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The Ceecs’ Banking System: A Risk Study During The Global Financial Crisis, Bernadette Andreosso-O'Callaghan, Lucia Morales, Valentina Tarkovska
The Ceecs’ Banking System: A Risk Study During The Global Financial Crisis, Bernadette Andreosso-O'Callaghan, Lucia Morales, Valentina Tarkovska
Conference papers
We consider operational risk and market integration in the banking system of the Central and East European Countries’ (CEECs). The analysis provides an interesting framework in relation to the effects of the global financial crisis in some European emerging banks. We implement an econometric model that takes into account the level of integration of these banks in relation to a number of most developed institutions, which are represented by the Dow Jones STOXX 600 index, with the objective of analyzing how this could be impacting the level of operational risk in the region. This paper provides new evidence that links …
The Current Global Financial Crisis: Do Asian Stock Markets Show Contagious Or Interdependency Effects?, Lucia Morales, Bernadette Andreosso-O'Callaghan
The Current Global Financial Crisis: Do Asian Stock Markets Show Contagious Or Interdependency Effects?, Lucia Morales, Bernadette Andreosso-O'Callaghan
Conference Papers
In the framework of the current global economic crisis, a pertinent question is whether the world economies are suffering from contagion or interdependency effects. With its origins in the US sub-prime mortgage market crisis starting at the end of 2007, when a loss of confidence by investors in the value of securitized mortgages resulted in a liquidity crisis, hard-hitting the banking system and rapidly spreading into the financial markets, the effects of the crisis were automatically reflected in the rest of the world economies. These effects that become severe as the rest of the world has been facing its economic …
Hedging: Scaling And The Investor Horizon, Jim Hanly, John Cotter
Hedging: Scaling And The Investor Horizon, Jim Hanly, John Cotter
Articles
This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to longer term horizons. We also test the equivalence of scaled hedge ratios with those calculated directly from lower frequency data and compare them in terms of hedging effectiveness. Our findings show that the volatility and covariance dynamics may differ considerably depending on the hedging horizon and this gives rise to significant differences between short term and …