25 Jahre IWH

Professor Dr. Dominik Maltritz

Aktuelle Position

seit 2/12

Forschungsprofessor

Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

seit 2/10

Professor für Internationale Ökonomie

Universität Erfurt

Forschungsschwerpunkte

  • Finanzkrisen

Professor Dr. Dominik Maltritz ist Inhaber des Lehrstuhls für Internationale Ökonomie an der Universität Erfurt. Er unterstützt die IWH-Forschung auf dem Gebiet der Finanzkrisenanalyse und -prognose.

Auf dieser Webseite sind im Rahmen der Kooperation mit dem IWH entstandene Veröffentlichungen gelistet. Eine vollständige Publikationsliste ist auf der Homepage des Autors abrufbar.

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Professor Dr. Dominik Maltritz
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Publikationen

An Options-based Approach to Forecast Competing Bids: Evidence for Canadian Takeover Battles

Stefan Eichler Dominik Maltritz

in: Applied Economics , Nr. 34, 2013

Abstract

During takeover battles, a tender offer provides a call option right to the target’s shareholders: it guarantees the offered price but maintains the chance of a higher offer. We present an options-based approach to estimate the probability and expected value of higher competing takeover bids using target stock price data. Analysing Canadian takeover battles in the period 1997 to 2007 we find that during the 5 trading days prior to the occurrence of an increased takeover bid, the estimated probability of a higher bid exceeds 80% on average and the expected value of a potential competing bid almost matches the realized value.

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The Term Structure of Sovereign Default Risk in EMU Member Countries and Its Determinants

Stefan Eichler Dominik Maltritz

in: Journal of Banking & Finance , Nr. 6, 2013

Abstract

We analyze the determinants of sovereign default risk of EMU member states using government bond yield spreads as risk indicators. We focus on default risk for different time spans indicated by spreads for different maturities. Using a panel framework we analyze whether there are different drivers of default risk for different maturities. We find that lower economic growth and larger openness increase default risk for all maturities. Higher indebtedness only increases short-term risk, whereas net lending, trade balance and interest rate costs only drive long-term default risk.

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Modelling Country Default Risk as a Latent Variable: A Multiple Indicators Multiple Causes Approach

A. Bühn Stefan Eichler Dominik Maltritz

in: Applied Economics , Nr. 36, 2012

Abstract

We study the determinants of country default risk by applying a Multiple Indicators Multiple Causes (MIMIC) model. This accounts for the fact that country default risk is an unobservable variable. Whereas existing (regression-based) approaches typically use only one of several possible country default risk indicators as the dependent variable, the MIMIC model enables us to consider several indicators at once. The simultaneous consideration of sovereign yield spreads and Standard and Poor (S&P) ratings may help to improve the identification of the latent country default risk. Our results confirm most of the literature's main findings regarding important determinants of country default risk, refute others and provide new evidence to controversial questions.

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Arbeitspapiere

Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach: The Case of Kazakhstan

Stefan Eichler Alexander Karmann Dominik Maltritz

in: Discussion paper, Series 2: Banking and financial studies, No. 01/2010 , Nr. 1, 2010

Abstract

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term default risk to each maturity. Applying the Duan (1994) maximum likelihood approach, we find for Kazakhstan that the overall crisis probability was mainly driven by short-term risk, which increased from 25% in March 2007 to 80% in December 2008. Concurrently, the long-term default risk increased from 20% to only 25% during the same period.

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