We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity markets data. We thus provide an international analysis of...

I explain the key failure mechanics of large dealer banks, and some policy implications. This is not a review of the financial crisis of 2007–2009. Systemic risk is considered only in passing. Both the financial crisis and the systemic...

This paper examines why unsolicited ratings tend to be lower than solicited ratings. Bothself-selection among issuers and strategic conservatism of rating agencies may be reasonableexplanations. Analyses of default incidences of non-U.S. borrowers between January 1996and December 2006 show that...

We empirically analyse the appropriateness of indexing emerging market sovereign debt to USreal interest rates. We find that policy-induced exogenous increases in US rates raise default riskin emerging market economies, as hypothesised in the theoretical literature. However, we also findevidence...

Credit default swaps (CDSs) are among the most successful financial innovationsof recent years, which is reflected in the rapidly expanding market. CDS trading occurs inthe over-the-counter market, which relies heavily on broker intermediation to arrangetrades. We provide empirical evidence that...

In this paper, we investigate the German stock market with regard to negative stubvalues or parent company puzzles. These are situations where a firms marketvalue is less than the value of its ownership stake in a publicly traded subsidiary.According to MITCHELL/PULVINO/STAFFORD (2002), negative...

While virtually all currency crisismodels recognise that the fate of a currency peg depends onhow tenaciously policy makers defend it, they seldom model how this is done. We incorporatethemechanics of speculation and the interest rate defence against it in the model ofMorrisand Shin (American...

Der Credit Spread von Unternehmensanleihen lässt sich in Prämien für Kredit-,Spread- und Liquiditätsrisiken zerlegen. Als risikofreier Referenzzinssatz wird dabeiin der wissenschaftlichen Literatur üblicherweise die Rendite von Staatsanleihenverwendet. Der vorliegende Beitrag untersucht,...

Structural models for pricing risky debt imply a negative relationship betweeninterest rates and credit spreads. In contrast, credit default swap pricing modelsassume independence between credit risk and the term structure of interest rates.So far, empirical studies have focused on first...

This study examines the lead-lag-relationship between European equity and CDSmarkets in the context of the financial crisis. Previous research identified the stock market tolead the CDS market in an ordinary economic environment. Against the background of ourstudy this lead-lag-relationship...