Systemic Risk And Sentiment
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Sensr
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Author : Svetlana Borovkova
language : en
Publisher:
Release Date : 2016
Sensr written by Svetlana Borovkova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
The media influence our perception of reality and, since we act on those perceptions, reality is in turn affected by the media. News is a rich source of information, but, in addition, the sentiment (i.e., the tone of financial news) tells us how others perceive the financial system and how that perception changes. In this paper we propose a new indicator of the systemic risk in the global financial system. We call it SenSR: Sentiment-based Systemic Risk indicator. This measure is constructed by dynamically aggregating the sentiment in news about systemically important financial institutions (SIFIs). We test the SenSR for its ability to indicate or even forecast systemic stress in the financial system. We compare its performance to other well-known systemic risk indicators, as well as with macroeconomic fundamentals. We find that SenSR anticipates other systemic risk measures such as SRISK or VIX in signaling stressed times. In particular, it leads other systemic risk measures and macroeconomic indicators by as long as 12 weeks.
Estimating The Systematic Component Of Credit Spreads
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Author : Sebastian Wilde
language : en
Publisher: GRIN Verlag
Release Date : 2022-08-31
Estimating The Systematic Component Of Credit Spreads written by Sebastian Wilde and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-08-31 with Business & Economics categories.
Master's Thesis from the year 2022 in the subject Economics - Finance, grade: 1,7, University of Hagen (Fakultät für Wirtschaftswissenschaft, Lehrstuhl für Bank- und Finanzwirtschaft), language: English, abstract: Corporate bond credit spreads are much larger than historical default rates, which leads to an unexplained gap between the default premium component and total credit spread. This gap is referred to as the "credit spread puzzle" in the literature and has driven the discussion of the components of credit spreads in the past decades. The size of each component affects the decision of whether to purchase a particular class of bonds; this underlines its importance in risk management, portfolio management, and valuation. The first goal of the thesis is to provide a comprehensive review of the current state of research on how to decompose credit spreads and estimate their parts. Second, in an empirical study, the systematic risk in current EUR-denominated credit spreads is estimated and compared to the results of Elton et al. (2001). Furthermore, I analyze the regime-dependence of credit spreads for different cross-sections, as systematic risk has proven important in crisis periods. Finally, implications for the calculation of debt beta are derived as in business valuations it is possible to use a debt beta if the debt of the valuation object is subject to a systematic risk that leads to a signifcant risk premium demanded by debt providers. I show that the systematic part of the credit spread for observed EUR-denominated bond spreads from 2009 to 2021 can be assumed higher than in the US bond market, is regime-dependent and would have direct implications on the calculation and relevance of a debt beta for business valuations.
Where The Wild Things Are Measuring Systemic Risk Through Investor Sentiment
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Author : O. Emre Ergungor
language : en
Publisher:
Release Date : 2016
Where The Wild Things Are Measuring Systemic Risk Through Investor Sentiment written by O. Emre Ergungor and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Growth Or Glamour
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Author : John Y. Campbell
language : en
Publisher:
Release Date : 2005
Growth Or Glamour written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Stocks categories.
The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's cash-flow shocks, are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely "glamour stocks" whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.
Working Papers
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Author :
language : en
Publisher:
Release Date : 1995
Working Papers written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Economics categories.
Securities Regulation
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Author : John C. Coffee
language : en
Publisher:
Release Date : 2003
Securities Regulation written by John C. Coffee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
This casebook provides detailed information on securities regulation. The casebook provides the tools for fast, on-point study of the law of securities regulation. Part of the University Casebook Series®, it includes selected cases designed to illustrate the development of a body of law on a particular subject. Text and explanatory materials designed for law study accompany the cases.
Garp Risk Review
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Author :
language : en
Publisher:
Release Date : 2001
Garp Risk Review written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Risk management categories.
Systemic Risk And Sentiment
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Author : Giovanni Barone-Adesi
language : en
Publisher:
Release Date : 2011
Systemic Risk And Sentiment written by Giovanni Barone-Adesi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Securities Regulation
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Author : Richard W. Jennings
language : en
Publisher: West Publishing Company
Release Date : 1998
Securities Regulation written by Richard W. Jennings and has been published by West Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Business & Economics categories.
Nber Reporter
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Author : National Bureau of Economic Research
language : en
Publisher:
Release Date : 2001
Nber Reporter written by National Bureau of Economic Research and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Economics categories.