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Central bank cooperation during the great recession

Papadia, Francesco - 2013

amounts, in foreign currency and to foreign banks. Central bank cooperation took the form of a swap network, and amounted to …, the swap network should not be made permanent and given an institutional basis to provide international lending of last … International Economics, concludes in favour of making the swap network permanent, while William Dudley, President of the Federal …

Persistent link: https://www.econbiz.de/10010464518

Central bank dollar swap lines and overseas dollar funding costs

Goldberg, Linda S.; Kennedy, Craig; Miu, Jason - 2010

banks. These central banks had the capacity to use these swap facilities to provide dollar liquidity to institutions in … their jurisdictions. This paper presents the developments in the dollar swap facilities through the end of 2009. The … research, as well as more descriptive accounts, suggests that the dollar swap lines among central banks were effective at …

Persistent link: https://www.econbiz.de/10010283558

Lessons from international central counterparties: Benchmarking and analysis

Lazarow, Alexandre - 2011

Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a variety of financial markets, ranging from repurchase agreements and options to swaps. However, internationally accepted standards and the academic literature have left...

Persistent link: https://www.econbiz.de/10010289684

Credit risk connectivity in the financial industry and stabilization effects of government bailouts

Bosma, Jakob; Koetter, Michael; Wedow, Michael - 2012

joint extreme movements in credit default swap (CDS) spreads. First, we estimate pairwise co-crash probabilities (CCP) to …

Persistent link: https://www.econbiz.de/10010309616

Default probability estimation in small samples: With an application to sovereign bonds

Orth, Walter - 2011

In small samples and especially in the case of small true default probabilities, standard approaches to credit default probability estimation have certain drawbacks. Most importantly, standard estimators tend to underestimate the true default probability which is of course an undesirable...

Persistent link: https://www.econbiz.de/10010311006

Avoiding the rating bounce: Why rating agencies are slow to react to new information

Löffler, Gunter - 2002

Rating agencies state that they take a rating action only when it is unlikely to be reversed shortly afterwards. Based on a formal representation of the rating process, I show that such a policy provides a good explanation for the empirical evidence: Rating changes occur relatively seldom,...

Persistent link: https://www.econbiz.de/10010316237

Common factors in credit defaults swaps markets

Chen, Yi-hsuan; Härdle, Wolfgang Karl - 2012

factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads …

Persistent link: https://www.econbiz.de/10010318764

Do banks manage their flood risk exposures? Evidence from the Danish credit register

Pöschl, Johannes - 2022

Some regional banks are highly exposed to flood risk. Yet, there is little evidence that banks manage these exposures. The lack of flood risk management in these banks could worsen the adverse local economic impact of a flood. Therefore, banks should incorporate flood risk in their risk management.

Persistent link: https://www.econbiz.de/10014551607

Determinants of Short-Term Debt

Lusinyan, Lusine; Buch, Claudia M. - 2000

One key focus of the on-going debate on the integration of international financial markets have been measures to lengthen the maturity of foreign debt. Short-term debt is typically considered to be volatile and thus a potential trigger of currency crises. In contrast to the vivid policy debate...

Persistent link: https://www.econbiz.de/10010260432

Income Volatility and Residential Mortgage Delinquency : Evidence from 12 EU Countries

Diaz-Serrano, Luis - 2004

We investigate the socio-economic determinants of mortgage delinquency in 12 EU countries and observe that income volatility significantly increases the mortgage delinquency risk. This pattern even holds for borrowers with higher-income profiles if volatility in income is high enough. From this...

Persistent link: https://www.econbiz.de/10010262138