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2015-03-30Buch DOI: 10.18452/4574
Loss Potential and Disclosures Related to Credit Derivatives
dc.contributor.authorGałkiewicz, Dominika Paula
dc.date.accessioned2017-06-16T01:13:35Z
dc.date.available2017-06-16T01:13:35Z
dc.date.created2015-06-18
dc.date.issued2015-03-30
dc.date.submitted2015-03-30
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5226
dc.description.abstractThis 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 consistent with the disclosed CDS holdings. For several funds in the U.S., the potential losses arising from selling CDS protection are almost as high as net assets, while in Germany, this potential can be even higher. Regarding the information funds provide to investors about their use of CDS, the results of the study suggest that comments on CDS contained in periodic reports are often unspecific and sometimes misleading. Thus, investors might have to analyze portfolio holdings in order to learn about the true investment behavior of funds. For instance, in Germany, funds that use more short than long CDS often state that they only use long CDS for hedging purposes. Based on the results, it seems advisable that regulators in both countries tighten rules restricting the speculative use of derivatives by funds to a reasonable level, as well as implement more standardized disclosure policies.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectcredit default swapseng
dc.subjectderivativeeng
dc.subjectMutual fundseng
dc.subjectleverageeng
dc.subjectdisclosureeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleLoss Potential and Disclosures Related to Credit Derivatives
dc.typebook
dc.subtitleA Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation
dc.identifier.urnurn:nbn:de:kobv:11-100230865
dc.identifier.doihttp://dx.doi.org/10.18452/4574
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages59
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2015
local.edoc.container-issue17
local.edoc.container-year2015
local.edoc.container-erstkatid2195055-6

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