Auflistung Working Papers nach Autor "Schmidt, Alexander"
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Bank Rescues and Bailout Expectations: The Erosion of Market Discipline During the Financial Crisis
Hett, Florian; Schmidt, Alexander (2016-10-01)We design a novel test for changes in market discipline based on the relation between firm-specific risk, credit spreads, and equity returns. We use our method to analyze the evolution of bailout expectations during the ... -
Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?
Kraft, Holger; Schmidt, Alexander (2014-12-14)We propose a novel approach on how to estimate systemic risk and identify its key determinants. For US financial companies with publicly traded equity options, we extract option-implied value-at-risks and measure the ...