Similar Search Results

Risk-sharing or risk-taking? Counterparty risk, incentives and margins

Biais, Bruno; Heider, Florian; Hoerova, Marie - European Central Bank - 2012

to materialize ex post when the ex ante probability of counterparty default is low. Variation margins emerge as an …

Persistent link: https://www.econbiz.de/10010686736

Household debt sustainability: what explains household non-performing loans? An empirical analysis

Rinaldi, Laura; Sanchis-Arellano, Alicia - European Central Bank - 2006

Sound household financial conditions are relevant for both financial and monetary stability. Therefore, we analyse household financial fragility in a sample of euro area countries with the aim to shed some light on the nature of the large debt increase accumulated in recent years. We focus on...

Persistent link: https://www.econbiz.de/10004969153

Are universal banks better underwriters? Evidence from the last days of the Glass-Steagall Act

Focarelli, Dario; Marqués-Ibáñez, David; Pozzolo, … - European Central Bank - 2011

’s restrictions. Securities underwritten by commercial banks’ subsidiaries have a higher probability of default than those … gain market share and/or to the lower initial ability of these banks to correctly evaluate default risk. JEL Classification …

Persistent link: https://www.econbiz.de/10008794519

Modelling short-term interest rate spreads in the euro money market

Cassola, Nuno; Morana, Claudio - European Central Bank - 2008

In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...

Persistent link: https://www.econbiz.de/10005344818

Global macro-financial shocks and expected default frequencies in the euro area

Castrén, Olli; Dées, Stéphane; Zaher, Fadi - European Central Bank - 2008

Modelling the link between the global macro-financial factors and firms’ default probabilities constitutes an … constructing a linking satellite equation for the firm-level Expected Default Frequencies (EDFs), we show how to analyse the euro … area corporate sector probability of default under a wide range of domestic and foreign macroeconomic shocks. The results …

Persistent link: https://www.econbiz.de/10005344829

Interbank lending, credit risk premia and collateral

Heider, Florian; Hoerova, Marie - European Central Bank - 2009

We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...

Persistent link: https://www.econbiz.de/10008549311

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - European Central Bank - 2010

calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward …

Persistent link: https://www.econbiz.de/10008478976

An economic capital model integrating credit and interest rate risk in the banking book

Alessandri, Piergiorgio; Drehmann, Mathias - European Central Bank - 2009

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our...

Persistent link: https://www.econbiz.de/10005002780

Determinants of euro term structure of credit spreads

Van Landschoot, Astrid - European Central Bank - 2004

changes in the level and the slope of the default-free term structure, the market return, implied volatility, and liquidity …

Persistent link: https://www.econbiz.de/10005530906

Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?

Manganelli, Simone; Wolswijk, Guido - European Central Bank - 2007

This paper studies the determinants of interest rate spreads of euro area 10 year government bonds against the benchmark, the German bund, after the introduction of the euro. In particular, it pays attention to the question whether market discipline is advanced or obstructed by financial...

Persistent link: https://www.econbiz.de/10005530932