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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
| 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
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
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
| 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 Asset requirements Banking Banks and Banking Banks and banking Banks Capital adequacy requirements Commercial banks Depository Institutions Economic & financial crises & disasters Event Studies Finance Financial Crises Financial crises Financial Institutions and Services: Government Policy and Regulation Financial institutions Financial Instruments Financial regulation and supervision Financial Risk Management Financial services law & regulation Financial services Information and Market Efficiency Institutional Investors Interest rates Interest Rates: Determination, Term Structure, and Effects Investment & securities Investments: Stocks Micro Finance Institutions Mortgages Non-bank Financial Institutions Pension Funds Stocks Yield curve |
| ISBN |
9781475577938
1475577931 9781475525458 1475525451 |
| 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-9910974026903321 |
|
Chan-Lau Jorge
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fundamentals-Based Estimation of Default Probabilities - A Survey / / Jorge Chan-Lau
| 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 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fundamentals-Based Estimation of Default Probabilities - A Survey / / Jorge Chan-Lau
| 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 Banks Business cycles Credit ratings Credit Depository Institutions Econometric Modeling: General Econometric models Econometrics & economic statistics Econometrics Economic growth Finance Industries: Financial Services Loans Macroeconomics Micro Finance Institutions Monetary economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Money and Monetary Policy Mortgages Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) |
| ISBN |
9786613820679
9781462341733 146234173X 9781452751153 1452751153 9781282392243 1282392247 9781452702568 145270256X |
| 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-9910970497903321 |
|
Chan-Lau Jorge
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| 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
| 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 | ||
| Materiale a stampa | ||
| 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
| 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 Business enterprises Corporate Finance and Governance: General Corporate Finance Corporate sector Credit default swap Credit Debt default Debts, External Exports and Imports Financial Instruments Institutional Investors International economics International Lending and Debt Problems Investment & securities Investments: Stocks Monetary economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Money and Monetary Policy Non-bank Financial Institutions Ownership & organization of enterprises Pension Funds Stocks |
| ISBN |
9786613820563
9781462374021 1462374026 9781452753171 1452753172 9781282392137 1282392131 9781452702544 1452702543 |
| 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-9910970497703321 |
|
Chan-Lau Jorge
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance / / Jorge Chan-Lau
| 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 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance / / Jorge Chan-Lau
| 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 Asset and liability management Asset prices Asset valuation Asset-liability management Bonds Credit default swap Credit Deflation Finance Financial institutions Financial Instruments Financial Risk Management General Financial Markets: General (includes Measurement and Data) Inflation Institutional Investors International Financial Markets Investment & securities Investments: Bonds Investments: Stocks Macroeconomics Monetary economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Money and Monetary Policy Money Non-bank Financial Institutions Pension Funds Price Level Prices Stocks |
| ISBN |
9786613827944
9781462375035 1462375030 9781452793535 1452793530 9781283515498 1283515490 9781451908985 1451908989 |
| 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-9910955023003321 |
|
Chan-Lau Jorge
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||