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Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that …

Persistent link: https://www.econbiz.de/10013417581

Bahaj, Saleem; Reis, Ricardo - 2018 - First draft: October 2017

Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This … shows that the swap line mimics discount-window credit from the source central bank to the recipient-country banks using the … shows that the swap-line rate puts a ceiling on deviations from covered interest parity, and finds evidence for it in the …

Persistent link: https://www.econbiz.de/10011867130

Rating assignments : lessons from international banks

Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2009

This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to capture country-specific variation. The empirical findings provide support to the hypothesis that the individual international bank ratings assigned by Fitch Ratings are...

Persistent link: https://www.econbiz.de/10003832133

Securitization of mortgage debt, asset prices and international risk sharing

Hoffmann, Mathias; Nitschka, Thomas - 2009

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption risk sharing: we find that countries with the most...

Persistent link: https://www.econbiz.de/10003806732

Application of stochastic optimal control to financial market debt crises

Stein, Jerome L. - 2009

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

Persistent link: https://www.econbiz.de/10003807893

Macroeconomic dynamics and credit risk : a global perspective

Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - 2003

We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...

Persistent link: https://www.econbiz.de/10011508097

Optimal risk-sharing in mortgage contracts : the effects of potential prepayment and default

Brueckner, Jan K.; Lee, Kangoh - 2014

Much of the literature on the economics of mortgage markets has studied the FRM-ARM choice made by individual borrowers. However, to decide if the outcome of such a choice is efficient or approximately so, it is necessary to explore the question of optimal risk-sharing in mortgage contracts. But...

Persistent link: https://www.econbiz.de/10010412302

Strategic complementarity, fragility, and regulation

Vives, Xavier - 2011 - Rev. May 2011

The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is a critical determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure...

Persistent link: https://www.econbiz.de/10009230899

Global business cycles and credit risk

Pesaran, M. Hashem (contributor); … - 2005

The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive...

Persistent link: https://www.econbiz.de/10003201686

Brož, Václav; Kočenda, Evžen - 2021

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term...

Persistent link: https://www.econbiz.de/10012697108