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European Puts, Credit Protection, and Endogenous Default

Cruz Lopez, Jorge - 2020

In a default corridor [0,B] that the stock price can never enter, a deep out-of-the-money American put replicates a pure credit contract (Carr and Wu, 2011). Assuming discrete (one-period-ahead predictable) cash flows, we show an endogenous credit-risk model generates, along with the default...

Persistent link: https://www.econbiz.de/10012850843

Price and liquidity discovery in European sovereign bonds and futures

Jappelli, Ruggero; Lucke, Konrad; Pelizzon, Loriana - 2022

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek … the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery …

Persistent link: https://www.econbiz.de/10013194146

Credit risk analysis on Euro government bonds-term structures of default probabilities

Kariya, Takeaki; Yamamura, Yoshiro; Tanokura, Yoko; … - In: Asia-Pacific financial markets 22 (2015) 4, pp. 397-427

Persistent link: https://www.econbiz.de/10011524823

Modeling joint default in correlation-sensitive instruments

Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of credit risk : published quarterly by … 12 (2016) 3, pp. 15-42

Persistent link: https://www.econbiz.de/10011642666

Guarantees, transparency and the interdependency between sovereign and bank default risk

König, Philipp Johann; Anand, Kartik; Heinemann, Frank - In: Journal of banking & finance 45 (2014), pp. 321-337

Persistent link: https://www.econbiz.de/10010467894

Counterparty choice, maturity shifts and market freezes : lessons from the European interbank market

Saroyan, Susanna - In: Journal of economic dynamics & control 160 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014532482

An Anatomy of Credit Risk Transfer between Sovereign and Financials in the Eurozone Crisis

Banerjee, Anurag Narayan - 2016

In this paper we assess the effectiveness of large scale bailouts aiming at preventing a financial crisis from further propagating into a systemic risk. We examine the structural changes in the relationship between the sovereign and financial institutions' credit default swap spreads during the...

Persistent link: https://www.econbiz.de/10013002499

European Banks' Implied Recovery Rates

Heynderickx, Wouter - 2017

We examine recovery rates of the European banking sector. To this end, we employ information embedded in credit default swaps (CDS) with different levels of seniority. To estimate implied recovery rates, we extend the model of Schlafer and Uhrig-Homburg (2014) and include absolute priority...

Persistent link: https://www.econbiz.de/10012964138

Credit Risk Spillover between Financials and Sovereigns in the Euro Area During 2007-2015

Vergote, Olivier - 2016

This paper presents time-varying contagion indices of credit risk spillover and feedback between 64 financials and sovereigns in the euro area, where spillover is identified based on bilateral Granger causality regressions. Over-identification of contagion between financials' true credit risk...

Persistent link: https://www.econbiz.de/10012992428

Determinants of European Bank Credit Default Swap Spreads

Vogelheim, Jan - 2020

liquidity indicator and the return on assets are significant determinants. In addition to balance sheet ratios, the market … levels. With rising funding and liquidity risks or general risks to financial market stability, bank CDS spreads increase …

Persistent link: https://www.econbiz.de/10012832521

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