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Global credit risk : world, country and industry factors

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2016

Persistent link: https://www.econbiz.de/10011618479

Klaassen, Franc; Teulings, Rutger - 2017

all variables proposed by theory, despite a broad set of fixed effects (FE). We find that both REERs are important and … multilateral resistances. Untangling normalization helps to get a better view of what is still unexplained by theory. …

Persistent link: https://www.econbiz.de/10011791519

Accounting noise and the pricing of cocos

Derksen, Mike; Spreij, Peter; Wijnbergen, Sweder van - 2018

Contingent Convertible bonds (CoCos) are debt instruments that convert into equity or are written down in times of distress. Existing pricing models assume conversion triggers based on market prices and on the assumption that markets can always observe all relevant firm information. But all...

Persistent link: https://www.econbiz.de/10011818282

Global credit risk : world, country and industry factors

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2015

area sovereign debt crises. We find that macro and default-specific world factors are a primary source of default …

Persistent link: https://www.econbiz.de/10010484886

Private and public risk sharing in the Euro area

Cimadomo, Jacopo; Furtuna, Oana; Giuliodori, Massimo M. - 2017 - This version: 11 July 2017

This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over the period 1999-2015. In particular, we explore the role of financial integration versus international financial assistance for private consumption smoothing in this set of...

Persistent link: https://www.econbiz.de/10011688776