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German Bond Yields and Debt Supply : Is There a 'Bund Premium'?

Paret, Anne-Charlotte - 2019

, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

Persistent link: https://www.econbiz.de/10012858387

Measuring Off-Balance-Sheet Leverage

Breuer, Peter - 2021

-balance-sheet activities. This paper provides measures of leverage implicit in derivative contracts by decomposing the contracts into cash …

Persistent link: https://www.econbiz.de/10013212029

Changes in the Global Investor Base and the Stability of Portfolio Flows to Emerging Markets

Brandao-Marques, Luis - 2016

An analysis of mutual-fund-level flow data into EM bond and equity markets confirms that different types of funds … behave differently. Bond funds are more sensitive to global factors and engage more in return chasing than equity funds …

Persistent link: https://www.econbiz.de/10012996081

Green Bond Pricing and Greenwashing Under Asymmetric Information

Schmittmann, Jochen; Gao, Yun - 2023

We analyze the corporate green bond market under a rational framework without an innate green preference, using a …, false or exaggerated claims of being green. The extent of greenwashing in the market is a function of the green bond premium …. A swift and gradual implementation of carbon pricing generates a small green bond premium and a low level of …

Persistent link: https://www.econbiz.de/10014258404

Default Premium

Catão, Luis - 2015

We re-assess the view that sovereigns with a history of default are charged only a small and/or short-lived premium on the interest rate warranted by observed fundamentals. Our reassessment uses a metric of such a “default premium” (DP) that is consistent with asymmetric information models...

Persistent link: https://www.econbiz.de/10013016580

Assessing Default Risks for Chinese Firms : A Lost Cause?

Law, Daniel - 2015

Assessing default risks for Chinese firms is hard. Standard measures of risk using market indicators may be unreliable because of implicit guarantees, the large role played by less-informed investors, and other market imperfections. We test this assertion by estimating stand-alone 1-year default...

Persistent link: https://www.econbiz.de/10013019012

How Important is Sovereign Risk in Determining Corporate Default Premia? : The Case of South Africa

Peter, Marcel - 2006

The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield spreads). It also investigates the extent to which the practice by rating agencies and banks of not rating companies higher than their sovereign (quot;country or sovereign...

Persistent link: https://www.econbiz.de/10012780705

Can Contingent Convertibles Help Private Asset Managers Fund Their Acquisition of Non-Performing Loans from Portuguese Banks?

Santos, Andre Oliveira - 2019

This paper analyzes the capital structure of private asset managers in which theacquisition of nonperforming loans (NPLs) is funded with Contingent Convertibles(CoCos) placed with investors. The paper develops a model based on NPL transferprices and residual recovery rates to assess capital...

Persistent link: https://www.econbiz.de/10012868458

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Severo, Tiago - 2012

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank...

Persistent link: https://www.econbiz.de/10013102465

Sovereign Risk and Asset and Liability Management-Conceptual Issues

Das, Udaibir - 2012

Country practices towards managing financial risks on a sovereign balance sheet continue to evolve. Each crisis period, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper discusses some salient features embedded in in the...

Persistent link: https://www.econbiz.de/10013098567

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