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Financial Integration And Domestic Sovereignty In European Stock Markets

Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

European equity markets since the introduction of the euro. We use a multivariate GARCH(1,1)-M return generating model allowing … euro and that sovereign risk represents a non-negligible component -on average 15%- of the excess ex- pected return … required for investing in the euro-zone as well as in a group of European stock markets enlarged to Switzerland and the UK. …

Persistent link: https://www.econbiz.de/10005859116

Valuation in Dynamic Bargaining Markets

Duffie, Darrell; Garleanu, Nicolae; Pedersen, Lasse Heje - 2001

We study the impact on asset prices of illiquidity associated with search and bargaining in an economy in which agents can trade only when they find each other. Marketmakers' prices are higher and bid-ask spreads are lower if investors can find each other more easily. (...)

Persistent link: https://www.econbiz.de/10005847028

The Term Structure of Illiquidity Premia

Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - Universität <Köln> / Wirtschafts- und …; … - 2009

This paper investigates the dynamics of the term structure of bond market illiquidity premia. We analyze the comovement of short-, medium-, and long-termilliquidity premia and identify economic factors determining them. Our resultsshow that the term structure of illiquidity premia is U-shaped on...

Persistent link: https://www.econbiz.de/10008911533

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

Beber, Alessandro; Brandt, Michael W.; Kavajec, Kenneth A. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit …

Persistent link: https://www.econbiz.de/10005858392

Time-Varying Credit Riskand Liquidity Premia inBond and CDS Markets

Bühler, Wolfgang; Trapp, Monika - Universität <Mannheim> / Behavioral Finance Group; … - 2009

We develop a reduced-form model that allows us to decompose bond spreads and CDS premiainto a pure credit risk component, a pure liquidity component, and a component measuring therelation between credit risk and liquidity. CDS liquidity has important consequences for the bondcredit risk and...

Persistent link: https://www.econbiz.de/10005867856

Explaining the Bond-CDS Basis –The Role of Credit Riskand Liquidity

Bühler, Wolfgang; Trapp, Monika - Universität <Mannheim> / Behavioral Finance Group; …

We explore the relationship between CDS premia and bond asset swap spreads on the samereference entity. As Duffie (1999) shows, there is a clear theoretical link between CDS premiaand bond prices if the two quantities are viewed as a pure measure of credit risk. However,many studies provide...

Persistent link: https://www.econbiz.de/10005867858

DER MARKTPHASENABHÄNGIGE EINFLUSSDER LIQUIDITÄT AUF DIE CREDIT SPREADSVON CORPORATE BONDS

GANN, PHILIPP - Universität <München> / Fakultät für Betriebswirtschaft - 2010

Credit Spreads Euro denominierter Unternehmensanleihen. Dabei werden zwei Untersuchungsperiodenwährend verschiedener … dadurch ausgelösten internationalen Finanzkrise, diezweite Untersuchungsperiode auf einen Zeitraum während der Krise. Es wird …

Persistent link: https://www.econbiz.de/10009418796

The Negative CDS-Bond Basis and ConvergenceTrading During the 2007/09 Financial Crisis

Fontana, Alessandro - National Centre of Competence in Research - Financial … - 2011

This papers studies the CDS-bond basis, i.e. a measure of price discrepanciesbetween CDS and bonds spreads, for a sample of investment-graded US rms. Resultsshow that during the 2007/09 nancial crisis the basis was time varying and negativelycorrelated to: the \Libor-OIS" spread, a proxy for the...

Persistent link: https://www.econbiz.de/10009486826

The failure mechanics of dealer banks

Duffie, Darrell - Bank für Internationalen Zahlungsausgleich <Basel> - 2010

I explain the key failure mechanics of large dealer banks, and some policy implications. This is not a review of the financial crisis of 2007–2009. Systemic risk is considered only in passing. Both the financial crisis and the systemic...

Persistent link: https://www.econbiz.de/10005870961

The Future of Credit Portfolio Management

Leung, Som-lok - International Association for the Study of Insurance … - 2009

IACPM is a non-profit industry association developed to Further the management of credit exposures by providing a forum for members to exchange ideas, foster research on credit portolio management, represent members before legislative and admistrative bodies...

Persistent link: https://www.econbiz.de/10008637661