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INTERESTING PAPER! Olivier De Jonghe
Athenaeum of Ohio, US has reference to this Academic Journal, Olivier De Jonghe Discussion of ?A market-based measure of credit quality in addition to Banks? performance during the subprime crisis? By Martin Knaup Wolf Wagner Information impounded in bank asset prices Stock return decomposition: Systematic risk (market beta) Interest rate risk (Flannery in addition to James, JF 1984) Inflation (Dermine in addition to Lajeri, JBF 1999) Exchange rate risk Term risk (Viale et al. , JBF 2009) Default risk ? Bank asset prices Emerging scholars in Banking in addition to Finance Default risk factor: Yield difference between Baa in addition to Aaa corporate bonds Pros in addition to Cons of your approach + High in addition to Low risk?Credit risk indicator ( H/(H+L)) Short time period Only 35 substituents in cross-over index CDS spreads vs bond spreads: are they cleaner? may turn ? into = Credit quality Emerging scholars in Banking in addition to Finance
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? Our proposed credit risk indicator differs conceptually from other market-based measures , such as DtD or (bank) CDS spreads. While these measures focus on the current riskiness of a bank, the CRI measures the perceived exposure of a bank so that an economic downturn (in which high risk assets presumably perform worse than low risk assets).? Still depends on predicting an economic downturn Time-varying betas (regime switches) Tail beta: extreme system(at)ic risk Hartmann et al. (2006) De Jonghe (JFI, forthcoming) On the motivation Emerging scholars in Banking in addition to Finance Order of factors/shock (Choleski) In this paper: XO versus IG is irrelevant Role of market factor Orthogonalization Emerging scholars in Banking in addition to Finance Mapping between model in addition to estimations Model is in MVE= P*NOSH ?p= absolute change in bank?s share price Not relative change, i.e. return How did you normalize stock index? Correspondence so that return-based market models? Market beta of 0.03 What are loadings of CDSXO, CDSIG in return model? Similar CRI? Absolute price changes Emerging scholars in Banking in addition to Finance
Is average CRI of 0.11 plausible? Multiple regimes in CRI? Calm vs stress? What is economic significance of XO in addition to IG? To what extent does fit of regression increase? Are bank-specific coefficients on XO in addition to IG significant? INTERESTING PAPER! Other comments Emerging scholars in Banking in addition to Finance
Improvements on the Range-Minimum-Query- Problem Introduction Introduction Applications Applications Previous Results in consideration of RMQ Cartesian Tree The New Algorithm Overview Answering In-block-queries Answering In-block-queries Answering In-block-queries O(n)-Algo in consideration of Cartesian Tree Computing the block type Computing the block type Computing the block type Computing the block type Summary in addition to Outlook Any Questions?
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