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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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CDS market structure and bond spreads
Bilan, Andrada; Gündüz, Yalın - 2022
We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our … transactions and bond portfolio holdings of German investors. Following the shock, CDS market liquidity declines and bond spreads … therefore show that frictions in derivative markets affect the underlying securities, which can raise firms’ cost of capital. …
Persistent link: https://www.econbiz.de/10013259649
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CDS and credit : testing the small bang theory of the financial universe with micro data
Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2017
experiencing larger improvements in liquidity. …
Persistent link: https://www.econbiz.de/10011663406
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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
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Mitigating counterparty risk
Gündüz, Yalın - 2018
of Depository Trust and Clearing Corporation's (DTCC) proprietary bilateral credit default swap transactions and …
Persistent link: https://www.econbiz.de/10011900709
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A network analysis of the evolution of the German interbank market
Roukny, Tarik; Georg, Co-Pierre; Battiston, Stefano - 2014
-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the … little or no impact of the 2008 crisis on the structure of credit market. The derivative market however exhibits a peak of …
Persistent link: https://www.econbiz.de/10010405454
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Identifying empty creditors with a shock and micro-data
Degryse, Hans; Gündüz, Yalın; O'Flynn, Kuchulain; … - 2021
financially safer firms are less affected by empty creditors. Banks that are not capital constrained and that are liquidity …
Persistent link: https://www.econbiz.de/10012697959
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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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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
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Estimating endogenous liquidity using transaction and order book information
Durand, Philippe; Gündüz, Yalın; Thomazeau, Isabelle - 2012
before the transaction. We apply an endogenous liquidity-based model to order books and credit default swap (CDS …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 …
Persistent link: https://www.econbiz.de/10009674768