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Assessing Credit Risk in Money Market Fund Portfolios
Collins, Sean; Gallagher, Emily - Volkswirtschaftliche Fakultät, … - 2014
estimate the credit default swap premium (CDS) needed to insure each fund’s portfolio against credit losses. We also calculate …
Persistent link: https://www.econbiz.de/10011108102
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CDS, bond spread and sovereign debt crisis in peripherial EU
Akdoğu, Serpil Kahraman - Volkswirtschaftliche Fakultät, … - 2012
faced considerable economic difficulties and the CDS has become the focal point of the current crisis. The euro sovereign … to adopting Euro. This paper aims to determine the relationship between credit default swap (CDS), bond spread and the … debt ratio of the countries. In this framework, the interaction between CDS and sovereign bond spreads are examined as a …
Persistent link: https://www.econbiz.de/10011260359
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Debt trap - monetary indicators of Hungary's indebtedness
Sági, Judit - Volkswirtschaftliche Fakultät, … - 2012
(NEERs), CDS spreads, market liquidity and debt exposures in foreign currencies. This study aims to examine the features of …
Persistent link: https://www.econbiz.de/10011110758
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All Things Considered: The Interaction of the Reasons for the Financial Crisis
Rioja, Abdala; E, Yamile - Volkswirtschaftliche Fakultät, … - 2011
The present paper reviews the causes that led to the financial crisis. Unlike other interpretations, this paper does not place main significance on a single source or on a set of causes. I consider all major standpoints highlighted by research and media prior, during and after the financial...
Persistent link: https://www.econbiz.de/10009294924
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Oil prices and emerging market exchange rates
Hacihasanoglu, Erk; Turhan, Ibrahim M.; Soytas, Ugur - Volkswirtschaftliche Fakultät, … - 2012
This paper investigates the role of oil prices in explaining the dynamics of selected emerging countries exchange rates. Using daily data series, the study concludes that a rise in oil price is leading to a significant appreciation in emerging economies currencies against the US dollar. In our...
Persistent link: https://www.econbiz.de/10009647439
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Sovereign risk and debt sustainability: warning levels for Romania
Zaman, Gheorghe; Georgescu, George - Volkswirtschaftliche Fakultät, … - 2011
Despite the governments took rescue and/or stimulus packages, signs of recovery occurring in 2009 and 2010, the global growth sustainability seems uncertain. Romania was hit hard by the crisis, suffering a severe contraction of the economy, estimated at 7.1 percent in 2009. The worsening of the...
Persistent link: https://www.econbiz.de/10009277873
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Asymmetric GARCH and the financial crisis: a preliminary study
Výrost, Tomáš; Baumöhl, Eduard - Volkswirtschaftliche Fakultät, … - 2009
The paper deals with estimation of both general GARCH as well as asymmetric EGARCH and TGARCH models, used to model the leverage effect of good news and bad news on market volatility. We estimate the models using daily returns of S&P 500 stock index and describe the news impact curves (NICs) for...
Persistent link: https://www.econbiz.de/10008784937
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Asymmetric GARCH and the financial crisis: a preliminary study
Výrost, Tomáš; Baumöhl, Eduard - Volkswirtschaftliche Fakultät, … - 2009
The paper deals with estimation of both general GARCH as well as asymmetric EGARCH and TGARCH models, used to model the leverage effect of good news and bad news on market volatility. We estimate the models using daily returns of S&P 500 stock index and describe the news impact curves (NICs) for...
Persistent link: https://www.econbiz.de/10008784950
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Analiza efectelor Zonei Unice de Plati in Euro in contextul crizei financiare internationale
Avadanei, Andreea - Volkswirtschaftliche Fakultät, … - 2010
The scope of this article is to underline the overall economic impact of Single Euro Payments Area adoption upon the major players in the payments industry. Our study is structured on chapters that present the implications of SEPA on the banking industry, the project’s consequences in respect...
Persistent link: https://www.econbiz.de/10009132731
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Sovereign risk contagion in the Eurozone: a time-varying coefficient approach
Ludwig, Alexander - Volkswirtschaftliche Fakultät, … - 2013
This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion proposed by Pesaran and Pick (2007) and Metiu (2012) to allow for time-varying coefficients. This becomes necessary due to changes in the risk pricing of sovereign bonds since the...
Persistent link: https://www.econbiz.de/10011107941