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A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk

Acharya, Viral V. - 2011

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 … effect of the quality of sovereign guarantees on bank credit risk …

Persistent link: https://www.econbiz.de/10013123694

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

Aig in Hindsight

McDonald, Robert L. - 2015

crisis. Two large bets on real estate made with funding that was vulnerable to bank-run like behavior on the part of funders …

Persistent link: https://www.econbiz.de/10013024150

When is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads

Bai, Jennie - 2014

When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason for why international investment in private companies has to take into account the sovereign risk. But the likelihood of a transfer from the sovereign risk to corporate...

Persistent link: https://www.econbiz.de/10013054883

How the Subprime Crisis Went Global : Evidence from Bank Credit Default Swap Spreads

Eichengreen, Barry - 2010

How did the Subprime Crisis, a problem in a small corner of U.S. financial markets, affect the entire global banking system? To shed light on this question we use principal components analysis to identify common factors in the movement of banks' credit default swap spreads. We find that fortunes...

Persistent link: https://www.econbiz.de/10012757524

Bank Sovereign Bond Holdings, Sovereign Shock Spillovers, and Moral Hazard During the European Crisis

Beltratti, Andrea - 2015

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …

Persistent link: https://www.econbiz.de/10013022926

The Market for OTC Derivatives

Atkeson, Andrew - 2013

We develop a model of equilibrium entry, trade, and price formation in over-the- counter (OTC) markets. Banks trade derivatives to share an aggregate risk subject to two trading frictions: they must pay a fixed entry cost, and they must limit the size of the positions taken by their traders...

Persistent link: https://www.econbiz.de/10013084727

Coco Issuance and Bank Fragility

Avdjiev, Stefan - 2017

first comprehensive empirical analysis of bank CoCo issues, a market segment that comprises over 730 instruments totaling …

Persistent link: https://www.econbiz.de/10012943619

Quantifying Liquidity and Default Risks of Corporate Bonds Over the Business Cycle

Chen, Hui - 2018

We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect corporate bond pricing. By explicitly modeling debt rollover and by endogenizing the holding costs via collateralized financing, our model generates rich links between liquidity risk...

Persistent link: https://www.econbiz.de/10012937688

The Fed Takes on Corporate Credit Risk : An Analysis of the Efficacy of the Smccf

Gilchrist, Simon - 2020

We evaluate the efficacy of the Secondary Market Corporate Credit Facility (SMCCF), a program designed to stabilize the corporate bond market in the wake of the Covid-19 shock. The Fed announced the SMCCF on March 23 and expanded the program on April 9. Regression discontinuity estimates imply...

Persistent link: https://www.econbiz.de/10012823386

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