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Christian Wilde

Personal Details

First Name:Christian
Middle Name:
Last Name:Wilde
Suffix:
RePEc Short-ID:pwi87
[This author has chosen not to make the email address public]

Affiliation

(25%) Abteilung Finanzen
Fachbereich Wirtschaftswissenschaft
Goethe Universität Frankfurt am Main

Frankfurt am Main, Germany
http://www.finance.uni-frankfurt.de/
RePEc:edi:afffmde (more details at EDIRC)

(25%) Fachbereich Wirtschaftswissenschaft
Goethe Universität Frankfurt am Main

Frankfurt am Main, Germany
http://www.wiwi.uni-frankfurt.de/
RePEc:edi:fwffmde (more details at EDIRC)

(25%) Leibniz-Institut für Finanzmarktforschung SAFE (Sustainable Architecture for Finance in Europe)

Frankfurt am Main, Germany
http://www.safe-frankfurt.de/
RePEc:edi:csafede (more details at EDIRC)

(25%) House of Finance
Goethe Universität Frankfurt am Main

Frankfurt am Main, Germany
http://www.hof.uni-frankfurt.de/
RePEc:edi:hoffmde (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Li, Wenhui & Wilde, Christian, 2021. "Separating the effects of beliefs and attitudes on pricing under ambiguity," SAFE Working Paper Series 311, Leibniz Institute for Financial Research SAFE.
  2. Li, Wenhui & Wilde, Christian, 2020. "Belief formation and belief updating under ambiguity: Evidence from experiments," SAFE Working Paper Series 251, Leibniz Institute for Financial Research SAFE, revised 2020.
  3. Krahnen, Jan Pieter & Wilde, Christian, 2017. "Skin-in-the-game in ABS transactions: A critical review of policy options," SAFE White Paper Series 46, Leibniz Institute for Financial Research SAFE.
  4. Kamga, Merlin Kuate & Wilde, Christian, 2017. "Liquidity premia in CDS markets," SAFE Working Paper Series 173, Leibniz Institute for Financial Research SAFE.
  5. Wilde, Christian & Krahnen, Jan Pieter & Ockenfels, Peter, 2014. "Measuring Ambiguity Aversion: A Systematic Experimental Approach," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100557, Verein für Socialpolitik / German Economic Association.
  6. Glenzer, Franca & Gründl, Helmut & Wilde, Christian, 2014. ""And lead us not into temptation": Presentation formats and the choice of risky alternatives," ICIR Working Paper Series 16/14, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  7. Jan Pieter Krahnen & Christian Wilde, 2009. "CDOs and Systematic Risk: Why bond ratings are inadequate," Working Paper Series: Finance and Accounting 203, Department of Finance, Goethe University Frankfurt am Main.
  8. Jan Pieter Krahnen & Christian Wilde, 2008. "Risk Transfer with CDOs," Working Paper Series: Finance and Accounting 187, Department of Finance, Goethe University Frankfurt am Main.
  9. Krahnen, Jan-Pieter & Wilde, Christian, 2006. "Risk Transfer with CDOs and Systemic Risk in Banking," CEPR Discussion Papers 5618, C.E.P.R. Discussion Papers.
  10. Krahnen, Jan Pieter & Wilde, Christian, 2006. "Risk transfer with CDOs and systemic risk in bankingfam," CFS Working Paper Series 2006/04, Center for Financial Studies (CFS).
  11. Krahnen, Jan Pieter & Wilde, Christian, 2006. "Risk transfer with CDOs and systemic risk in bankingfam," CFS Working Paper Series 2006/04, Center for Financial Studies (CFS).
  12. Manuel Ammann & Axel Kind & Christian Wilde, 2005. "Simulation-Based Pricing of Convertible Bonds," Finance 0507015, University Library of Munich, Germany.

    repec:cfs:cfswop:wp200815 is not listed on IDEAS

Articles

  1. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2008. "Simulation-based pricing of convertible bonds," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 310-331, March.
  2. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2003. "Are convertible bonds underpriced? An analysis of the French market," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 635-653, April.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Li, Wenhui & Wilde, Christian, 2021. "Separating the effects of beliefs and attitudes on pricing under ambiguity," SAFE Working Paper Series 311, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Li, Wenhui & Ockenfels, Peter & Wilde, Christian, 2021. "The effect of ambiguity on price formation and trading behavior in financial markets," SAFE Working Paper Series 326, Leibniz Institute for Financial Research SAFE.

  2. Li, Wenhui & Wilde, Christian, 2020. "Belief formation and belief updating under ambiguity: Evidence from experiments," SAFE Working Paper Series 251, Leibniz Institute for Financial Research SAFE, revised 2020.

    Cited by:

    1. Li, Wenhui & Ockenfels, Peter & Wilde, Christian, 2021. "The effect of ambiguity on price formation and trading behavior in financial markets," SAFE Working Paper Series 326, Leibniz Institute for Financial Research SAFE.
    2. Li, Wenhui & Wilde, Christian, 2021. "Separating the effects of beliefs and attitudes on pricing under ambiguity," SAFE Working Paper Series 311, Leibniz Institute for Financial Research SAFE.

  3. Krahnen, Jan Pieter & Wilde, Christian, 2017. "Skin-in-the-game in ABS transactions: A critical review of policy options," SAFE White Paper Series 46, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Hibbeln, Martin & Osterkamp, Werner, 2024. "The Impact of Risk Retention on Moral Hazard in the Securitization Market," Journal of Banking & Finance, Elsevier, vol. 163(C).

  4. Kamga, Merlin Kuate & Wilde, Christian, 2017. "Liquidity premia in CDS markets," SAFE Working Paper Series 173, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    2. Akari, Mohamed-Ali & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2018. "The impact of central clearing on the market for single-name credit default swaps," Working Papers 18-1, HEC Montreal, Canada Research Chair in Risk Management, revised 25 Jan 2019.

  5. Wilde, Christian & Krahnen, Jan Pieter & Ockenfels, Peter, 2014. "Measuring Ambiguity Aversion: A Systematic Experimental Approach," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100557, Verein für Socialpolitik / German Economic Association.

    Cited by:

    1. Jim Engle-Warnick & Sonia Laszlo Author Email: sonia.laszlo@mcgill.ca, 2006. "Learning By Doing In An Ambiguous Environment," Departmental Working Papers 2006-29, McGill University, Department of Economics.
    2. Osterloh, Margit & Frey, Bruno S., 2020. "How to avoid borrowed plumes in academia," Research Policy, Elsevier, vol. 49(1).
    3. Wolfgang Breuer & Marc O. Rieger & K. Can Soypak, 2017. "Corporate Cash Holdings and Ambiguity Aversion," Review of Finance, European Finance Association, vol. 21(5), pages 1933-1974.
    4. Li, Wenhui & Wilde, Christian, 2021. "Separating the effects of beliefs and attitudes on pricing under ambiguity," SAFE Working Paper Series 311, Leibniz Institute for Financial Research SAFE.

  6. Glenzer, Franca & Gründl, Helmut & Wilde, Christian, 2014. ""And lead us not into temptation": Presentation formats and the choice of risky alternatives," ICIR Working Paper Series 16/14, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).

    Cited by:

    1. Meyer, Steffen & Urban, Linda & Ahlswede, Sophie, 2015. "Does a personalized feedback on investment success mitigate investment mistakes of private investors? Answers from large natural field experiment," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112988, Verein für Socialpolitik / German Economic Association.
    2. Andreas Richter & Jochen Ruß & Stefan Schelling, 2019. "Insurance customer behavior: Lessons from behavioral economics," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 22(2), pages 183-205, July.
    3. Thomas Köhne & Christoph Brömmelmeyer, 2018. "The New Insurance Distribution Regulation in the EU—A Critical Assessment from a Legal and Economic Perspective," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(4), pages 704-739, October.
    4. Syed Aliya Zahera & Rohit Bansal, 2018. "Do investors exhibit behavioral biases in investment decision making? A systematic review," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 10(2), pages 210-251, May.
    5. Meyer, Steffen & Urban, Linda & Ahlswede, Sophie, 2016. "Does feedback on personal investment success help?," SAFE Working Paper Series 157, Leibniz Institute for Financial Research SAFE.

  7. Jan Pieter Krahnen & Christian Wilde, 2009. "CDOs and Systematic Risk: Why bond ratings are inadequate," Working Paper Series: Finance and Accounting 203, Department of Finance, Goethe University Frankfurt am Main.

    Cited by:

    1. Wilde, Christian & Krahnen, Jan Pieter, 2017. "Skin in the game in ABS transactions: A critical review of policy options," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168296, Verein für Socialpolitik / German Economic Association.
    2. Lützenkirchen, Kristina & Rösch, Daniel & Scheule, Harald, 2013. "Ratings based capital adequacy for securitizations," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5236-5247.
    3. Günter Franke & Jan P. Krahnen, 2009. "Instabile Finanzmärkte," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 10(4), pages 335-366, November.
    4. Mählmann, Thomas, 2013. "Hedge funds, CDOs and the financial crisis: An empirical investigation of the “Magnetar trade”," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 537-548.

  8. Jan Pieter Krahnen & Christian Wilde, 2008. "Risk Transfer with CDOs," Working Paper Series: Finance and Accounting 187, Department of Finance, Goethe University Frankfurt am Main.

    Cited by:

    1. Bernd Rudolph & Julia Scholz, 2008. "Driving Factors of the Subprime Crisis and Some Reform Proposals," ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 6(03), pages 14-19, October.
    2. Scholz, Julia, 2009. "Collateralized Debt Obligations: Anreizprobleme im Rahmen des Managements von CDOs," Discussion Papers in Business Administration 11002, University of Munich, Munich School of Management.
    3. Alper Kara & Aydin Ozkan & Yener Altunbas, 2016. "Securitisation and banking risk: what do we know so far?," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 8(1), pages 2-16, June.
    4. Alper Kara & David Marques-Ibanez & Steven Ongena, 2015. "Securitization and lending standards: Evidence from the European wholesale loan market," International Finance Discussion Papers 1141, Board of Governors of the Federal Reserve System (U.S.).
    5. Ongena, Steven & Kara, Alper & Marqués-Ibáñez, David, 2017. "Securitization and credit quality," Working Paper Series 2009, European Central Bank.
    6. Scholz, Julia, 2009. "Collateralized Debt Obligations: Anreizprobleme im Rahmen des Managements von CDOs," Discussion Papers in Business Administration 10999, University of Munich, Munich School of Management.
    7. David Colander & Hans Föllmer & Armin Haas & Michael Goldberg & Katarina Juselius & Alan Kirman & Thomas Lux & Birgitte Sloth, 2009. "The Financial Crisis and the Systemic Failure of Academic Economics," Discussion Papers 09-03, University of Copenhagen. Department of Economics.
    8. Hartmann-Wendels, Thomas, 2008. "Die Finanzmarktkrise: Ursachen und Auswirkungen auf die Leasing-Branche," Leasing - Wissenschaft & Praxis, Universität zu Köln, Forschungsinstitut für Leasing, vol. 6(2), pages 3-17.
    9. Bernd Rudolph, 2008. "Lehren aus den Ursachen und dem Verlauf der internationalen Finanzkrise," Schmalenbach Journal of Business Research, Springer, vol. 60(7), pages 713-741, November.
    10. Gann, Philipp, 2009. "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration 10582, University of Munich, Munich School of Management.
    11. Daniel Mokatsanyane & Paul-Francois Muzindutsi & Diana Viljoen, 2017. "Credit Risk and Securitisation in the South African Banking Sector," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 13(2), pages 102-121, April.
    12. Franke, Günter & Krahnen, Jan Pieter, 2008. "The future of securitization," CFS Working Paper Series 2008/31, Center for Financial Studies (CFS).
    13. Arndt Claußen & Sebastian Löhr & Daniel Rösch, 2014. "An analytical approach for systematic risk sensitivity of structured finance products," Review of Derivatives Research, Springer, vol. 17(1), pages 1-37, April.
    14. Michalak, Tobias C. & Uhde, André, 2012. "Credit risk securitization and bank soundness in Europe," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(3), pages 272-285.
    15. Wojtowicz, Marcin, 2014. "CDOs and the financial crisis: Credit ratings and fair premia," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 1-13.
    16. Marcin Wojtowicz, 2011. "CDOs and the Financial Crisis: Credit Ratings and Fair Premia," Tinbergen Institute Discussion Papers 11-022/2/DSF 8, Tinbergen Institute.
    17. Jeong-Bon Kim & Li Li & Mary L. Z. Ma & Frank M. Song, 2016. "CEO option compensation and systemic risk in the banking industry," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 23(2), pages 131-160, June.

  9. Krahnen, Jan-Pieter & Wilde, Christian, 2006. "Risk Transfer with CDOs and Systemic Risk in Banking," CEPR Discussion Papers 5618, C.E.P.R. Discussion Papers.

    Cited by:

    1. Scholz, Julia, 2009. "Collateralized Debt Obligations: Anreizprobleme im Rahmen des Managements von CDOs," Discussion Papers in Business Administration 11002, University of Munich, Munich School of Management.
    2. Ana Iglesias-Casal & María-Celia López-Penabad & Carmen López-Andión & José Manuel Maside-Sanfiz, 2020. "Securitization, financial stability and effective risk retention. A European analysis," PLOS ONE, Public Library of Science, vol. 15(2), pages 1-28, February.
    3. Deming Wu & Jiawen Yang & Han Hong, 2011. "Securitization and Banks’ Equity Risk," Journal of Financial Services Research, Springer;Western Finance Association, vol. 39(3), pages 95-117, June.
    4. Gunther Tichy, 2010. "War die Finanzkrise vorhersehbar?," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 11(4), pages 356-382, November.
    5. Ingo Fender & Janet Mitchell, 2009. "Incentives and tranche retention in securitisation : a screening model," Working Paper Research 177, National Bank of Belgium.
    6. W. Scott Frame & Lawrence J. White, 2009. "Technological change, financial innovation, and diffusion in banking," FRB Atlanta Working Paper 2009-10, Federal Reserve Bank of Atlanta.
    7. Wilde, Christian & Krahnen, Jan Pieter, 2017. "Skin in the game in ABS transactions: A critical review of policy options," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168296, Verein für Socialpolitik / German Economic Association.
    8. Battaglia, Francesca & Gallo, Angela, 2013. "Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 274-286.
    9. Krahnen, Jan-Pieter & Wilde, Christian, 2022. "Skin-in-the-game in ABS transactions: A critical review of policy options," Journal of Financial Stability, Elsevier, vol. 60(C).
    10. Hänsel, Dennis N. & Bannier, Christina E., 2008. "Determinants of European banks' engagement in loan securitization," Discussion Paper Series 2: Banking and Financial Studies 2008,10, Deutsche Bundesbank.
    11. Kara, A. & Marques-Ibanez, D. & Ongena, S., 2011. "Securitization and Lending Standards : Evidence from the Wholesale Loan Market," Other publications TiSEM d82c3ad1-2bb3-4108-80cd-0, Tilburg University, School of Economics and Management.
    12. López-Penabad, Mª Celia & López-Andión, Carmen & Iglesias-Casal, Ana & Maside-Sanfiz, Jose Manuel, 2015. "Securitization in Spain and the wealth effect for shareholders," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 308-323.
    13. Scholz, Julia, 2009. "Collateralized Debt Obligations: Anreizprobleme im Rahmen des Managements von CDOs," Discussion Papers in Business Administration 10999, University of Munich, Munich School of Management.
    14. David Colander & Hans Föllmer & Armin Haas & Michael Goldberg & Katarina Juselius & Alan Kirman & Thomas Lux & Birgitte Sloth, 2009. "The Financial Crisis and the Systemic Failure of Academic Economics," Discussion Papers 09-03, University of Copenhagen. Department of Economics.
    15. Hallak, Issam, 2009. "Renegotiation and the pricing structure of sovereign bank loans: Empirical evidence," Journal of Financial Stability, Elsevier, vol. 5(1), pages 89-103, January.
    16. Wengerek, Sascha Tobias & Hippert, Benjamin & Uhde, André, 2022. "Risk allocation through securitization: Evidence from non-performing loans," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 48-64.
    17. Valipour Pasha , Mohammad & Khansari , Rasool & Ahmadian , Azam, 2021. "Can Securitization Enhance Financial Stability? (Case of the I.R. of Iran)," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(3), pages 323-347, September.
    18. Bernd Rudolph, 2008. "Lehren aus den Ursachen und dem Verlauf der internationalen Finanzkrise," Schmalenbach Journal of Business Research, Springer, vol. 60(7), pages 713-741, November.
    19. Daniel Mokatsanyane & Paul-Francois Muzindutsi & Diana Viljoen, 2017. "Credit Risk and Securitisation in the South African Banking Sector," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 13(2), pages 102-121, April.
    20. Francis A. Longstaff & Brett Myers, 2009. "Valuing Toxic Assets: An Analysis of CDO Equity," NBER Working Papers 14871, National Bureau of Economic Research, Inc.
    21. González, Luís Otero & Rodríguez Gil, Luís Ignacio & Martorell Cunill, Onofre & Merigó Lindahl, José M., 2016. "The effect of financial innovation on European banks' risk," Journal of Business Research, Elsevier, vol. 69(11), pages 4781-4786.
    22. Di Cesare, Antonio, 2009. "Securitization and Bank Stability," MPRA Paper 16831, University Library of Munich, Germany.
    23. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
    24. Lin, Justin Yifu & Treichel, Volker, 2012. "The crisis in the Euro zone : did the euro contribute to the evolution of the crisis ?," Policy Research Working Paper Series 6127, The World Bank.
    25. Günter Franke & Jan P. Krahnen, 2009. "Instabile Finanzmärkte," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 10(4), pages 335-366, November.
    26. Sascha Tobias Wengerek & Benjamin Hippert & André Uhde, 2019. "Risk allocation through securitization - Evidence from non-performing loans," Working Papers Dissertations 58, Paderborn University, Faculty of Business Administration and Economics.
    27. Carbó-Valverde, Santiago & Marques-Ibanez, David & Rodríguez-Fernández, Francisco, 2012. "Securitization, risk-transferring and financial instability: The case of Spain," Journal of International Money and Finance, Elsevier, vol. 31(1), pages 80-101.
    28. Bakoush, Mohamed & Abouarab, Rabab & Wolfe, Simon, 2019. "Disentangling the impact of securitization on bank profitability," Research in International Business and Finance, Elsevier, vol. 47(C), pages 519-537.

  10. Krahnen, Jan Pieter & Wilde, Christian, 2006. "Risk transfer with CDOs and systemic risk in bankingfam," CFS Working Paper Series 2006/04, Center for Financial Studies (CFS).

    Cited by:

    1. Ana Iglesias-Casal & María-Celia López-Penabad & Carmen López-Andión & José Manuel Maside-Sanfiz, 2020. "Securitization, financial stability and effective risk retention. A European analysis," PLOS ONE, Public Library of Science, vol. 15(2), pages 1-28, February.
    2. Ingo Fender & Janet Mitchell, 2009. "Incentives and tranche retention in securitisation : a screening model," Working Paper Research 177, National Bank of Belgium.
    3. Wilde, Christian & Krahnen, Jan Pieter, 2017. "Skin in the game in ABS transactions: A critical review of policy options," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168296, Verein für Socialpolitik / German Economic Association.
    4. Krahnen, Jan-Pieter & Wilde, Christian, 2022. "Skin-in-the-game in ABS transactions: A critical review of policy options," Journal of Financial Stability, Elsevier, vol. 60(C).
    5. Kara, A. & Marques-Ibanez, D. & Ongena, S., 2011. "Securitization and Lending Standards : Evidence from the Wholesale Loan Market," Other publications TiSEM d82c3ad1-2bb3-4108-80cd-0, Tilburg University, School of Economics and Management.
    6. López-Penabad, Mª Celia & López-Andión, Carmen & Iglesias-Casal, Ana & Maside-Sanfiz, Jose Manuel, 2015. "Securitization in Spain and the wealth effect for shareholders," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 308-323.
    7. Wengerek, Sascha Tobias & Hippert, Benjamin & Uhde, André, 2022. "Risk allocation through securitization: Evidence from non-performing loans," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 48-64.
    8. González, Luís Otero & Rodríguez Gil, Luís Ignacio & Martorell Cunill, Onofre & Merigó Lindahl, José M., 2016. "The effect of financial innovation on European banks' risk," Journal of Business Research, Elsevier, vol. 69(11), pages 4781-4786.
    9. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
    10. Sascha Tobias Wengerek & Benjamin Hippert & André Uhde, 2019. "Risk allocation through securitization - Evidence from non-performing loans," Working Papers Dissertations 58, Paderborn University, Faculty of Business Administration and Economics.
    11. Carbó-Valverde, Santiago & Marques-Ibanez, David & Rodríguez-Fernández, Francisco, 2012. "Securitization, risk-transferring and financial instability: The case of Spain," Journal of International Money and Finance, Elsevier, vol. 31(1), pages 80-101.
    12. Bakoush, Mohamed & Abouarab, Rabab & Wolfe, Simon, 2019. "Disentangling the impact of securitization on bank profitability," Research in International Business and Finance, Elsevier, vol. 47(C), pages 519-537.

  11. Krahnen, Jan Pieter & Wilde, Christian, 2006. "Risk transfer with CDOs and systemic risk in bankingfam," CFS Working Paper Series 2006/04, Center for Financial Studies (CFS).

    Cited by:

    1. Ana Iglesias-Casal & María-Celia López-Penabad & Carmen López-Andión & José Manuel Maside-Sanfiz, 2020. "Securitization, financial stability and effective risk retention. A European analysis," PLOS ONE, Public Library of Science, vol. 15(2), pages 1-28, February.
    2. Ingo Fender & Janet Mitchell, 2009. "Incentives and tranche retention in securitisation : a screening model," Working Paper Research 177, National Bank of Belgium.
    3. Wilde, Christian & Krahnen, Jan Pieter, 2017. "Skin in the game in ABS transactions: A critical review of policy options," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168296, Verein für Socialpolitik / German Economic Association.
    4. Krahnen, Jan-Pieter & Wilde, Christian, 2022. "Skin-in-the-game in ABS transactions: A critical review of policy options," Journal of Financial Stability, Elsevier, vol. 60(C).
    5. Kara, A. & Marques-Ibanez, D. & Ongena, S., 2011. "Securitization and Lending Standards : Evidence from the Wholesale Loan Market," Other publications TiSEM d82c3ad1-2bb3-4108-80cd-0, Tilburg University, School of Economics and Management.
    6. López-Penabad, Mª Celia & López-Andión, Carmen & Iglesias-Casal, Ana & Maside-Sanfiz, Jose Manuel, 2015. "Securitization in Spain and the wealth effect for shareholders," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 308-323.
    7. Wengerek, Sascha Tobias & Hippert, Benjamin & Uhde, André, 2022. "Risk allocation through securitization: Evidence from non-performing loans," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 48-64.
    8. González, Luís Otero & Rodríguez Gil, Luís Ignacio & Martorell Cunill, Onofre & Merigó Lindahl, José M., 2016. "The effect of financial innovation on European banks' risk," Journal of Business Research, Elsevier, vol. 69(11), pages 4781-4786.
    9. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
    10. Sascha Tobias Wengerek & Benjamin Hippert & André Uhde, 2019. "Risk allocation through securitization - Evidence from non-performing loans," Working Papers Dissertations 58, Paderborn University, Faculty of Business Administration and Economics.
    11. Carbó-Valverde, Santiago & Marques-Ibanez, David & Rodríguez-Fernández, Francisco, 2012. "Securitization, risk-transferring and financial instability: The case of Spain," Journal of International Money and Finance, Elsevier, vol. 31(1), pages 80-101.
    12. Bakoush, Mohamed & Abouarab, Rabab & Wolfe, Simon, 2019. "Disentangling the impact of securitization on bank profitability," Research in International Business and Finance, Elsevier, vol. 47(C), pages 519-537.

  12. Manuel Ammann & Axel Kind & Christian Wilde, 2005. "Simulation-Based Pricing of Convertible Bonds," Finance 0507015, University Library of Munich, Germany.

    Cited by:

    1. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
    2. Ammann, Manuel & Kind, Axel & Seiz, Ralf, 2010. "What drives the performance of convertible-bond funds?," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2600-2613, November.
    3. Xiao, Tim, 2013. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," MPRA Paper 47366, University Library of Munich, Germany.
    4. Marie-Claude Vachon & Anne Mackay, 2024. "A Unifying Approach for the Pricing of Debt Securities," Papers 2403.06303, arXiv.org, revised Oct 2024.
    5. Axel Kind, 2005. "Pricing American-Style Options By Simulation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 109-116, June.
    6. Dutordoir, Marie & Van de Gucht, Linda, 2007. "Are there windows of opportunity for convertible debt issuance? Evidence for Western Europe," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2828-2846, September.
    7. Xiao, Tim, 2014. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," MPRA Paper 53982, University Library of Munich, Germany.
    8. Dutordoir, M.D.R.P. & Van de Gucht, L., 2006. "Are There Windows of Opportunity for Convertible Debt Issuance? Evidence for Western Europe," ERIM Report Series Research in Management ERS-2006-055-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    9. Kim, Byung-June & Jang, Bong-Gyu, 2021. "Convertible bond valuation with regime switching," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
    10. Xiaoyu Tan & Zili Zhang & Xuejun Zhao & Shuyi Wang, 2022. "DeepPricing: pricing convertible bonds based on financial time-series generative adversarial networks," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
    11. Dejun Xie, 2009. "Theoretical And Numerical Valuation Of Callable Bonds," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 3(2), pages 71-82.
    12. Feng, Yun & Huang, Bing-hua & Huang, Yu, 2016. "Valuing resettable convertible bonds: Based on path decomposing," Finance Research Letters, Elsevier, vol. 19(C), pages 279-290.
    13. Radha Krishn Coonjobeharry & Désiré Yannick Tangman & Muddun Bhuruth, 2016. "A Two-Factor Jump-Diffusion Model For Pricing Convertible Bonds With Default Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-26, September.
    14. Liwei Jin & Xianghui Yuan & Li Peiran & Hailun Xu & Feng Lian, 2023. "Option features and price discovery in convertible bonds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 384-403, March.
    15. Kateryna Mishchenko & Volodymyr Mishchenko & Anatoliy Malyarenko, 2007. "Adapted Downhill Simplex Method for Pricing Convertible Bonds," Papers 0710.0241, arXiv.org.
    16. Fan, Chenxi & Luo, Xingguo & Wu, Qingbiao, 2017. "Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 1-16.
    17. Xu, Ruxing, 2011. "A lattice approach for pricing convertible bond asset swaps with market risk and counterparty risk," Economic Modelling, Elsevier, vol. 28(5), pages 2143-2153, September.
    18. Jonathan A. Batten & Karren Lee-Hwei Khaw & Martin R. Young, 2014. "Convertible Bond Pricing Models," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 775-803, December.
    19. Yu Liu & Gongqiu Zhang, 2024. "Valuation Model of Chinese Convertible Bonds Based on Monte Carlo Simulation," Papers 2409.06496, arXiv.org, revised Nov 2024.
    20. Yang, Xiaofeng & Yu, Jinping & Xu, Mengna & Fan, Wenjing, 2018. "Convertible bond pricing with partial integro-differential equation model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 152(C), pages 35-50.
    21. Feng, Yun & Huang, Bing-hua & Young, Martin & Zhou, Qi-yuan, 2015. "Decomposing and valuing convertible bonds: A new method based on exotic options," Economic Modelling, Elsevier, vol. 47(C), pages 193-206.
    22. Markus Buergi, 2013. "Pricing contingent convertibles: a general framework for application in practice," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 31-63, March.
    23. Lee, David, 2022. "Pricing Cancellation Product," MPRA Paper 114147, University Library of Munich, Germany.
    24. Siddiqi, Mazhar A., 2009. "Investigating the effectiveness of convertible bonds in reducing agency costs: A Monte-Carlo approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1360-1370, November.
    25. Marco Realdon, 2010. "After‐tax Valuation of Convertible Bonds and Participation Exemption," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(3), pages 147-171, November.
    26. Rakhymzhan Kazbek & Yogi Erlangga & Yerlan Amanbek & Dongming Wei, 2023. "Valuation of the Convertible Bonds under Penalty TF model using Finite Element Method," Papers 2301.10734, arXiv.org.
    27. Ling, Yu-Xiu & Xie, Chi & Wang, Gang-Jin, 2022. "Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective," Emerging Markets Review, Elsevier, vol. 52(C).

Articles

  1. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2008. "Simulation-based pricing of convertible bonds," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 310-331, March.
    See citations under working paper version above.
  2. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2003. "Are convertible bonds underpriced? An analysis of the French market," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 635-653, April.

    Cited by:

    1. Peter J. Zeitsch, 2024. "Convertible Bond Arbitrage Smart Beta," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 159-192, January.
    2. Marie Dutordoir & Patrick Verwijmeren, 2008. "Why do Convertible Issuers simultaneously Repurchase Stock? An Arbitrage-based Explanation," Working Papers 0802, Departament Empresa, Universitat Autònoma de Barcelona, revised Feb 2008.
    3. Loncarski, I. & Ter Horst, J.R. & Veld, C.H., 2006. "The Convertible Arbitrage Strategy Analyzed," Discussion Paper 2006-98, Tilburg University, Center for Economic Research.
    4. Ammann, Manuel & Kind, Axel & Seiz, Ralf, 2010. "What drives the performance of convertible-bond funds?," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2600-2613, November.
    5. Xiao, Tim, 2013. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," MPRA Paper 47366, University Library of Munich, Germany.
    6. Duca, Eric & Dutordoir, Marie & Veld, Chris & Verwijmeren, Patrick, 2012. "Why are convertible bond announcements associated with increasingly negative issuer stock returns? An arbitrage-based explanation," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2884-2899.
    7. de Jong, Abe & Dutordoir, Marie & Verwijmeren, Patrick, 2011. "Why do convertible issuers simultaneously repurchase stock? An arbitrage-based explanation," Journal of Financial Economics, Elsevier, vol. 100(1), pages 113-129, April.
    8. Alex W.H. Chan & Nai-fu Chen, 2006. "Convertible Bond Underpricing: Renegotiable Covenants, Seasoning and Convergence (Published in "Management Science", Vol. 53, No. 11, November 2007, pp. 1793.1814. )," CARF F-Series CARF-F-075, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    9. Dutordoir, Marie & Van de Gucht, Linda, 2007. "Are there windows of opportunity for convertible debt issuance? Evidence for Western Europe," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2828-2846, September.
    10. Jorge Vieira da Costa Jr & Alfredo Sarlo Neto & Andrea Bispo da Silva, 2016. "Balance sheet classification of compound financial instruments and the judgment of securities market analysts," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 4(5), pages 37-54, October.
    11. Xiao, Tim, 2014. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," MPRA Paper 53982, University Library of Munich, Germany.
    12. Dutordoir, M.D.R.P. & Van de Gucht, L., 2006. "Are There Windows of Opportunity for Convertible Debt Issuance? Evidence for Western Europe," ERIM Report Series Research in Management ERS-2006-055-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    13. Alex W. H. Chan & Nai-fu Chen, 2007. "Convertible Bond Underpricing: Renegotiable Covenants, Seasoning, and Convergence," Management Science, INFORMS, vol. 53(11), pages 1793-1814, November.
    14. Sha Lin & Song‐Ping Zhu, 2022. "Pricing callable–puttable convertible bonds with an integral equation approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1856-1911, October.
    15. Yoram Landskroner & Alon Raviv, 2004. "The Valuation of Inflation-Indexed and FX Convertible Bonds," Finance 0401005, University Library of Munich, Germany.
    16. Alex W.H. Chan & Nai-fu Chen, 2006. "Convertible Bond Underpricing: Renegotiable Covenants, Seasoning and Convergence," CIRJE F-Series CIRJE-F-437, CIRJE, Faculty of Economics, University of Tokyo.
    17. Feng, Yun & Huang, Bing-hua & Huang, Yu, 2016. "Valuing resettable convertible bonds: Based on path decomposing," Finance Research Letters, Elsevier, vol. 19(C), pages 279-290.
    18. Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan, 2013. "Pricing securities with multiple risks: A case of exchangeable debt," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1018-1028.
    19. Roland Gillet & Hubert de La Bruslerie, 2010. "The consequences of issuing convertible bonds: Dilution and/or financial restructuring?," Post-Print halshs-00674248, HAL.
    20. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2008. "Simulation-based pricing of convertible bonds," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 310-331, March.
    21. Li, Xiaoyang & Lin, Shannon & Tucker, Alan L., 2016. "The curious case of converts," Global Finance Journal, Elsevier, vol. 31(C), pages 1-17.
    22. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, January.
    23. Liwei Jin & Xianghui Yuan & Li Peiran & Hailun Xu & Feng Lian, 2023. "Option features and price discovery in convertible bonds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 384-403, March.
    24. Dutordoir, M.D.R.P. & Van de Gucht, L., 2006. "Why Do Western European Firms Issue Convertibles Instead of Straight Debt or Equity?," ERIM Report Series Research in Management ERS-2006-056-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    25. Marco Realdon, 2004. "Valuation Of Exchangeable Convertible Bonds," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(06), pages 701-721.
    26. Finnerty, John D., 2015. "Valuing convertible bonds and the option to exchange bonds for stock," Journal of Corporate Finance, Elsevier, vol. 31(C), pages 91-115.
    27. Xu, Ruxing, 2011. "A lattice approach for pricing convertible bond asset swaps with market risk and counterparty risk," Economic Modelling, Elsevier, vol. 28(5), pages 2143-2153, September.
    28. Benjamin Kleidt & Eckhard Scharmer & Dirk Schiereck, 2009. "Desinvestitionen von Aktienpaketen — Eine Analyse von Exchangeable Bonds," Schmalenbach Journal of Business Research, Springer, vol. 61(7), pages 738-780, November.
    29. Jonathan A. Batten & Karren Lee-Hwei Khaw & Martin R. Young, 2014. "Convertible Bond Pricing Models," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 775-803, December.
    30. Yuriy Zabolotnyuk & Robert Jones & Chris Veld, 2010. "An Empirical Comparison of Convertible Bond Valuation Models," Financial Management, Financial Management Association International, vol. 39(2), pages 675-706, June.
    31. Mark C. Hutchinson & Liam A. Gallagher, 2010. "Convertible Bond Arbitrage: Risk and Return," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1‐2), pages 206-241, January.
    32. Dutordoir, Marie & Strong, Norman & Ziegan, Marius C., 2014. "Does corporate governance influence convertible bond issuance?," Journal of Corporate Finance, Elsevier, vol. 24(C), pages 80-100.
    33. Feng, Yun & Huang, Bing-hua & Young, Martin & Zhou, Qi-yuan, 2015. "Decomposing and valuing convertible bonds: A new method based on exotic options," Economic Modelling, Elsevier, vol. 47(C), pages 193-206.
    34. Marle, Mats van & Verwijmeren, Patrick, 2017. "The long and the short of convertible arbitrage: An empirical examination of arbitrageurs’ holding periods," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 237-249.
    35. Bacha, Obiyathulla I., 2004. "Pricing Hybrid Securities: The Case of Malaysian ICULS," MPRA Paper 12764, University Library of Munich, Germany, revised Jun 2004.
    36. Inmoo Lee & Rex Wang Renjie & Patrick Verwijmeren, 2023. "How Do Options Add Value? Evidence from the Convertible Bond Market," Review of Finance, European Finance Association, vol. 27(1), pages 189-222.
    37. Marco Realdon, 2010. "After‐tax Valuation of Convertible Bonds and Participation Exemption," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(3), pages 147-171, November.
    38. Marie Dutordoir & Linda Van de Gucht, 2009. "Why Do Western European Firms Issue Convertibles Instead of Straight Debt or Equity?," European Financial Management, European Financial Management Association, vol. 15(3), pages 563-583, June.
    39. Ling, Yu-Xiu & Xie, Chi & Wang, Gang-Jin, 2022. "Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective," Emerging Markets Review, Elsevier, vol. 52(C).

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (6) 2005-07-18 2006-05-06 2008-05-17 2009-06-03 2009-07-28 2017-08-20. Author is listed
  2. NEP-EXP: Experimental Economics (5) 2014-06-28 2014-07-13 2015-02-22 2019-06-17 2021-03-29. Author is listed
  3. NEP-RMG: Risk Management (5) 2006-05-06 2007-03-17 2008-05-17 2009-06-03 2009-07-28. Author is listed
  4. NEP-UPT: Utility Models and Prospect Theory (5) 2009-07-28 2014-06-28 2015-02-22 2019-06-17 2021-03-29. Author is listed
  5. NEP-CBE: Cognitive and Behavioural Economics (3) 2014-06-28 2014-07-13 2015-02-22
  6. NEP-CMP: Computational Economics (2) 2005-07-18 2009-07-28
  7. NEP-FIN: Finance (2) 2005-07-18 2006-05-06
  8. NEP-BAN: Banking (1) 2007-03-17
  9. NEP-CBA: Central Banking (1) 2006-05-06
  10. NEP-MST: Market Microstructure (1) 2017-08-20

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