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Are All Credit Default Swap Databases Equal?
Mayordomo, Sergio - 2016
sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan, using the most liquid … single name 5-year CDS of the components of the leading market indexes, iTraxx (European firms) and CDX (US firms) for the …
Persistent link: https://www.econbiz.de/10013008753
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When is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads
Bai, Jennie - 2014
strong property rights protection. Using a novel credit default swaps (CDS) dataset covering both government and corporate … influence on corporate credit risks. All else equal, a 100 basis points increase in the sovereign CDS spread leads to an … increase in corporate CDS spreads by 71 basis points. (2) The sovereign-corporate relation varies across corporations, with …
Persistent link: https://www.econbiz.de/10013054883
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Credit Default Swaps and the Empty Creditor Problem
Bolton, Patrick - 2010
swaps (CDS). We show that CDS, and the empty creditors they give rise to, have important ex-ante commitment benefits: By …
Persistent link: https://www.econbiz.de/10013143186
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How the Subprime Crisis Went Global : Evidence from Bank Credit Default Swap Spreads
Eichengreen, Barry - 2010
banks' credit default swap spreads. We find that fortunes of international banks rise and fall together even in normal times …
Persistent link: https://www.econbiz.de/10012757524
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Unnatural Selection : Perverse Incentives and the Misallocation of Credit in Japan
Peek, Joe - 2003
This study examines the misallocation of credit in Japan associated with the perverse incentives of banks to provide additional credit to the weakest firms. Firms are far more likely to receive additional credit if they are in poor financial condition, and these firms continue to perform poorly...
Persistent link: https://www.econbiz.de/10012786620
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The Panic of 2007
Gorton, Gary B. - 2010
How did problems with subprime mortgages result in a systemic crisis, a panic? The ongoing Panic of 2007 is due to a loss of information about the location and size of risks of loss due to default on a number of interlinked securities, special purpose vehicles, and derivatives, all related to...
Persistent link: https://www.econbiz.de/10012758346
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Market Evaluations of Banking Fragility in Japan : Japan Premium, Stock Prices, and Credit Derivatives
Ito, Takatoshi - 2010
indicators were high both in the first period and in the second period; Credit default swap (CDS) premium explains Japan premium … with a significant, positive coefficient. The higher the CDS is, lower go the stock prices. Before the capital injection of …
Persistent link: https://www.econbiz.de/10012762833
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Bank Quality, Judicial Efficiency and Borrower Runs : Loan Repayment Delays in Italy
Schiantarelli, Fabio - 2016
Exposure to liquidity risk makes banks vulnerable to runs from both depositors and from wholesale, short-term investors. This paper shows empirically that banks are also vulnerable to run-like behavior from borrowers who delay their loan repayments (default). Firms in Italy defaulted more...
Persistent link: https://www.econbiz.de/10012997894
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A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk
Acharya, Viral V. - 2011
-way feedback between financial and sovereign credit risk using data on the credit default swaps (CDS) of the Eurozone countries for … widening of sovereign CDS spreads and narrowing of bank CDS spreads; however, post-bailouts there emerged a significant co …-movement between bank CDS and sovereign CDS, even after controlling for banks' equity performance, the latter being consistent with an …
Persistent link: https://www.econbiz.de/10013123694
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Credit Default Swaps and the Credit Crisis
Stulz, René M. - 2010
Many observers have argued that credit default swaps contributed significantly to the credit crisis. Of particular concern to these observers are that credit default swaps trade in the largely unregulated over-the-counter market as bilateral contracts involving counterparty risk and that they...
Persistent link: https://www.econbiz.de/10013150831