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We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period....
Persistent link: https://www.econbiz.de/10010318764
In diesem Beitrag wird die Einsatzmöglichkeit eines Kreditderivats vom Typ einer Kreditoption für eine Bank untersucht. Das Management des Kreditrisikos erfährt in jüngerer Zeit besondere Aufmerksamkeit. Gestiegenen Kreditausfallrisiken begegnen Kreditinstitute mehr und mehr durch die...
Persistent link: https://www.econbiz.de/10010291701
factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …
Persistent link: https://www.econbiz.de/10011605131
-09 financial crisis is often attributed to corporate bond dealers shedding off their inventory, right when liquidity was scarce …, including proprietary trading desks in investment banks, provided liquidity in response to the large selling by clients …. Corporate bond inventory of dealers rose sharply as a result. Although providing liquidity, limits to arbitrage, possibly in the …
Persistent link: https://www.econbiz.de/10010333633
As the global banking crisis intensified in the fall of 2008, governments announced comprehensive rescue packages for financial institutions. In this paper, we put the joint response of euro area bank and sovereign CDS premia under the microscope. We find that the bank rescue packages led to a...
Persistent link: https://www.econbiz.de/10011605173
contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro … corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 …
Persistent link: https://www.econbiz.de/10010324943
This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default swaps (CDS). It picks up where Blanco et al (2005) leave off but is focused on European credit markets. The study is based on companies listed in the iTraxx CDS index and thus on...
Persistent link: https://www.econbiz.de/10010295927
We use transfer entropy to quantify information flows between financial markets and propose a suitable bootstrap procedure for statistical inference. Transfer entropy is a model-free measure designed as the Kullback-Leibler distance of transition probabilities. Our approach allows to determine,...
Persistent link: https://www.econbiz.de/10010318778
This paper examines market liquidity in the post-crisis era, in light of concerns that regulatory changes might have … considering plausible alternative drivers of market liquidity. Using both high- and low-frequency data on U.S. Treasury securities … and corporate bonds, we then investigate empirically whether liquidity has in fact deteriorated, and we review market …
Persistent link: https://www.econbiz.de/10011796439
In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from the single?risk case are shown to carry over to the...
Persistent link: https://www.econbiz.de/10010263007