Credit risk transfer, real sector productivity, and financial deepening

We derive the effects of credit risk transfer (CRT) markets on real sector productivity and on the volume of financial intermediation in a model where banks choose their optimal degree of CRT and monitoring. We find that CRT increases productivity in the up-market real sector but decreases it in the low-end segment. If optimal, CRT unambiguously fosters financial deepening, i.e., it reduces credit-rationing in the economy. These effects rely upon the ability of banks to commit to the optimal CRT at the funding stage. The optimal degree of CRT depends on the combination of moral hazard, general riskiness, and the cost of monitoring in non-monotonic ways

Does the stock market react to unsolicited ratings?

This paper investigates whether the stock market reacts to unsolicited ratings for a sample of S&P rated firms from January 1996 to December 2005. We first analyze the stock market reaction associated with the assignment of an initial unsolicited rating. We find evidence that this reaction is negative and particularly accentuated for Japanese firms. A comparison between S&P’s initial unsolicited ratings with previously published ratings of two Japanese rating agencies for a Japanese subsample shows that ratings assigned by S&P are systematically worse. Further, we find that the stock market does not react to the transition from an unsolicited to a solicited rating. Comparison of the upgrades in the sample with a matched-sample of upgrades of solicited ratings reveals that the price reactions are no different. In addition, abnormal returns are worse for firms whose rating remained unchanged after the solicitation compared to those for upgraded firms. Finally, we find that Japanese firms are less likely to receive an upgrade. Our findings suggest that unsolicited ratings are biased downwards, that the capital market therefore expects upgrades of formerly unsolicited ratings and punishes firms whose ratings remain unchanged. All these effects seem to be more pronounced for Japanese firms

Ein allgemeines Pfandbriefgesetz bietet Investoren mehr Chancen als Risiken

Kommt das neue allgemeine Pfandbriefgesetz, werden die Refinanzierungskosten und damit auch die Pfandbriefrenditen stärker streuen. Das ist gut für Investoren. So können sie sich höhere Renditen einkaufen, ohne gegen ihre Investitionsrichtlinien zu verstoßen

Makroökonomische Einflussfaktoren auf die Risikoprämien deutscher Bankaktien

Die vorliegende Studie untersucht fur den Zeitraum Februar 1973 bis Dezember 2003 den Einfluss sechs makrookonomischer Variablen auf die Risikoprämien von Bankaktien in Deutschland. Besondere Bedeutung kommt der getrennten Analyse von Universal- und Hypothekenbanken zu. Die Untersuchungsergebnisse bestatigen die Eingangshypothese, dass die Renditen der Aktien von Universalbanken anderen Ein°ussfaktoren als die von Hypothekenbanken unterliegen. Durch die Verwendung eines dynamischen Regressionsmodells konnten zudem erhebliche Schwankungen des Einflusses der makrookonomischen Faktoren im Zeitablauf festgestellt werden. Dabei kann in nahezu allen Variationen die Varianz der Risikopramien durch die makrookonomischen Faktoren soweit erklärt werden, dass auch eine Erweiterung um den Marktfaktor keine Verbesserung des Modells mehr erzielt

The German mortgage banking market : results of an empirical study

Das Firmenkundensegment und die Präsenz auf den internationalen Märkten für gewerblichen Hypothekarkredit und der Finanzierung öffentlicher Haushalte gewinnen für die deutschen Hypothekenbanken bis zum Jahr 2007 erheblich an Bedeutung, so das Ergebnis eines Forschungsprojekts der Goethe-Universität Frankfurt. Die Immobilienfinanziers werden ihre Geschäftsbeziehungen zu Unternehmen in den nächsten fünf Jahren sowohl qualitativ als auch räumlich ausbauen. Real Estate Investment Banking und Expansion ins Ausland stehen auf der strategischen Agenda der Hypothekenbanken ganz oben.The German mortgage banking market - Results of an empirical study: The corporate client segment as well as the presence in the international market places for commercial real estate lending and for the financing of public sector institutions will considerably gain in importance for German mortgage banks until the year 2007 – a key result of a research project of the Goethe University Frankfurt. German mortgage banks will expand their business relationships to corporate clients in the next five years both qualitatively and geographically. Real Estate Investment Banking and the international expansion are on top of mortgage banks' strategic agenda

An improved adjacency data structure for fast triangle stripping

To speed up the rendering of polygonal meshes, triangle strips are commonly used to reduce the number of vertices sent to the graphics subsystem by exploiting the fact that adjacent triangles share an edge. In this paper, we present an improved adjacency data structure for fast triangle stripping algorithms. There are three major contributions: first, the data structure can be created quickly and robustly from any indexed face set; second, its cache-friendly layout is specifically designed to efficiently answer common stripping queries, such as neighbor finding and least-degree triangle finding, in constant time; third, the stripping algorithm operates in-place, since strips are created by simply relinking pointers. An implementation of a stripping algorithm shows a significant speed-up compared to other implementations. Our implementation is publicly available as part of OpenSG [9].

An Oboe and Oboe d'Amore Concerto from the Cape of Africa: A Biographical and Analytical Perspective

Due to the lack of quality contemporary concertos for the oboe and, especially, the oboe d'amore, this dissertation presents two works from South African composers that provide excellent additions to the concerto repertoire. Allan Stephenson wrote Concerto for Oboe and Strings in 1978 and Peter Louis Van Dijk wrote ElegyDance- Elegy in 1984. The outstanding quality and idiomatic nature of these works assuages the practical concerns today's oboists have when undertaking a contemporary concerto. Along with their high artistic merit, these concerti are both audience-friendly and financially feasible to present on an international stage. In addition to briefly examining the post-apartheid musical climate that exists in South Africa today, the dissertation thoroughly analyzes the works and includes biographical background of the composers

Portfolio Allocation and Optimization with Carbon Offsets: Is it Worth the While?

We explore whether the integration of carbon offsets into investment portfolios improves perfor-mance. Our results show that investment strategies that include such offsets achieve higher Sharpe Ratios than the diversified benchmark portfolios. The efficient frontier of optimal portfolio choices is shifted upwards as a result of including compliance and voluntary carbon offsets in the portfolio. Our results also show that while diversified portfolios may benefit from carbon offsets integration, voluntary carbon offsets are significantly more sensitive to exogenous shocks than compliance carbon allowances. All these results are novel and may encourage investors to invest in such sustainable asset classes