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Security Baskets and Index-Linked Securities
Gorton, Gary - 1991
Security baskets and index-lined securities are securities whose values are functions of the cash flows or values of other assets. Creation of these "composite" securities would seem to be redundant since investors can cost1ess1y replicate them. In this paper we study the existence and optimal...
Persistent link: https://www.econbiz.de/10012475296
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Credit Default Swaps and the Credit Crisis
Stulz, René M. - 2009
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/10012463266
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How Much Do Banks Use Credit Derivatives to Reduce Risk?
Minton, Bernadette A. - 2005
This paper examines the use of credit derivatives by US bank holding companies from 1999 to 2003 with assets in excess … of one billion dollars. Using the Federal Reserve Bank of Chicago Bank Holding Company Database, we find that in 2003 … represent on average two thirds of the assets of bank holding companies with assets in excess of $1 billion. Few banks are net …
Persistent link: https://www.econbiz.de/10012467099
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The Market for OTC Derivatives
Atkeson, Andrew G. - 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/10012459749
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A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives
Das, Sanjiv R. - 1998
to compute more complicated derivative securities …
Persistent link: https://www.econbiz.de/10012472175
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Market Evaluations of Banking Fragility in Japan : Japan Premium, Stock Prices, and Credit Derivatives
Ito, Takatoshi - 2003
credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually … 1999, the markets were more sensitive to bank vulnerability and higher premiums were required …
Persistent link: https://www.econbiz.de/10012469110
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Option-Based Credit Spreads
Culp, Christopher L. - 2014
We present a novel empirical benchmark for analyzing credit risk using "pseudo firms" that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on pseudo-firm assets. Empirically, like corporate spreads,...
Persistent link: https://www.econbiz.de/10012457890
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Financial Dampening
Wieland, Johannes F. - 2016
monetary policy. The theory unifies an endogenous supply of illiquid local loans and risk-sharing among subsidiaries of bank …
Persistent link: https://www.econbiz.de/10012456534
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Financial Innovations in International Financial Markets
Levich, Richard M. - 1987
The central theme of this paper is that financial innovation has become a major force effecting the United States and other developed economies. The common features of the process include product innovation, securitization, liberalization of domestic financial market practices, globalization of...
Persistent link: https://www.econbiz.de/10012476791
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Neglected Risks, Financial Innovation, and Financial Fragility
Gennaioli, Nicola - 2010
We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash...
Persistent link: https://www.econbiz.de/10012462586