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Risk sharing through financial markets with endogenous enforcement of trades

Köppl, Thorsten V. (contributor) - 2004

Persistent link: https://www.econbiz.de/10002124902

Capturing the financial cycle in Europe

Stremmel, Hanno - 2015

Persistent link: https://www.econbiz.de/10011288646

Assessing the compensation for volatility risk implicit in interest rate derivatives

Fornari, Fabio (contributor) - 2008

Volatilities implied from interest rate swaptions are used to assess the size and the sign of the compensation for volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of the volatility risk premium rests on a simple model...

Persistent link: https://www.econbiz.de/10003636292

How and when do markets tip? : lessons from the Battle of the Bund

Cantillon, Estelle (contributor); Yin, Pai-Ling (contributor) - 2007

In a famous episode of financial history which lasted over eight years, the market for the future on the Bund moved entirely from LIFFE, a London-based derivatives exchange, to DTB, a Frankfurt-based exchange. This paper studies the determinants of the observed dynamics, using a novel panel...

Persistent link: https://www.econbiz.de/10003484120

Risk-sharing or risk-taking? : counterparty risk, incentives and margins

Biais, Bruno; Heider, Florian; Hoerova, Marie - 2012

Persistent link: https://www.econbiz.de/10009765248

How has CDO market pricing changed during the turmoil? : evidence from CDS index tranches

Scheicher, Martin (contributor) - 2008

This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...

Persistent link: https://www.econbiz.de/10003782657

Interdependencies in the euro area derivatives clearing network : a multi-layer network approach

Rosati, Simonetta; Vacirca, Francesco - 2019

The global nature of derivatives markets, and the presence of large key financial institutions trading in several markets across the globe, call for taking a "macro" view on the interconnections arising in the clearing network. Based on the analysis of derivatives transactions data reported...

Persistent link: https://www.econbiz.de/10012135903

Tail co-movement in inflation expectations as an indicator of anchoring

Natoli, Filippo; Sigalotti, Laura - Task Force on Low Inflation (LIFT) - 2017

We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a focus on the time span from 2014 onwards when long-term beliefs have substantially drifted away from the policy target. Using a new estimation technique, we look at tail...

Persistent link: https://www.econbiz.de/10011636306

The anatomy of the euro area interest rate swap market

Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019

Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...

Persistent link: https://www.econbiz.de/10011975602

Uncovering the network structure of non-centrally cleared derivative markets : evidences from regulatory data

Zema, Sebastiano Michele - 2022

The network structure of non-centrally cleared derivative markets, uncovered via the European Market Infrastructure … derivative network is found to be ultrasmall and a filtering tool is proposed to identify channels in the network characterized … no break of confidentiality, making possible to simulate in a realistic way the liquidity dynamic in global derivative …

Persistent link: https://www.econbiz.de/10013367590

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