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Trading the bond-CDS basis : the role of credit risk and liquidity
Gehde-Trapp, Monika - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...
Persistent link: https://www.econbiz.de/10003919401
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Credit contagion between financial systems
Podlich, Natalia; Wedow, Michael - 2011
We examine contagion from a number of financial systems to the German financial system using the information content of CDS prices in a GARCH model. After controlling for common factors which may cause comovement in security prices, we find evidence for contagion from the US and European...
Persistent link: https://www.econbiz.de/10009529228
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Collateralized Debt Obligations: Bewertung, Portfoliosteuerung, Aufsichtsrecht
Tilke, Stephan - 2008
Persistent link: https://www.econbiz.de/10003679381
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CEO Compensation and Credit Default Swaps : Evidence from the U.S. And Germany
Chiu, Hsin-Hui - 2017
Executive compensation is designed to create incentives for CEOs to act in the best interest of shareholders. Short-term (bonus) and equity-based incentives induce risk taking behaviors of the CEO that could further change a firm's risk exposure. This article examines the linkage between...
Persistent link: https://www.econbiz.de/10012974940
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Credit Spreads : An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS
Forte, Santiago - 2012
This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads. A general VECM representation is proposed for changes in the three credit spread measures which accounts for zero, one, or two independent cointegration equations, depending...
Persistent link: https://www.econbiz.de/10012755686
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Problematische Firmenkundenkredite : Krise, Sanierung, Insolvenz
Bachmann, Michael (contributor); Bales, Klaus (contributor) - 2010 - 3. Aufl. mit FCH-Garantie, überarb. und erg.
Persistent link: https://www.econbiz.de/10008664722
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Verwertungserlöse von Kreditsicherheiten : eine empirische Analyse notleidender Unternehmenskredite
Grunert, Jens - In: Journal of business economics : JBE 80 (2010) 12, pp. 1305-1323
Persistent link: https://www.econbiz.de/10008772737
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Problematische Firmenkundenkredite : Krise - Sanierung - Insolvenz
Ahlers, Horst; Ambrozic, Igor; Cranshaw, Friedrich L.; … - 2016 - 5. Auflage
Persistent link: https://www.econbiz.de/10011474502
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Problematische Firmenkundenkredite : Krise, Sanierung, Insolvenz
Clemens, Markus; Cranshaw, Friedrich L.; Flitsch, Michael; … - 2012 - 4. Aufl., mit FCH-Garantie: überarb. und erg.
Persistent link: https://www.econbiz.de/10014275678
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The recovery rate for retail and commercial customers in Germany : a look at collateral and its adjusted market values
Ingermann, Peter-Hendrik; Hesse, Frederik; Bélorgey, … - In: Business research 9 (2016) 2, pp. 179-228
, whose original loans were made by 123 different banks, our article confirms a significant positive influence of collateral …)]. In a further analysis of collateral, systematic biases between the realized market price and the expected market values … haircuts to collateral values and show the superior performance of our proposed approach. …
Persistent link: https://www.econbiz.de/10011817722