Zobrazeno 1 - 10
of 34
pro vyhledávání: '"Martin Hibbeln"'
Autor:
Markus Herrmann, Martin Hibbeln
Publikováno v:
Journal of Risk and Insurance. 88:785-818
We develop a conceptual framework to model the seasonality in the probability of catastrophe bonds being triggered. This seasonality causes strong seasonal fluctuations in spreads. For example, the spread on a hurricane bond is highest at the start o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::539e487ccc9cb013b87bc44e06066079
https://doi.org/10.1111/jori.12335
https://doi.org/10.1111/jori.12335
Autor:
Martin Hibbeln, Werner Osterkamp
Publikováno v:
SSRN Electronic Journal.
Based on European RMBS deals with 24 million quarterly loan observations, we examine the effect of risk retention on bank behavior. Using OLS, propensity score matching, and instrumental variable regressions, we examine why retention deals perform be
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0f7e20c0152bef75d4e5e99649c8b51d
https://doi.org/10.2139/ssrn.3528090
https://doi.org/10.2139/ssrn.3528090
Autor:
Martin Hibbeln, Markus Herrmann
Publikováno v:
SSRN Electronic Journal.
Based on a TRACE dataset of 9393 cat bond trades on the secondary OTC market from 2015 to 2019, we analyze trading patterns, liquidity determinants, and the liquidity premium of catastrophe bonds. We find that cat bonds are mostly traded without inve
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2c675fdd2a56606f4667ad70a3ec8826
https://doi.org/10.2139/ssrn.3530048
https://doi.org/10.2139/ssrn.3530048
Publikováno v:
SSRN Electronic Journal.
Based on a unique data set of European residential mortgage-backed security (RMBS) deals with 31 million quarterly loan observations, we examine how design features and labels of complex financial securities affect tranches’ spreads and loan perfor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::88dbc366b55f3af0e07d14c9420c9f8e
https://doi.org/10.2139/ssrn.3598123
https://doi.org/10.2139/ssrn.3598123
Publikováno v:
Journal of Banking & Finance. 91:176-188
Estimating the credit risk parameter exposure at default is important for banks from an internal risk management and a regulatory perspective. Several approaches are common in the literature and in practice. We theoretically and empirically analyze h
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6d20018f1dd1df2138dad065513a6621
https://doi.org/10.1016/j.jbankfin.2017.03.004
https://doi.org/10.1016/j.jbankfin.2017.03.004
Publikováno v:
International Journal of Disaster Risk Reduction. 59:102210
The need for reconstruction in the aftermath of natural disasters can lead to increased reconstruction labor wages, resulting in considerably inflated insured and uninsured losses. Based on a difference-in-differences approach using 9,009 catastrophe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::00731e422b1739f2511feb806492c74b
https://doi.org/10.1016/j.ijdrr.2021.102210
https://doi.org/10.1016/j.ijdrr.2021.102210
Publikováno v:
Journal of Risk and Insurance. 84:851-879
In the aftermath of a natural catastrophe, there is increased demand for skilled reconstruction labor, which leads to significant increases in reconstruction labor wages and hence insured losses. Such inflation effects are known as “Demand Surge”
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::607831e62ffd308db8b48b78e5ebe933
https://doi.org/10.1111/jori.12134
https://doi.org/10.1111/jori.12134
Publikováno v:
Journal of Financial Intermediation. 44:100831
We investigate whether lenders can realize informational synergies by simultaneously obtaining private information from different accounts of the same borrower. Synergies exist if such information is complementary to each other. We focus on consumer
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b82e3342a2bf9f0ae5af0b497e36871d
https://doi.org/10.1016/j.jfi.2019.100831
https://doi.org/10.1016/j.jfi.2019.100831
Autor:
Martin Hibbeln, Markus Herrmann
Publikováno v:
SSRN Electronic Journal.
Catastrophe bonds are securities that transfer catastrophe risk from sponsors, which are mostly (re-)insurance companies, to capital markets. Based on secondary market data from 386 seasonality-affected cat bonds, we employ fixed effects regression m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f6a29d59e8f664b5c5eed77eeeba9160
https://doi.org/10.2139/ssrn.3267824
https://doi.org/10.2139/ssrn.3267824
City University of Hong Kong [7002626, 7004123]; Research Grants Council of the Hong Kong Special Administrative Region [CityU149512]
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ebc60d7e4727b13c4f568d87581c11b3
https://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&origin=inward&scp=85090568759
https://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&origin=inward&scp=85090568759
