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Risk sharing through financial markets with endogenous enforcement of trades
Köppl, Thorsten V. - 2004
When people share risk in financial markets, intermediaries provide costly enforcement for most trades and, hence, are an integral part of financial marketsu0092 organization. We assess the degree of risk sharing that can be achieved through financial markets when enforcement is based on the...
Persistent link: https://www.econbiz.de/10009636542
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The systemic dimension of hedge fund illiquidity and prime brokerage
Hespeler, Frank - 2014
We analyse the potentially vulnerable and systemically relevant financial intermediation chain established by hedge … funds and prime brokers. Our dataset covers the 306 largest global hedge funds and their prime brokers over the period July … 2001 to December 2011. The study illustrates that hedge funds and prime brokers act as complementary trading partners in …
Persistent link: https://www.econbiz.de/10010368103
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Advice to ESMA : Response to ESMA’s Consultation Paper on Draft Regulatory Technical Standards on major shareholdings and indicative list of financial instruments subject to notifi...
European Securities and Markets Authority; Securities … - 2014
Persistent link: https://www.econbiz.de/10010368100
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Technical advice in accordance with Article 39(b) 2 of the CRA Regulation regarding the appropriateness of the development of a European creditworthiness assessment for sovereign d...
European Securities and Markets Authority - 2014
Article 39b(2) of the CRA Regulation states that the European Commission shall adopt a report by end 2014 – after receiving ESMA’s technical advice – on the appropriateness of the development of a European creditworthiness assessment for sovereign debt.In its request for advice, the...
Persistent link: https://www.econbiz.de/10010392282
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Credit Rating Agencies’ 2014 market share calculations for the purposes of Article 8d of the CRA Regulation
European Securities and Markets Authority - 2014
One of the objectives of the CRA Regulation is to increase competition in the markets for credit ratings by encouraging issuers to use smaller credit rating agencies. To this end, Article 8d(1) of the CRA Regulation states that where issuers or related third parties intend to appoint at least...
Persistent link: https://www.econbiz.de/10010480783
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Interpreting implied risk-neutral densities
Hördahl, Peter; Vestin, David - 2003
premia in bond prices. Moreover, the estimated premia vary over time in a quantitatively significant way, which implies that …
Persistent link: https://www.econbiz.de/10009635905
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Deposit insurance, moral hazard and market monitoring
Gropp, Reint; Vesala, Jukka - 2004
The paper analyses the relationship between deposit insurance, debt-holder monitoring, and risk taking. In a stylised banking model we show that deposit insurance may reduce moral hazard, if deposit insurance credibly leaves out non-deposit creditors. Testing the model using EU bank level data...
Persistent link: https://www.econbiz.de/10009636525
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The high-yield segment of the corporate bond market
Bondt, Gabe de; Marqués, David - 2004
This study empirically examines the development of the high-yield segment of the corporate bond market in the United … found to be higher in Europe than in the United States as also macroeconomic factors are considered. The high-yield bond … on speculative-grade and BBB-rated investment-grade bonds. These findings suggest that the diffusion of new financial …
Persistent link: https://www.econbiz.de/10009636536
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Zero lower bound
Coenen, Günter - 2003
This paper presents the results of a quantitative study of the implications of the zero lower bound on nominal interest rates which was undertaken in the context of the review of the ECBu0092s monetary policy strategy in Spring 2003. Focusing on the euro area, the paper provides an assessment of...
Persistent link: https://www.econbiz.de/10009635906