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Central Clearing and Collateral Demand
Duffie, Darrell - 2014
demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing …-specialized types, and client clearing. Among other results, we show that system-wide collateral demand is increased significantly by …
Persistent link: https://www.econbiz.de/10013059087
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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
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
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Money Markets, Collateral and Monetary Policy
De Fiore, Fiorella - 2018
unsecured lending and substantial increases in haircuts on posted collateral. This paper seeks to understand the implications of …
Persistent link: https://www.econbiz.de/10012907124
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Repo and Securities Lending
Adrian, Tobias - 2012
: principal amount, interest rate, collateral type, haircut, tenor, and counterparty …
Persistent link: https://www.econbiz.de/10013097773
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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
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The Uneasy Case for the Priority of Secured Claims in Bankruptcy : Further Thoughts and a Reply to Critics
Bebchuk, Lucian A.; Fried, Jesse M. - 2021
In an earlier article, The Uneasy Case for the Priority of Secured Claims in Bankruptcy,' 105 Yale Law Journal 857 (1996), we suggested that the case for a full priority of secured claims in bankruptcy is an uneasy one. In this paper, we address various reactions and objections to our analysis...
Persistent link: https://www.econbiz.de/10013242902
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Markets and Housing Finance
Warnock, Veronica Cacdac - 2015
, we find that countries with stronger legal rights for borrowers and lenders (through collateral and bankruptcy laws …
Persistent link: https://www.econbiz.de/10012750378
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A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk
Acharya, Viral V. - 2011
We show that financial sector bailouts and sovereign credit risk are intimately linked. A bailout benefits the economy by ameliorating the under-investment problem of the financial sector. However, increasing taxation of the non-financial sector to fund the bailout may be inefficient since it...
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
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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