Many observers have argued that credit default swaps contributed significantly to the credit crisis. Of particular … concern to these observers are that credit default swaps trade in the largely unregulated over-the-counter market as bilateral … contracts involving counterparty risk and that they facilitate speculation involving negative views of a firm's financial …

for commercial banks. The controversy concerns whether the size, complexity, and risks associated with these securities … concentration of activity in a small number of firms, has substantially increased the risk of collapse of the world banking system … interest-rate sensitivities of interest rate swap positions of U.S. commercial banks to empirically address the question of …

The credit crisis was sparked by a shock to fundamentals, housing prices failed to rise, which led to a collapse of … trust in credit markets. In particular, the repurchase agreement market in the U.S., estimated to be about $12 trillion … parties to buy protection against declines in subprime value via credit derivatives written on the index or tranches of the …

banks and CDO equity display significant sensitivity to "shadow banking" factors such as counterparty credit risk, the … bank and CDO equity returns. Although banks are presumably active credit-portfolio managers, we find that bank alphas are …How does the market value complex structured-credit securities? This issue is central to understanding the current …

on how to enhance the resilience of the financial architecture and mitigate systemic risk. …

, model-free benchmark for credit risk analysis, which we use to run empirical experiments on credit spread biases, the impact … properties of traded corporate bonds. Pseudo bonds display a credit spread puzzle that is stronger at short horizons, unexplained … by standard risk factors and unlikely to be solely due to illiquidity. Our option-based approach also offers a novel …

financialization of commodity markets, valuable information about commodity risk premiums can be extracted from asset pricing models …

traditional measure of risk, equity volatility. We show that each variable has a statistically significant effect on the timing of …, and ambiguity increasing the tendency for executives to exercise early in response to risk aversion. Regression estimates …