Showing 41 - 50 of 108
Central clearing counterparties (CCPs) were established to mitigate default losses resulting from counterparty risk in derivatives markets. In a parsimonious model, we show that clearing benefits are distributed unevenly across market participants. Loss sharing rules determine who wins or loses...
Persistent link: https://www.econbiz.de/10014482946
How does bank capital regulation affect the design of credit derivative contracts? How does the opacity of the OTC credit derivative markets affect these contracts? In this paper we address these issues and characterize the optimal security design in several settings. We show that both the level...
Persistent link: https://www.econbiz.de/10014054048
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a detailed, quote-level dataset of the largest interdealer...
Persistent link: https://www.econbiz.de/10010503289
We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity and identification of the model, and analyze consistency and asymptotic...
Persistent link: https://www.econbiz.de/10011892696
Persistent link: https://www.econbiz.de/10011629466
Even if the importance of micro data transparency is a well-established fact, European institutions are still lacking behind the US when it comes to the provision of financial market data to academics. In this Policy Letter we discuss five different types of micro data that are crucial for...
Persistent link: https://www.econbiz.de/10011789526
Persistent link: https://www.econbiz.de/10012244841
Persistent link: https://www.econbiz.de/10012225157
Persistent link: https://www.econbiz.de/10012225161
We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its use for government communication affects the aggregate stock markets. To measure this effect, we concentrate on one of the most prominent Twitter users, the 45th President of...
Persistent link: https://www.econbiz.de/10012508898