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Do correlated defaults matter for CDS premia? : an empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
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What drives the short-term fluctuations of banks' exposure to interest rate risk?
Memmel, Christoph - 2019
We investigate whether banks actively manage their exposure to interest rate risk in the short run. Using bank-level data of German banks for the period 2011Q4- 2017Q2, we find evidence that banks actively manage their interest rate risk exposure in their banking books: They take account of...
Persistent link: https://www.econbiz.de/10011968696
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Sovereign default swap market efficiency and country risk in the eurozone
Gündüz, Yalın; Kaya, Orcun - 2013
This paper uses sovereign CDS spread changes and their volatilities as a proxy for the informational efficiency of the sovereign markets and persistency of country risks. Specifically, we apply semi-parametric and parametric methods to the sovereign CDSs of 10 eurozone countries to test the...
Persistent link: https://www.econbiz.de/10009731982
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Market timing, maturity mismatch, and risk management : evidence from the banking industry
Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013
-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. A higher … swap use. Exogeneity tests indicate that both decisions are only endogenous to each other for banks that start using swaps … compliance with the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap …
Persistent link: https://www.econbiz.de/10010248947
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Inflation anchoring in the euro area
Speck, Christian - 2016
reaction of inflation-linked swap (ILS) rates - a market-based measure of inflation expectations - to macroeconomic surprises …
Persistent link: https://www.econbiz.de/10011456474
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Common risk factors in the US and UK interest rate swap markets : evidence from a non-linear vector autoregression approach
Lekkos, Ilias; Milas, Costas - 2002
Persistent link: https://www.econbiz.de/10001664578
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The persistent widening of cross-currency basis : when increased FX swap demand meets limits of arbitrage
Ben Zeev, Nadav; Nathan, Daniel - 2023
Persistent link: https://www.econbiz.de/10014486894
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US real interest rates and default risk in emerging economies
Foley-Fisher, Nathan; Guimarães, Bernardo - 2009
We empirically analyse the appropriateness of indexing emerging market sovereign debt to US real interest rates. We find that policy-induced exogenous increases in US rates raise default risk in emerging market economies, as hypothesised in the theoretical literature. However, we also find...
Persistent link: https://www.econbiz.de/10003894416
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Theory of incentive contracts in agriculture - consumption credit as a risk instrument
Kotwal, Ashok - 1981
Persistent link: https://www.econbiz.de/10003527884
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Regulation, credit risk transfer with CDS, and bank lending
Pausch, Thilo; Welzel, Peter - 2012
We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on lending behavior and risk sensitivity of a...
Persistent link: https://www.econbiz.de/10009509090