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Gündüz, Yalın - 2018

This paper provides initial evidence on counterparty risk-mitigation activities of financial institutions on the basis of Depository Trust and Clearing Corporation's (DTCC) proprietary bilateral credit default swap transactions and positions. We show that financial institutions that are active...

Persistent link: https://www.econbiz.de/10011900709

The price impact of CDS trading

Gündüz, Yalın; Nasev, Julia; Gehde-Trapp, Monika - 2013

In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation. We first show that CDS traders adjust the CDS premium...

Persistent link: https://www.econbiz.de/10009751104

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

OTC discount

Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2019

We study price dispersion and venue choice in the interdealer market for German sovereign bonds, where an exchange and over-the-counter segments coexist. We show that 85% of OTC traded prices are favorable with respect to exchange quotes, indicating the prevalence of an OTC discount. This...

Persistent link: https://www.econbiz.de/10012125222

Estimating endogenous liquidity using transaction and order book information

Durand, Philippe; Gündüz, Yalın; Thomazeau, Isabelle - 2012

We distinguish exogenous liquidity, which corresponds to the variability of bid-ask spreads for usual-sized transactions, from endogenous liquidity, which we interpret as the impact of liquidity on market prices when liquidating larger positions. Endogenous liquidity measures the risk that the...

Persistent link: https://www.econbiz.de/10009674768

Hedging langfristiger Lieferverpflichtungen mit kurzfristigen Futures : möglich oder unmöglich?

Bühler, Wolfgang; Korn, Olaf - 1998

Im Laufe des Jahres 1993 war die Metallgesellschaft Refining & Marketing (MGRM), eine US-amerikanische Tochtergesellschaft der Metallgesellschaft AG, in großem Umfang die Verpflichtung eingegangen, langfristig Öl zu Festpreisen zu liefern. Das dadurch entstehende Preisrisiko sollte über...

Persistent link: https://www.econbiz.de/10013428156

Regulation, credit risk transfer with CDS, and bank lending

Pausch, Thilo; Welzel, Peter - 2012

lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank’s credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …

Persistent link: https://www.econbiz.de/10009509090

CDS and credit : testing the small bang theory of the financial universe with micro data

Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2017

comprehensive bank-firm level CDS trading data from the Depository Trust and Clearing Corporation with the German credit register … containing bilateral bank-firm credit exposures. We find that following the Small Bang in the European CDS market, extant credit …

Persistent link: https://www.econbiz.de/10011663406

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

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

protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk. …

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

Banking across borders

Niepmann, Friederike - 2013

variation from an international trade theory perspective. In the model, banking across borders arises from differences in factor …

Persistent link: https://www.econbiz.de/10009740267

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