Haku
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Securitization and crash risk : Evidence from large European banks
(11.12.2018)
Bank of Finland Research Discussion Papers 26/2018
Bank of Finland Research Discussion Papers 26/2018
The 2008 global financial crisis highlights the importance of securitization and crash risk. Yet there is a dearth of papers exploring the link between securitization and crash risk. We analyze 7,096 securitization deals ...
The equity risk premium and the low frequency of the term spread
(03.04.2018)
Bank of Finland Research Discussion Papers 7/2018
Bank of Finland Research Discussion Papers 7/2018
We extract cycles in the term spread (TMS) and study their role for predicting the equity risk premium (ERP) using linear models. The low frequency component of the TMS is a strong and robust out-of-sample ERP predictor. ...
Velkakirjojen hinnoittelu arbitraasimallissa
(23.01.1991)
Bank of Finland Research Discussion Papers 3/1991
Bank of Finland Research Discussion Papers 3/1991
Tutkimuksessa tarkastellaan velkakirjan hinnan määräytymistä modernista portfolioteoriasta peräisin olevassa arbitraasikehikossa. Erityisesti käsitellään Coxin, Ingersollin ja Rossin (CIR) intertemporaalista hinnoittelumallia ...
Securitization: a financing vehicle for all seasons?
(15.12.2016)
Bank of Finland Research Discussion Papers 31/2016
Bank of Finland Research Discussion Papers 31/2016
Securitization is considered to be one of the biggest financial innovations of the last century. It is also regarded as both a catalyst and solution to the 2008 financial crisis. Once a popular method of financing the ...
Which financial stocks did short sellers target in the subprime crisis?
(12.02.2015)
Bank of Finland Research Discussion Papers 3/2015
Bank of Finland Research Discussion Papers 3/2015
Tracing the SEC ban on the short selling of financial stocks in September 2008, this paper investigates whether such selling activity before the 2008 short ban reflected financial companies’ risk exposures in the subprime ...
Frequency-domain information for active portfolio management
(09.01.2020)
Bank of Finland Research Discussion Papers 2/2020
Bank of Finland Research Discussion Papers 2/2020
We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the bond risk premium and equity risk premium using a methodology that isolates frequencies (of the ...