Christian Wilde

Goethe-Universität Frankfurt am Main · Department of Finance

Relying on a hand-collected data set of European asset securitizations, we analyze risk retention, a key regulatory reform requirement after the global financial crisis. We find today’s ABS markets to be characterized by significant retention opacity, caused by differences in legal retention options and retained portions. To improve the transparenc...

This paper provides a systematic analysis of individual attitudes towards ambiguity, based on laboratory experiments. The design of the analysis allows to capture individual behavior across various levels of ambiguity, ranging from low to high. Attitudes towards risk and attitudes towards ambiguity are disentangled, providing pure measures of ambig...

This paper analyzes the main risk factors implied in CDS markets: default risks, liquidity and recovery. We develop a two factors intensity-based model that takes into account the short- and long-term default risk behaviors. We use this novel framework to price the term structure of American corporate CDS spreads and explore the determinants of bot...

We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it allows to disentangle and compare the liquidity premium earned by the protection buyer and the protection seller. In contrast to o...

This paper investigates the relationship between short-term interest rates and bank risk. Using a unique database that includes quarterly balance sheet information for listed banks operating in the European Union and the United States in the last decade, we find evidence that unusually low interest rates over an extended period of time contributed...

I modify the uniform-price auction rules in allowing the seller to ration bidders. This allows me to provide a strategic foundation for underpricing when the seller has an interest in ownership dispersion. Moreover, many of the so-called "collusive-seeming" equilibria disappear.

A major objective of banking supervision is to keep the probability of systemic risk at bay. In this paper we emphasize the need for policy indicators that allow to survey joint bank default risk augmenting the current practice of stand-alone Value-at-Risk reporting. The joint default probability, however, while a natural candidate for such an indi...

Large banks often sell part of their loan portfolio in the form of collateralized debt obligations (CDO) to investors. In this paper we raise the question whether credit asset securitization affects the cyclicality (or commonality) of bank equity values. The commonality of bank equity values reflects a major component of systemic risks in the banki...

We propose and empirically investigate a pricing model for convertible bonds based on Monte Carlo simulation. The method uses parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the proposed Monte Carlo approach allows us to better capture both the dynamics of the underlying state va...

This paper proposes a pricing model that values convertible bonds with Monte Carlo simulation. The optimal exercise boundaries for the embedded American-style conversion, call, and put options are inferred from the conditional expected value of continuation which is obtained by least-squares regressions in combination with a backward-induction proc...

We propose a pricing model for convertible bonds based on Monte Carlo simulation that is more flexible than previous lattice-based methods because it allows to better capture the dynamics of the underlying state variables. Furthermore, the model is able to deal with embedded American-style put and call features with path-dependent trigger condition...

We investigate the pricing of convertible bonds on the French convertible bond market using daily market prices for a period of 18 months. Instead of a firm-value model as used in previous studies, we use a stock-based binomial-tree model with exogenous credit risk that accounts for all important convertible bond specifications and is therefore wel...

The accurate assessment of the risk exposure of individual banks as well as the entire banking sector requires a systematic data policy. In this paper we advocate a bottom-up strategy for data collection, including the level of the individual financial instrument and its major characteristics. Familiarity with industry practice is as much a prerequ...