Narrow search
Showing 1 - 10 of 1,157
Cover Image
Measuring the Liquidity Impact on Catastrophe Bond Spreads
Zhao, Yang; Yu, Min‐Teh - 2023
.58%, is attributed to other risk natures of CAT bonds. Lastly, the liquidity premium increases dramatically after occurrences …
Persistent link: https://www.econbiz.de/10014355932
Cover Image
Do Bond Investors Price Tail Risk Exposures of Financial Institutions?
Chava, Sudheer - 2020
We analyze whether bond investors price tail risk exposures of financial institutions using a comprehensive sample of bond issuances by U.S. financial institutions. Although primary bond yield spreads increase with an institutions' own tail risk (expected shortfall), systematic tail risk...
Persistent link: https://www.econbiz.de/10012856731
Cover Image
On the exposure of insurance companies to sovereign risk : portfolio investments and market forces
Düll, Robert; König, Felix; Ohls, Jana - 2015
A sovereign debt crisis can have significant knock-on effects in the financial markets and put financial stability at risk. This paper focuses on the transmission of sovereign risk to insurance companies as some of the largest institutional investors in the sovereign bond market. We use a firm...
Persistent link: https://www.econbiz.de/10011373080
Cover Image
The sovereign default problem in the Eurozone : an insurance-based approach
Arnold, Nadjeschda Katharina; Rees, Ray - 2015
applying insurance theory is useful. We model risk neutral agents choosing portfolios of government bonds of n countries in a …
Persistent link: https://www.econbiz.de/10010533082
Cover Image
How connected is the global sovereign credit risk network?
Bostancı, Gorkem; Yılmaz, Kamil - 2015
We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately estimate networks of daily SCDS returns and volatilities...
Persistent link: https://www.econbiz.de/10011326149
Cover Image
Investors’ Financial Health and Municipal Bond Liquidity Risk
Chen, Tao - 2019
the liquidity spread of municipal bonds, and this relationship was stronger during the Lehman crisis. Using Hurricane … Sandy as an exogenous shock to the financial health of insurers, we find that the municipal bonds held by insurers, who … further find that insurers affect the liquidity spreads of municipal bonds by affecting the pure liquidity cost and …
Persistent link: https://www.econbiz.de/10012867003
Cover Image
The Price of Safety : The Evolution of Municipal Bond Insurance Value
Cornaggia, Kimberly Rodgers - 2020
We examine the benefits of bond insurance to taxpayers using comprehensive data over three decades. We employ multiple modelling approaches to account for the selection into insurance parametrically and non-parametrically. Controlling for fundamentals and the choice to insure, insurers with Aaa...
Persistent link: https://www.econbiz.de/10012851131
Cover Image
Municipal Bond Liquidity Before and After the Financial Crisis
Marlowe, Justin - 2013
I examine how liquidity risk affects municipal bond pricing. Liquidity has become a central concern to municipal bond investors, issuers, and regulators since the recent collapse of the monoline municipal bond insurers. The results show that liquidity risk had a minimal effect on yield spreads...
Persistent link: https://www.econbiz.de/10013087941
Cover Image
Things fall apart : fixed income markets in the COVID-19 crisis
O'Hara, Maureen; Zhou, Xing - In: Annual review of financial economics 15 (2023), pp. 55-68
Persistent link: https://www.econbiz.de/10014425429
Cover Image
Stocks and bonds : flight-to-safety for ever?
Boucher, Christopher; Tokpavi, Sessi - In: Journal of international money and finance 95 (2019), pp. 27-43
Persistent link: https://www.econbiz.de/10012135189