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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

Which households use banks? : evidence from the transition economies

Beck, Thorsten; Browning, Martin James - 2011

This paper uses survey data for 29,000 households from 29 transition economies to explore how the use of banking services is related to household characteristics, bank ownership structure and the development of the financial infrastructure. At the household level we find that the holding of a...

Persistent link: https://www.econbiz.de/10008901459

Interbank lending, credit risk premia and collateral

Heider, Florian; Hoerova, Marie - 2009

secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral may amplify the … crisis ; Interbank market ; Liquidity ; Credit risk ; Collateral …

Persistent link: https://www.econbiz.de/10003963805

Collateral damage? : micro-simulation of transaction cost shocks on the value of central bank collateral

Lennkh, Rudolf Alvise; Walch, Florian - 2015

Persistent link: https://www.econbiz.de/10011288721

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

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

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

A model of borrower reputation as intangible collateral

Nikolov, Kalin - 2012

Persistent link: https://www.econbiz.de/10009765949

Central clearing and collateral demand

Duffie, Darrell; Scheicher, Martin; Vuillemey, Guillaume - 2014

Persistent link: https://www.econbiz.de/10010380081

Liquidation value and loan pricing

Barbiero, Francesca; Schepens, Glenn; Sigaux, Jean-David - 2022

We show that the liquidation value of collateral depends on who is pledging it. We employ transaction-level data on … collateral that they pledge. The premium in corporate loan markets amounts to 25 basis points. Our results imply that liquidation … value contains a component at the borrower-collateral level, and that lenders monitor and price-in the interdependency …

Persistent link: https://www.econbiz.de/10012818794

Central bank collateral, asset fire sales, regulation and liquidity

Bindseil, Ulrich - 2013

Persistent link: https://www.econbiz.de/10010210569

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