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The Janus-Headed Salvation : Sovereign and Bank Credit Risk Premia during 2008-09
Ejsing, Jacob - 2012
As the global banking crisis intensified in the fall of 2008, governments announced comprehensive rescue packages for financial institutions. In this paper, we put the joint response of euro area bank and sovereign CDS premia under the microscope. We find that the bank rescue packages led to a...
Persistent link: https://www.econbiz.de/10013116569
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Disentangling the Bond-CDS Nexus : A Stress Test Model of the CDS Market
Vuillemey, Guillaume - 2013
This paper presents a stress test model for the CDS market, with a focus on the interplay between banks' bond and CDS holdings. The model enables the analysis of credit risk transfer mechanisms, includes features of market and liquidity risk, and allows for contagious propagation of counterparty...
Persistent link: https://www.econbiz.de/10013074485
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Short-Term Determinants of the Idiosyncratic Sovereign Risk Premium : A Regime-Dependent Analysis for European Credit Default Swaps
Calice, Giovanni - 2014
This study investigates the dynamics of the sovereign CDS term premium for five European countries. The CDS term premium can be regarded as a forward-looking measure of idiosyncratic sovereign default risk as perceived by financial markets. Using a Markov-switching unobserved component model, we...
Persistent link: https://www.econbiz.de/10013049575
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Do Banks' Overnight Borrowing Rates Lead Their CDS Price? Evidence from the Eurosystem
Tölö, Eero - 2015
We construct a measure of a bank's relative creditworthiness from Eurosystem's proprietary overnight loan data: the bank's “average overnight borrowing rate spread, relative to overnight rate index” (AOR). We investigate the dynamic relationship between the AOR and the credit default swap...
Persistent link: https://www.econbiz.de/10013020641
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Bank Private Information in CDS Markets
Bilan, Andrada; Ongena, Steven; Pancaro, Cosimo - 2023
Can banks trade credit default swaps (CDSs) referenced on their current corporate clients at competitive prices, or are banks penalized for potentially holding private information? To answer this question we merge CDS trades reported under the European Market Infrastructure Regulation (EMIR)...
Persistent link: https://www.econbiz.de/10014354665
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Bank risk-taking, securitization, supervision and low interest rates: Evidence from the euro area and the U.S. lending standards
Maddaloni, Angela; Peydró, José-Luis - 2010
securitization activity, weak supervision for bank capital and too low for too long monetary policy rates. Conversely, low long …
Persistent link: https://www.econbiz.de/10011605294
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Securitization, bank lending and credit quality: the case of Spain
Carbó-Valverde, Santiago; Marqués-Ibáñez, David; … - 2011
illustrative: this country experienced a pronounced housing bubble partly funded via spectacular developments in its securitization …
Persistent link: https://www.econbiz.de/10011605375
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Securitization and lending standards: evidence from the wholesale loan market
Kara, Alper; Marqués-Ibáñez, David; Ongena, Steven - 2011
We investigate the effect of securitization activity on banks’ lending standards using evidence from pricing behavior … aggressive on their loan pricing practices. This suggests that securitization activity lead to laxer credit standards …. Macroeconomic factors also play a large role explaining the impact of securitization activity on bank lending standards: banks more …
Persistent link: https://www.econbiz.de/10011605408
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Securitization and credit quality
Kara, Alper; Marqués-Ibáñez, David; Ongena, Steven - 2017
securitization activity on loans’ relative credit quality employing a uniquely detailed dataset from the euro-denominated syndicated … securitization, however, the credit quality of borrowers whose loans are securitized deteriorates by more than those in the control … detailed loan-by-loan information on loan credit quality would be useful to reap out the benefits of securitization. …
Persistent link: https://www.econbiz.de/10011606054
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Bank Risk-Taking, Securitization, Supervision and Low Interest Rates : Evidence from the Euro Area and the U.S. Lending Standards
Maddaloni, Angela - 2010
securitization activity, weak supervision for bank capital and too low for too long monetary policy rates. Conversely, low long …
Persistent link: https://www.econbiz.de/10013138019