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Sovereign risk and the pricing of corporate credit default swaps

Haerri, Matthias; Morkoetter, Stefan; Westerfeld, Simone - 2014

Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of … corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find that this impact …

Persistent link: https://www.econbiz.de/10011343850

Investment Commonality across Insurance Companies : Fire Sale Risk and Corporate Yield Spreads

Nanda, Vikram K. - 2018

Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire-sale risk when regulatory restrictions prompt widespread divestment of a bond following a rating downgrade. Reflective of...

Persistent link: https://www.econbiz.de/10012936328

Uncovering the Impact of Regulatory Uncertainty on Credit Spreads : A Study of the U.S. Covered Bond Experience

Bhanot, Karan - 2017

We examine how regulatory uncertainty impacts the credit spreads of covered bonds issued by U.S. domiciled banks. Using data on covered bonds issued by Washington Mutual and Bank of America, for the September 2006 to December 2016 period, we find that investors require an incremental spread that...

Persistent link: https://www.econbiz.de/10012972335

Risk retention in the European securitization market : skimmed by the skin-in-the-game methods?

Breemen, Vivian van; Schwarz, Claudia; Vink, Dennis - 2023

We empirically investigated the impact of regulatory risk retention methods on credit ratings and pricing at issuance … using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the … investigated the impact of these methods on the pricing of securitization tranches and found that investors adjust the risk premium …

Persistent link: https://www.econbiz.de/10014362634

Faith-Based Financial Regulation : A Primer on Oversight of Credit Rating Organizations

Fitzpatrick, Thomas James; Sagers, Chris - 2011

During the past forty years, the simultaneous, symbiotic growth of financial innovation, disintermediation and deregulation has created an environment with extremely complex, opaque investment instruments. That system has now collapsed. At the very center of the crisis are a small group of...

Persistent link: https://www.econbiz.de/10014209183

Investment commonality across insurance companies : fire sale risk and corporate yield spreads

Nanda, Vikram; Wu, Wei; Zhou, Xing - 2017

Persistent link: https://www.econbiz.de/10011710064

Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?

Manganelli, Simone; Wolswijk, Guido - 2007

This paper studies the determinants of interest rate spreads of euro area 10 year government bonds against the benchmark, the German bund, after the introduction of the euro. In particular, it pays attention to the question whether market discipline is advanced or obstructed by financial...

Persistent link: https://www.econbiz.de/10011604791

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10011605211

A measure of Turkey's sovereign and banking sector credit risk: Asset swap spreads

Küçüksaraç, Doruk; Kazdal, Abdullah; İbrahim … - In: Central Bank Review (CBR) 21 (2021) 2, pp. 49-57

The existence of the credit derivatives written on the eurobonds such as credit default swaps or asset swaps allows policymakers and investors to monitor the evolvement of credit risk. However, these instruments are mostly available in advanced economies, whereas the market for credit...

Persistent link: https://www.econbiz.de/10014547715

Hot off the press: News-implied sovereign default risk

Dim, Chukwuma; Koerner, Kevin; Wolski, Marcin; Zwart, Sanne - 2022

We develop a sovereign default risk index using natural language processing techniques and 10 million news articles covering over 100 countries. The index is a highfrequency measure of countries' default risk, particularly for those lacking marketbased measures: it correlates with sovereign CDS...

Persistent link: https://www.econbiz.de/10013197974

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