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Identifying empty creditors with a shock and micro-data

Degryse, Hans; Gündüz, Yalın; O'Flynn, Kuchulain; … - 2021

Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors" as hedged creditors have less … incentive to participate in firm restructuring. We test for the existence of empty creditors by employing an exogenous change to … the bankruptcy code in Germany that effectively removes their potential impact on CDS firms. Using a unique dataset on …

Persistent link: https://www.econbiz.de/10012697959

Pre-emptive sovereign debt restructuring and holdout litigation

Anand, Kartik; Gai, Prasanna - 2018

We offer an analytical framework for studying "pre-emptive" debt exchanges. Countries can tailor a sovereign bankruptcy … optimal to prioritise the rights of holdout creditors during litigation so that they are always paid in full. We clarify how …

Persistent link: https://www.econbiz.de/10011874276

The multivariate option iPoD framework : assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - 2014

We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...

Persistent link: https://www.econbiz.de/10010405480

Collateral value and forbearance lending

Chen, Nan-kuang (contributor); Chu, Hsiao-lei (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001925490

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

The real effects of bank distress : evidence from bank bailouts in Germany

Bersch, Johannes; Degryse, Hans; Kick, Thomas; Stein, Ingrid - 2019

How does bank distress impact their customers' probability of default and trade credit availability? We address this question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times of distress and crisis, featuring the different...

Persistent link: https://www.econbiz.de/10012108717

Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....

Persistent link: https://www.econbiz.de/10011888333

The determinants of CDS spreads : evidence from the model space

Pelster, Matthias; Vilsmeier, Johannes - 2016

We apply Bayesian Model Averaging and a frequentistic model space analysis to assess the pricing-determinants of credit default swaps (CDS). Our study focuses on the complete model space of plausible models covering most of the variables and specifications used elsewhere in the literature,...

Persistent link: https://www.econbiz.de/10011561899

CDS spreads and systemic risk : a spatial econometric approach

Keiler, Sebastian; Eder, Armin - 2013

This study applies a novel way of measuring, quantifying and modelling the systemic risk within the financial system. The magnitude of risk spill over effects is gauged by introducing a specific weighting scheme. This approach originally stems from spatial econometrics. The methodology allows...

Persistent link: https://www.econbiz.de/10009695965

Spillover effects of credit default risk in the euro area and the effects on the euro : a GVAR approach

Bettendorf, Timo - 2016

During the 2008 financial crisis, increasing risk and spillovers became a main concern for policy makers and banks. In addition, changes in sovereign and bank risk are believed to have had strong effects on world-wide exchange rates. This paper aims to analyze these dynamics empirically. We...

Persistent link: https://www.econbiz.de/10011549749

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