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Risk and return in international corporate bond markets
Bekaert, Geert; De Santis, Roberto A. - 2020
Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …
Persistent link: https://www.econbiz.de/10012422114
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Liquidity (risk) concepts: definitions and interactions
Nikolaou, Kleopatra - 2009
We discuss the notion of liquidity and liquidity risk within the financial system. We distinguish between three … the root of liquidity risk lies in information asymmetries and the existence of incomplete markets. The role of central … risk. …
Persistent link: https://www.econbiz.de/10011605054
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Risk and Return in International Corporate Bond Markets
De Santis, Roberto A. - 2020
Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …
Persistent link: https://www.econbiz.de/10012825946
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The functional form of yield curves
Brousseau, Vincent - 2002
Yield curves built from liquid instruments tend to exhibit specific features, both in term of smoothness and in term of patterns. The paper presents empirical evidence that those liquid yiled curves frequently conform to a specific functional form. This specific functional form is predicted by a...
Persistent link: https://www.econbiz.de/10011604194
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A framework for collateral risk control determination
Cossin, Didier; Huang, Zhijiang; Auron-Nerin, Daniel; … - 2003
This paper derives a general framework for collateral risk control determination in repurchase transactions or repos …. The objective is to treat consistently heterogeneous collateral so that the collateral taker has a similar risk exposure … whatever the collateral pledged. The framework measures the level of risk with the probability of incurring a loss higher than …
Persistent link: https://www.econbiz.de/10011604255
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Volatility of interest rates in the euro area: evidence from high frequency data
Cassola, Nuno; Morana, Claudio - 2003
This paper estimate the factors underlying the volatility of the euro overnight interest rate and its transmission along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both long-memory and stationary cyclical dynamics. Using hourly...
Persistent link: https://www.econbiz.de/10011604281
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Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB
Vähämaa, Sami - 2004
This paper uses data on German government bond futures options to examine the behaviour of market expectations around monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market expectations, as measured by the skewness of...
Persistent link: https://www.econbiz.de/10011604361
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Risk sharing through financial markets with endogenous enforcement of trades
Koeppl, Thorsten Volker - 2004
When people share risk in financial markets, intermediaries provide costly enforcement for most trades and, hence, are … an integral part of financial markets’ organization. We assess the degree of risk sharing that can be achieved through … for optimal risk sharing as long as markets are complete, default is prevented in equilibrium and intermediaries provide …
Persistent link: https://www.econbiz.de/10011604365
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Raising rival's costs in the securities settlement industry
Holthausen, Cornelia; Tapking, Jens - 2004
The competition between a central securities depository (CSD) and a custodian bank is analysed in a Stackelberg model. The CSD sets its prices first, the custodian bank follows. There are many investor banks each of which has to decide whether to use the service of the CSD or of the custodian...
Persistent link: https://www.econbiz.de/10011604422
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Euro area sovereign yield dynamics: the role of order imbalance
Menkveld, Albert J.; Cheung, Yiu Chung; de Jong, Frank - 2004
We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the ten-year government bonds of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a...
Persistent link: https://www.econbiz.de/10011604431