
Default (Finance) - Econometric models Econometrics Macroeconomics Money and Monetary Policy Industries: Financial Services Monetary Policy, Central Banking, and the Supply of Money and Credit: General Econometric Modeling: General Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) Banks Depository Institutions Micro Finance Institutions Mortgages Monetary economics Econometrics & economic statistics Economic growth Finance Credit Econometric models Business cycles Loans Credit ratings |
ISBN |
1-4623-4173-X
1-4527-5115-3 1-282-39224-7 9786613820679 1-4527-0256-X |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. MACROECONOMIC-BASED MODELS""; ""III. CREDIT SCORING (OR ACCOUNTING-BASED) MODELS""; ""IV. RATINGS-BASED MODELS""; ""V. HYBRID MODELS""; ""VI. CONCLUSIONS""; ""REFERENCES"" |
Record Nr. | UNINA-9910788522203321 |
Chan-Lau Jorge
![]() |
||
Washington, D.C. : , : International Monetary Fund, , 2006 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Fundamentals-Based Estimation of Default Probabilities - A Survey / / Jorge Chan-Lau |
Autore | Chan-Lau Jorge |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
Descrizione fisica | 1 online resource (20 p.) |
Collana | IMF Working Papers |
Soggetto topico |
Corporations - Evaluation - Econometric models
Default (Finance) - Econometric models Econometrics Macroeconomics Money and Monetary Policy Industries: Financial Services Monetary Policy, Central Banking, and the Supply of Money and Credit: General Econometric Modeling: General Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) Banks Depository Institutions Micro Finance Institutions Mortgages Monetary economics Econometrics & economic statistics Economic growth Finance Credit Econometric models Business cycles Loans Credit ratings |
ISBN |
1-4623-4173-X
1-4527-5115-3 1-282-39224-7 9786613820679 1-4527-0256-X |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. MACROECONOMIC-BASED MODELS""; ""III. CREDIT SCORING (OR ACCOUNTING-BASED) MODELS""; ""IV. RATINGS-BASED MODELS""; ""V. HYBRID MODELS""; ""VI. CONCLUSIONS""; ""REFERENCES"" |
Record Nr. | UNINA-9910822788403321 |
Chan-Lau Jorge
![]() |
||
Washington, D.C. : , : International Monetary Fund, , 2006 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices / / Jorge Chan-Lau |
Autore | Chan-Lau Jorge |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
Descrizione fisica | 1 online resource (18 p.) |
Collana | IMF Working Papers |
Soggetto topico |
Corporations - Valuation - Econometric models
Credit derivatives - Prices - Econometric models Default (Finance) - Econometric models Risk - Econometric models Corporate Finance Exports and Imports Investments: Stocks Money and Monetary Policy International Lending and Debt Problems Monetary Policy, Central Banking, and the Supply of Money and Credit: General Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Corporate Finance and Governance: General International economics Monetary economics Investment & securities Ownership & organization of enterprises Debt default Stocks Credit default swap Credit Corporate sector Debts, External Business enterprises |
ISBN |
1-4623-7402-6
1-4527-5317-2 1-282-39213-1 9786613820563 1-4527-0254-3 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. EQUITY RETURNS AND SYSTEMATIC DEFAULT RISK""; ""III. EXTRACTING SYSTEMATIC DEFAULT RISK MEASURES FROM CREDIT DERIVATIVES PRICES""; ""IV. IS SYSTEMATIC DEFAULT RISK PRICED IN EQUITY RETURNS?""; ""V. CONCLUSIONS""; ""REFERENCES"" |
Record Nr. | UNINA-9910788521903321 |
Chan-Lau Jorge
![]() |
||
Washington, D.C. : , : International Monetary Fund, , 2006 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices / / Jorge Chan-Lau |
Autore | Chan-Lau Jorge |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
Descrizione fisica | 1 online resource (18 p.) |
Collana | IMF Working Papers |
Soggetto topico |
Corporations - Valuation - Econometric models
Credit derivatives - Prices - Econometric models Default (Finance) - Econometric models Risk - Econometric models Corporate Finance Exports and Imports Investments: Stocks Money and Monetary Policy International Lending and Debt Problems Monetary Policy, Central Banking, and the Supply of Money and Credit: General Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Corporate Finance and Governance: General International economics Monetary economics Investment & securities Ownership & organization of enterprises Debt default Stocks Credit default swap Credit Corporate sector Debts, External Business enterprises |
ISBN |
1-4623-7402-6
1-4527-5317-2 1-282-39213-1 9786613820563 1-4527-0254-3 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. EQUITY RETURNS AND SYSTEMATIC DEFAULT RISK""; ""III. EXTRACTING SYSTEMATIC DEFAULT RISK MEASURES FROM CREDIT DERIVATIVES PRICES""; ""IV. IS SYSTEMATIC DEFAULT RISK PRICED IN EQUITY RETURNS?""; ""V. CONCLUSIONS""; ""REFERENCES"" |
Record Nr. | UNINA-9910822787803321 |
Chan-Lau Jorge
![]() |
||
Washington, D.C. : , : International Monetary Fund, , 2006 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance / / Jorge Chan-Lau |
Autore | Chan-Lau Jorge |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
Descrizione fisica | 1 online resource (19 p.) |
Collana | IMF Working Papers |
Soggetto topico |
Default (Finance)
Risk management Financial Risk Management Investments: Bonds Investments: Stocks Macroeconomics Money and Monetary Policy International Financial Markets Monetary Policy, Central Banking, and the Supply of Money and Credit: General General Financial Markets: General (includes Measurement and Data) Price Level Inflation Deflation Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Monetary economics Investment & securities Finance Credit default swap Bonds Asset prices Stocks Asset valuation Money Financial institutions Prices Asset and liability management Credit Asset-liability management |
ISBN |
1-4623-7503-0
1-4527-9353-0 1-283-51549-0 1-4519-0898-9 9786613827944 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | ""Contents""; ""I. MARKET-BASED DEFAULT PROBABILITIES AND FINANCIAL SURVEILLANCE""; ""II. CREDIT DEFAULT SWAPS""; ""III. BONDS""; ""IV. EQUITY PRICES""; ""V. FROM RISK-NEUTRAL PROBABILITIES TO REAL-WORLD PROBABILITIES""; ""VI. CONCLUSIONS""; ""REFERENCES"" |
Record Nr. | UNINA-9910788405803321 |
Chan-Lau Jorge
![]() |
||
Washington, D.C. : , : International Monetary Fund, , 2006 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance / / Jorge Chan-Lau |
Autore | Chan-Lau Jorge |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
Descrizione fisica | 1 online resource (19 p.) |
Collana | IMF Working Papers |
Soggetto topico |
Default (Finance)
Risk management Financial Risk Management Investments: Bonds Investments: Stocks Macroeconomics Money and Monetary Policy International Financial Markets Monetary Policy, Central Banking, and the Supply of Money and Credit: General General Financial Markets: General (includes Measurement and Data) Price Level Inflation Deflation Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Monetary economics Investment & securities Finance Credit default swap Bonds Asset prices Stocks Asset valuation Money Financial institutions Prices Asset and liability management Credit Asset-liability management |
ISBN |
1-4623-7503-0
1-4527-9353-0 1-283-51549-0 1-4519-0898-9 9786613827944 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | ""Contents""; ""I. MARKET-BASED DEFAULT PROBABILITIES AND FINANCIAL SURVEILLANCE""; ""II. CREDIT DEFAULT SWAPS""; ""III. BONDS""; ""IV. EQUITY PRICES""; ""V. FROM RISK-NEUTRAL PROBABILITIES TO REAL-WORLD PROBABILITIES""; ""VI. CONCLUSIONS""; ""REFERENCES"" |
Record Nr. | UNINA-9910816282503321 |
Chan-Lau Jorge
![]() |
||
Washington, D.C. : , : International Monetary Fund, , 2006 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|