The dynamics of short- and long-term CDS-spreads of banks

This paper studies 'Stylised Facts' and 'Determinants' of short-and long-term CDS-spreads of banks. As short-term spreads we choose 6M-, as long-term spreads we choose 5Y-spreads. In the section 'Stylised Facts' we found that the correlation between short-and long-term spreads for the total period is high (97%). However, the correlation in sub-periods varies across all possible correlations. Particularly, spreads can have negative correlation. In contrast to [Covitz and Downing, 2007], we find high positive (Covitz/Downing: high negative) correlation for turbulent market circumstances. In the section 'Deteminants' we confirm the Merton-factors (stock price, stock price volatility, interest rate level) for the 5Y-segment, but not for the 6M-segment. Furthermore, we do not find any empirical support that short-term spreads are particularly sensitive to illiquidity factors. In that sense, we also contrast [Covitz and Downing, 2007]. --Liquidity,insolvency,banks

Are Credit Default Swaps Credit Default Insurances?

No, they are not. Although they exhibit similar cash flow patterns (economic perspective) this article argues that from a legal, accounting and regulatory perspective credit default swaps (CDS) are not considered to be an insurance contract. The protection buyer of a CDS is eligible to obtain the compensation without suffering any loss (and potentially realizing a gain) whereas insurance policies only pay out to compensate a loss (and not potentially realizing a gain). This disconnect between protection and exposure is the source for potential over-coverage. Furthermore, the concentrated set of reference entities and (interbank) counterparties as well as their tradeability make CDSs highly systemically significant products. Our conclusion is that CDSs are not default insurance policies. We propose to use default protection instead of credit default insurance to avoid the mislabelling. Furthermore, CDS have a substantial systemic risk potential which sharply contrasts to the limited systemic risk in the insurance industry. The legal classification of CDS as insurance contracts would have an enormous impact on the liquidity of CDS, as the ability of counterparties to issue and participate in CDS contracts would be limited

Compression, pose tracking, and halftoning

In this thesis, we discuss image compression, pose tracking, and halftoning. Although these areas seem to be unrelated at first glance, they can be connected through video coding as application scenario. Our first contribution is an image compression algorithm based on a rectangular subdivision scheme which stores only a small subsets of the image points. From these points, the remained of the image is reconstructed using partial differential equations. Afterwards, we present a pose tracking algorithm that is able to follow the 3-D position and orientation of multiple objects simultaneously. The algorithm can deal with noisy sequences, and naturally handles both occlusions between different objects, as well as occlusions occurring in kinematic chains. Our third contribution is a halftoning algorithm based on electrostatic principles, which can easily be adjusted to different settings through a number of extensions. Examples include modifications to handle varying dot sizes or hatching. In the final part of the thesis, we show how to combine our image compression, pose tracking, and halftoning algorithms to novel video compression codecs. In each of these four topics, our algorithms yield excellent results that outperform those of other state-of-the-art algorithms.In dieser Arbeit werden die auf den ersten Blick vollkommen voneinander unabhängig erscheinenden Bereiche Bildkompression, 3D-Posenschätzung und Halbtonverfahren behandelt und im Bereich der Videokompression sinnvoll zusammengeführt. Unser erster Beitrag ist ein Bildkompressionsalgorithmus, der auf einem rechteckigen Unterteilungsschema basiert. Dieser Algorithmus speichert nur eine kleine Teilmenge der im Bild vorhandenen Punkte, während die restlichen Punkte mittels partieller Differentialgleichungen rekonstruiert werden. Danach stellen wir ein Posenschätzverfahren vor, welches die 3D-Position und Ausrichtung von mehreren Objekten anhand von Bilddaten gleichzeitig verfolgen kann. Unser Verfahren funktioniert bei verrauschten Videos und im Falle von Objektüberlagerungen. Auch Verdeckungen innerhalb einer kinematischen Kette werden natürlich behandelt. Unser dritter Beitrag ist ein Halbtonverfahren, das auf elektrostatischen Prinzipien beruht. Durch eine Reihe von Erweiterungen kann dieses Verfahren flexibel an verschiedene Szenarien angepasst werden. So ist es beispielsweise möglich, verschiedene Punktgrößen zu verwenden oder Schraffuren zu erzeugen. Der letzte Teil der Arbeit zeigt, wie man unseren Bildkompressionsalgorithmus, unser Posenschätzverfahren und unser Halbtonverfahren zu neuen Videokompressionsalgorithmen kombinieren kann. Die für jeden der vier Themenbereiche entwickelten Verfahren erzielen hervorragende Resultate, welche die Ergebnisse anderer moderner Verfahren übertreffen

Liquiditätsmodellierung von Kreditzusagen (term facilities and revolver)

This paper discusses the management of loan commitments (Kreditzusagen). First, we elaborate on the necessary steps to efficiently manage liquidity facilities. In particular, the drawdown pattern of single commitments and a portfolio of such commitments have to be modelled. Based on the drawdown model, internal transfer prices for loan commitments can be derived. In the context of an industry project, we describe how to set up and to calibrate drawdown models for several types of commitments in practise. We present several model approaches, discuss their properties and provide a perspective for further enhancements. --Kreditzusagen,internes Modell,Liquiditätsrisiko,Banken

Dithering by Differences of Convex Functions

Motivated by a recent halftoning method which is based on electrostatic principles, we analyse a halftoning framework where one minimizes a functional consisting of the difference of two convex functions (DC). One of them describes attracting forces caused by the image gray values, the other one enforces repulsion between points. In one dimension, the minimizers of our functional can be computed analytically and have the following desired properties: the points are pairwise distinct, lie within the image frame and can be placed at grid points. In the two-dimensional setting, we prove some useful properties of our functional like its coercivity and suggest to compute a minimizer by a forward-backward splitting algorithm. We show that the sequence produced by such an algorithm converges to a critical point of our functional. Furthermore, we suggest to compute the special sums occurring in each iteration step by a fast summation technique based on the fast Fourier transform at non-equispaced knots which requires only Ο(m log(m)) arithmetic operations for m points. Finally, we present numerical results showing the excellent performance of our DC dithering method

Can The Business Model Of Handelsbanken Be An Archetype For Small And Medium Sized Banks? A Comparative Case Study

The Danish Banking sector faces increasing requirements regarding regulation and profitability, which especially threatens small and medium sized banks. This study analyzes whether the successful business model of Handelsbanken (The Handelsbanken Way) can serve as a blueprint for small and medium sized banks. We conduct a comparative case study by interviewing Handelsbanken and the disguised Danish Local Bank (DLB). The DLB is a representative example of small and medium sized Danish banks. This study is structured according to the frameworks from business model implementations and from implied organizational structures.Using the notion of Osterwalder and Pigneur (2010), this study reveals only minor differences in the business models of Handelsbanken and DLB. Despite the supposedly obvious advantages of The Handelsbanken Way, this study suggests that the financially troubled small and medium sized banks in Denmark will not necessarily benefit from the tactical choice of decentralization unless they incorporate specific adjustments. This study contributes to the existing theory if Handelsbankens approach to banking can improve the situation of financially troubled small and medium sized banks

Flankierende Ansätze zur Verbesserung der Markttransparenz und Bekämpfung von Marktmissbrauch im Rohstoffterminhandel

Over the course of the previous decade, price fluctuations on international commodity markets have been observed to be significantly higher than in the decades before. While in the 1980’s and 90’s price dynamics on these markets could almost entirely be explained by supply and demand alone, special emphasis has also been placed on commodity future trading as an explanatory factor in recent years. It is the aim of this survey to identify possible auxiliary approaches for increasing market transparency and preventing market abuse. Therefore, the size of the market as well as its relevance is assessed in a first step along with the relative importance of individual groups of investors and commodities. An in-depth evaluation of the existing scientific literature then provides an overview over possible means for increasing price stability especially through an increase in market transparency and the limitation of potential market manipulations. Finally, additional approaches are analyzed that have been the subject of recent discussions or have already been implemented in other markets (e.g. electricity market) or countries (e.g. USA). Throughout this survey, institutional knowledge is acquired by interviewing market participants and analyzing expert sentiments in order to further the understanding of investment decisions and market structures. The research project is conducted in cooperation with the Frankfurt School of Finance & Management and True North Partners LLC

Supermodels for early LHC

We investigate what new physics signatures the LHC can discover in the 2009-2010 run, beyond the expected sensitivity of the Tevatron data by 2010. We construct "supermodels", for which the LHC sensitivity even with only 10 inverse picobarn is greater than that of the Tevatron with 10 inverse femtobarn. The simplest supermodels involve s-channel resonances in the quark-antiquark and especially in the quark-quark channels. We concentrate on easily visible final states with small standard model backgrounds, and find that there are simple searches, besides those for Z' states, which could discover new physics in early LHC data. Many of these are well-suited to test searches for "more conventional" models, often discussed for multi-inverse femtobarn data sets.Comment: 11 pages, 6 figures; v2, references adde