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Sovereign credit risk, liquidity, and ECB intervention : deus ex machina?

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015 - First draft: September 2013, This draft: March 2015

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

Persistent link: https://www.econbiz.de/10010503289

Equity Option Implied Probability of Default and Equity Recovery Rate

Chang, Bo Young - 2019

There is a close link between prices of equity options and the probability of default of a firm. We show that in the presence of positive expected equity recovery, the standard methods that assume zero equity recovery at default misestimate the probability of default implicit in option prices....

Persistent link: https://www.econbiz.de/10012903784

Consolidation in Light of Solvency II – The Impact of Mergers and Acquisitions on Insurers’ Default Risk

Lange, Marc - 2019

As a result of Solvency II, academics and practitioners anticipate further consolidation in the insurance industry as the new regulatory framework rewards well-diversified insurers with lower capital requirements and challenges smaller insurers to meet the (operational) regulatory requirements....

Persistent link: https://www.econbiz.de/10012890549

Debt Rollover Risk, Credit Default Swap Spread and Stock Returns : Evidence from the COVID-19 Crisis

Liu, Ya - 2020

increases the default risk of firms facing an immediate liquidity shortfall. We find that the COVID-19 shock significantly …

Persistent link: https://www.econbiz.de/10012832300

CDS central counterparty clearing default measures : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2020

theoretical results with parameter magnitudes and sensitivities. Examination of three market liquidity scenarios provides … intuition for effective liquidity injection by a Lender of Last Resort …

Persistent link: https://www.econbiz.de/10012419635

CDS central counterparty clearing liquidation : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2017

well as, regulatory implications for a Lender of Last Resort in various liquidity scenarios …

Persistent link: https://www.econbiz.de/10011870658

Credit Ratings in Structured Finance and the Role of Systemic Risk

Violi, Roberto - 2011

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...

Persistent link: https://www.econbiz.de/10013128337

Credit Ratings in Structured Finance and the Role of Systemic Risk

Violi, Roberto - 2011

Persistent link: https://www.econbiz.de/10013131934

An Empirical Investigation of Emerging Markets : What Does the Dynamics of Credit Risk Tell Us?

Carboni, Andrea - 2011

This paper looks into credit risk markets for Emerging economies. It analyzes the relation between credit default swap (CDS) and bond spreads in the post Lehman Brothers period by focusing on both short and long run relations. Equity and cost of funding are also considered in the study. On the...

Persistent link: https://www.econbiz.de/10013118220

The Sovereign Credit Default Swap Market : Price Discovery, Volumes and Links with Banks' Risk Premia

Carboni, Alessandro - 2011

This paper looks into the sovereign credit default swap (CDS) market from two perspectives. First, it analyses the relation between CDS and bond spreads. The results on a single-entity basis suggest that the CDS market leads the bond market in price discovery, especially during 2010, while both...

Persistent link: https://www.econbiz.de/10013118358

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