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Loss Potential and Disclosures Related to Credit Derivatives
A Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are ...
Manager Characteristics and Credit Derivative Use by U.S. Corporate Bond Funds
This study provides a comprehensive overview of the use of credit default swaps by U.S. corporate bond funds and analyzes in detail whether certain characteristics of managers, in addition to the fundamentals of a fund, ...
Pitfalls and Perils of Financial Innovation
The Use of CDS by Corporate Bond Funds
We use the financial crisis of 2007–2009 as a laboratory to examine the costs and benefits of teams versus single managers in asset management. We find that when a fund uses complex trading strategies involving the use ...
Characterizing the Financial Cycle
Evidence from a Frequency Domain Analysis
A growing body of literature argues that the financial cycle is considerably longer in duration and larger in amplitude than the business cycle and that its distinguishing features became more pronounced over time. This ...
Structural Vector Autoregressions with Heteroskedasticity
A Comparison of Different Volatility Models
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity ...