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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 - 2012
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/10012460062
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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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Rollover Risk and Market Freezes
Acharya, Viral V. - 2010
event of default, the creditors can seize the collateral. We assume that there is a small cost of liquidating the assets …. The debt capacity of the assets (the maximum amount that can be borrowed using the assets as collateral) depends on the …
Persistent link: https://www.econbiz.de/10012462978
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Credit Default Swaps and the Empty Creditor Problem
Bolton, Patrick - 2010
Commentators have raised concerns about the empty creditor problem that arises when a debtholder has obtained insurance against default but otherwise retains control rights in and outside bankruptcy. We analyze this problem from an ex-ante and ex-post perspective in a formal model of debt with...
Persistent link: https://www.econbiz.de/10012462654
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Are all Credit Default Swap Databases Equal?
Mayordomo, Sergio - 2010
sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan, using the most liquid …
Persistent link: https://www.econbiz.de/10012462067
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AIG in Hindsight
McDonald, Robert L. - 2015
The near-failure on September 16, 2008, of American International Group (AIG) was an iconic moment in the financial crisis. Two large bets on real estate made with funding that was vulnerable to bank-run like behavior on the part of funders pushed AIG to the brink of bankruptcy. AIG used...
Persistent link: https://www.econbiz.de/10012457558
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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/10012480970
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Central Clearing and Collateral Demand
Duffie, Darrell - 2014
We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral … 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 …
Persistent link: https://www.econbiz.de/10012458774
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Prepayment Risk and Expected MBS Returns
Diep, Peter - 2016
We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate security risk loadings using real data on prepayment...
Persistent link: https://www.econbiz.de/10012455829
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Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
Chernov, Mikhail - 2016
We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied prepayment function from the cross section of market prices. From the implied prepayment function, we find that prepayment rates are driven not only by interest rates, but also by two...
Persistent link: https://www.econbiz.de/10012456578