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Showing results 21 to 40 of 155
 Which Factors Play a Role in Coco Issuance? Evidence from European Banks.Wolff, Christian  E-print/Working paper (2021) Detailed reference viewed: 187 (7 UL)  Spillovers to small business credit riskWolff, Christian in Small Business Economics (2021), 57 Do large credit risk shocks spill over to small businesses and affect their real economic activity? Using information on small business credit risk, we find that small businesses show increased default ... [more ▼] Do large credit risk shocks spill over to small businesses and affect their real economic activity? Using information on small business credit risk, we find that small businesses show increased default and bankruptcy rates following a shock to a customer industry. On an industry level, the shock to a customer industry is followed by a decrease in industry markups, disproportionate closure of firms, and cutbacks in inventories. Our analysis quantifies the elevated credit risk among small businesses and suggests a non-negligible 0.83% increase in expected losses on a diversified loan portfolio following a credit risk shock. This study provides banks and supervisors with greater clarity on timing and on the extent of elevated small business credit risk. It also allows them to assess the exposure of a bank portfolio to fluctuations in small business default rate. Such improved default prediction reduces credit rationing to the small business economy. [less ▲] Detailed reference viewed: 180 (9 UL)Guest Editor, Journal of Risk and Financial ManagementWolff, Christian in Wolff, Christiaan (Ed.) The Financial System in a Post COVID-19 World (2021) Detailed reference viewed: 118 (4 UL)Associate Editor, Journal of Risk and Financial ManagementWolff, Christian Diverse speeches and writings (2021) Detailed reference viewed: 86 (1 UL)Associate Editor, Pacific-Basin Finance JournalWolff, Christian Diverse speeches and writings (2021) Detailed reference viewed: 102 (1 UL)Member, Managing Board, European Banking Center NetworkWolff, Christian Diverse speeches and writings (2021) Detailed reference viewed: 208 (1 UL)Local Organiser, European Shadow Financial Regulatory Committee MeetingWolff, Christian Scientific Conference (2020, February) Detailed reference viewed: 86 (2 UL)Associate Editor, Journal of International Financial Markets, Institutions and MoneyWolff, Christian Diverse speeches and writings (2020) Detailed reference viewed: 97 (0 UL)Member, Management Board, European Banking Center NetworkWolff, Christian Diverse speeches and writings (2020) Detailed reference viewed: 94 (0 UL)Associate Editor, Pacific Basin Finance JournalWolff, Christian Diverse speeches and writings (2020) Detailed reference viewed: 103 (0 UL)Associate Editor, Journal of Risk and Financial ManagementWolff, Christian Diverse speeches and writings (2020) Detailed reference viewed: 113 (2 UL)Are Capital Requirements on Small Business Loans Flawed?Wolff, Christian in Journal of Empirical Finance (2019), 52 Detailed reference viewed: 335 (11 UL) Skewness Risk Premium: Theory and Empirical Evidence; Lehnert, Thorsten ; Wolff, Christian in International Review of Financial Analysis (2019), 63 Using an equilibrium asset and option pricing model in a simple economy under jump diffusion, we show theoretically that the aggregated excess market returns can be predicted by the skewness risk premium ... [more ▼] Using an equilibrium asset and option pricing model in a simple economy under jump diffusion, we show theoretically that the aggregated excess market returns can be predicted by the skewness risk premium, which is constructed to be the difference between the physical and the risk-neutral skewness. In an empirical application of the model using more than 20 years of data on S&P500 index options, we find that, in line with theory, risk-averse investors demand risk-compensation for holding stocks when the market skewness risk premium is high. However, when we characterize periods of high and low risk aversion, we show that in line with theory, the relationship only holds when risk aversion is high. In periods of low risk aversion, investors demand lower risk compensation, thus substantially weakening the skewness-risk-premium-return trade off. [less ▲] Detailed reference viewed: 388 (3 UL)Research visit, Chulalongkorn University, Bangkok, ThailandWolff, Christian Scientific Conference (2019, April) Detailed reference viewed: 89 (1 UL)Organiser, European Banking Center (EBC) Network ConferenceWolff, Christian Scientific Conference (2019, March) Detailed reference viewed: 316 (0 UL)Are retail investors noise traders?Wolff, Christian Article for general public (2019) Detailed reference viewed: 178 (22 UL)The Determinants of CoCo Bond PricesWolff, Christian ; Abed Masror Khah, Sara ; in Journal of Derivatives (2019) Detailed reference viewed: 217 (25 UL)Spillovers to small business credit riskWolff, Christian Report (2019) Detailed reference viewed: 184 (6 UL)Skewness Risk Premium: Theory and Empirical EvidenceWolff, Christian in International Review of Financial Analysis (2019) Detailed reference viewed: 183 (4 UL)Associate Editor, Banks and Bank SystemsWolff, Christian Diverse speeches and writings (2019) Detailed reference viewed: 121 (1 UL) |
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