Similar Search Results

The joint estimation of term structures and credit spreads

Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999

We present a new framework for the joint estimation of the default-free government term structure and corporate credit …

Persistent link: https://www.econbiz.de/10011301164

Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads

Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016

We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period 2008--2015, joint default probabilities based on...

Persistent link: https://www.econbiz.de/10011531096

Do information contagion and business model similarities explain bank credit risk commonalities?

Wang, Dieter; Lelyveld, Iman van; Schaumburg, Julia - 2018

This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The puzzle, first detected in corporate bonds, consists of two stylized facts: Structural determinants of credit risk not only have low explanatory power but also fail to capture...

Persistent link: https://www.econbiz.de/10011949150

Cyclicality in losses on bank loans

Keijsers, Bart; Diris, Bart; Kole, Erik - 2015

Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...

Persistent link: https://www.econbiz.de/10010515860

Pro-cyclicality, empirical credit cycles, and capital buffer formation

Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002

Persistent link: https://www.econbiz.de/10001718549

Inertial credit and arrears in transition

Perotti, Enrico C. - 1995

Persistent link: https://www.econbiz.de/10000922224

How to measure corporate bond liquidity?

Houweling, Patrick; Mentink, Albertus André; Vorst, Ton - 2003

contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro … corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 …

Persistent link: https://www.econbiz.de/10011333257

Central clearing and asset prices

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013

We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...

Persistent link: https://www.econbiz.de/10010224773

Inflation, endogenous market segmentation and the term structure of interest rates

Vries, Casper G. de; Wang, Xuedong - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...

Persistent link: https://www.econbiz.de/10010532587

Have Euro area government bond risk premia converged to their common state?

Pozzi, Lorenzo; Wolswijk, Guido Franciscus Theodorus - 2008

We derive a model in which a standard international capital asset pricing (ICAPM) model is nested within an ICAPM model with market imperfections. In the latter model an idiosyncratic stochastic factor affects the return of risky assets (over a risk-free rate) on top of the systematic component...

Persistent link: https://www.econbiz.de/10011374402

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