As observed throughout the financial crisis in 2008 CDS contracts are not only exposed to the credit risk of the underlying reference entity but also to the counterparty risk of the protection seller. Conducting a panel regression analysis based on CDS contracts from 2004 to 2009 in Europe and North America for 198 reference entities we find that market-oriented counterparty risk measures are reflected in the pricing of CDS contracts. The impact of counterparty risk is decreasing with a higher creditworthiness of the underlying reference entity. We show that counterparty risk has been incorporated in the CDS spreads for North American reference entities already prior to the financial crisis, whereas for European reference entities the pricing impact only intensified with the outbreak of the financial crisis in September 2008. Market-based counterparty risk measures have a higher impact on the pricing of CDS contracts as compared to measures relying on the correlation structures of asset returns of reference entities and CDS counterparties.
In this paper, we analyze the question of whether companies that sell assets
to private equity funds experience higher abnormal returns than companies
that sell assets to buyers with strategic interests. Moreover, we investigate
whether companies that sell assets to private equity investors have different
changes in systematic risks than companies that sell to strategic buyers. Using
data for asset sales in Germany, Switzerland and Austria and employing event
study methodology, we find that the announcement of asset sales generally
generates positive abnormal returns with the transactions where there is a
private equity buyer having significantly higher abnormal returns compared to
transactions where there is a strategic buyer. On the other hand, we find no
evidence of changes in systematic risk, neither for the sample consisting of all
transactions nor for the sub-samples of sales to private equity funds and strategic
buyers, respectively.
Bisher waren Privat- und Grossbanken im asiatischen Raum in einer Vorreiterrolle. Inzwischen expandieren auch unabhängige Vermögensverwalter verstärkt.
For business schools, globalization represents both an opportunity and a challenge at the same time. International networks and partnership structures offer new dimensions for educational programs. Yet, existing structures have to be adjusted. A new trend is that traditional means of internationalization are now expanded by overseas campuses, representative offices, joint education programs and research institutes towards the formation of a truly global business school. Our paper proposes a conceptual framework defining six different stages in business school globalization. In this context we distinguish between three broad types of strategies: traditional, semi-globalization and globalization strategies. For each of our model stages we display empirical evidence on the basis of best practice examples on how business schools can implement the different strategies and also move along from a traditional business school set-up to a globalized business school.
Die vorliegende Studie ist das Ergebnis einer Befragung des Kompetenzzentrums Sourcing in der Finanzindustrie 3 (CC Sourcing). Im Zeitraum von Dezember 2008 bis September 2009 befragte das CC Sourcing 104 Unternehmen mittels Fragebogen sowie 10 persönlichen Interviews zum Stand und zur zukünftigen Entwicklung der Bankenindustrie.
With short term interest rates bounded at zero, monetary policy has aimed at affecting the yield curve at the longer end during the recent years. As the recent literature has shown, the quantitative easing programs conducted by the Federal reserve have significantly lowered long-term yields. This paper adds central bank reserves as a fourth factor to an affine term structure model to estimate the effect of quantitative easing on the yield curve. The cumulative effect on 10-year Treasury securities during the zero lower bound period is estimated to amount to 85 basis points. Of the total effect, one quarter is shown to be due to the liquidity effect and three quarters to the supply effect. To disentangle the two effects, the estimates for the US are compared to estimates for Swiss data because the Swiss national bank did not engage in any government bond purchases.
We ask whether the markets expected the Swiss National Bank (SNB) to discontinue the 1.20 cap on the Swiss franc against the euro in January 2015. In the run-up to the SNB announcement, neither options on the euro/Swiss franc nor FX liquidity indicated a significant shift in market expectations. Furthermore, we find that the SNB's verbal interventions during the period of cap enforcement reduced the uncertainty of future euro/Swiss franc rate significantly and therefore reinforced the perceived continuation of the policy.
If central banks value the ex-post accuracy of their forecasts, previously announced interest rate paths might affect the current policy rate. We explore whether this "forecast adherence" has influenced the monetary policies of the Reserve Bank of New Zealand and the Norges Bank, the two central banks with the longest history of publishing interest rate paths. We derive and estimate a policy rule for a central bank that is reluctant to deviate from its forecasts. The rule can nest a variety of interest rate rules. We find that policymakers appear to be constrained by their most recently announced forecasts.
Using the high-frequency identification from Piazzesi (2005), this study estimates a Gaussian term structure model on daily US interest rates data to explore the reaction of the estimated term premia on the Federal Open Market Committee (FOMC) policy rate decisions. All the FOMC decisions from January 1999 to December 2008 are divided into anticipated- and "surprise" policy actions, following Kuttner (2001). A separate set of parameters is estimated for the policy days. The estimation results suggest that the expansionary policy actions, considered as anticipated, cause on average a contemporaneous decline in forward term premia and a rise in the short-rate expectations on the longer-end of the curve. A surprise cut seem to provoke a parallel shift of the expected short-rates and a spike in longer term premia. This negative co-movement between the premia and the short-rate expectations, implicit in higher maturities, might provide one explanation of the so called "slope effect" of monetary policy on the US yield curve. The findings are independent of the market price of risk specification or whether the model with a single- or two parameter set is used in the assessment. Nonetheless, allowing a separate set of parameters around policy action days indicates a greater role of the slope factor in explaining the variation of long-term yields around those days.
