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Modelling short-term interest rate spreads in the euro money market
Cassola, Nuno; Morana, Claudio - 2008
In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...
Persistent link: https://www.econbiz.de/10011605028
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The Pricing of Subprime Mortgage Risk in Good Times and Bad : Evidence from the ABX.HE Indices
Fender, Ingo - 2013
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of indices, which have become a key barometer of mortgage market conditions during the recent financial crisis. After an introduction into ABX index mechanics and a discussion of...
Persistent link: https://www.econbiz.de/10013095930
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Risk Characteristics of Covered Bonds : Monitoring Beyond Ratings
Grothe, Magdalena - 2020
This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...
Persistent link: https://www.econbiz.de/10012836662
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Sovereign to corporate risk spillovers
Augustin, Patrick; Boustanifar, Hamid; Breckenfelder, … - 2016
Using the announcement of the first Greek bailout on April 11, 2010, we quantify significant spillover effects from sovereign to corporate credit risk in Europe. A ten percent increase in sovereign credit risk raises corporate credit risk on average by 1.1 percent after the bailout. These...
Persistent link: https://www.econbiz.de/10011605923
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An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads
Alexopoulou, Ioana - 2009
Applied to the European markets, this paper analyzes the price of credit risk on the Credit Default Swap (CDS) and … tendency for CDS markets to lead corporate bond markets in terms of price discovery. We find that the outbreak of the financial … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …
Persistent link: https://www.econbiz.de/10013156973
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Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis
Camba-Mendez, Gonzalo - 2014
use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as …
Persistent link: https://www.econbiz.de/10013052936
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Credit Spreads, Economic Activity and Fragmentation
De Santis, Roberto A. - 2016
Credit spreads may be jointly driven by developments that are orthogonal to the current state of the economy. We show that this unobserved systematic component is demanded to hedge against adverse economic fluctuations. Using either yield-to-maturity spreads or asset swap spreads for 2345...
Persistent link: https://www.econbiz.de/10012987466
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Pricing Sovereign Credit Risk of an Emerging Market
Camba-Mendez, Gonzalo - 2016
credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given … default (LGD) from the quotes of sovereign CDS contracts. We compare different specifications of the models allowing for both … PD values and the CDS spreads heavily depend on the maturity of the sovereign CDS …
Persistent link: https://www.econbiz.de/10012987488
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Pricing Sovereign Credit Risk of an Emerging Market
Camba-Mendez, Gonzalo - 2016
credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given … default (LGD) from the quotes of sovereign CDS contracts. We compare different specifications of the models allowing for both … PD values and the CDS spreads heavily depend on the maturity of the sovereign CDS …
Persistent link: https://www.econbiz.de/10012987870
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A VAR Analysis for the Uncovered Interest Parity and the Ex-Ante Purchasing Power Parity : The Role of Macroeconomic and Financial Information
Macchiarelli, Corrado - 2011
This study revisits the relation between the uncovered interest parity (UIP), the ex ante purchasing power parity (EXPPP) and the real interest parity (RIP) using a VAR approach for the US dollar, the British sterling and the Japanese yen interest rates, exchange rates and changes in prices. The...
Persistent link: https://www.econbiz.de/10013118030