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Credit Ratings and Credit Default Swaps During the European Sovereign Debt Crisis
Katyaayun, Utkarsh - 2017
We investigate the relationship between credit rating events and credit default swap spreads for EU countries around the Subprime and European Debt Crises. Using event studies and OLS regressions we analyse the behavior of CDS spreads before, around and after credit rating events. Our results...
Persistent link: https://www.econbiz.de/10012942537
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European Asset Swap Spreads and the Credit Crisis
Aussenegg, Wolfgang - 2013
We examine time-varying behavior and determinants of asset swap (ASW) spreads for 23 iBoxx European corporate bond indexes stratified by industry, credit rating and seniority. The results of a Markov switching model suggest that ASW spreads exhibit regime dependent behavior. The evidence is...
Persistent link: https://www.econbiz.de/10013082320
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Interrelations Among Cross-Currency Basis Swap Spreads : Pre-And Post-Crisis Analysis
Ibhagui, Oyakhilome - 2018
were generally strengthened. The influence of euro and swiss cross-currency swaps on other European cross-currency swaps …-currency swaps. Our findings are robust to alternative reordering of the variables in our 9-variable VAR system, computation of …-currency swaps to wander as the short-run linkages between them have strengthened. But when these links break (due, perhaps, to a …
Persistent link: https://www.econbiz.de/10012911842
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Interrelations Among Cross-Currency Basis Swap Spreads : Pre-And Post-Crisis Analysis
Ibhagui, Oyakhilome - 2018
were generally strengthened. The influence of euro and Swiss cross-currency swaps on other European cross-currency swaps …-currency swaps. Our findings are robust to alternative reordering of the variables in our 9-variable VAR system, computation of …-currency swaps to wander as the short-run linkages between them have strengthened. But when these links break (due, perhaps, to a …
Persistent link: https://www.econbiz.de/10012911843
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Measuring connectedness of euro area sovereign risk
Buse, Rebekka; Schienle, Melanie - 2019
We introduce a method for measuring default risk connectedness of euro zone sovereign states using credit default swap (CDS) and bond data. The connectedness measure is based on an out-of-sample variance decomposition of model forecast errors. Due to its predictive nature, it can respond more...
Persistent link: https://www.econbiz.de/10011958223
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Bad bank(s) and recapitalization of the banking sector
Schäfer, Dorothea; Zimmermann, Klaus F. - 2009
With banking sectors worldwide still suffering from the effects of the financial crisis, public discussion of plans to place toxic assets in one or more bad banks has gained steam in recent weeks. The following paper presents a plan how governments can efficiently relieve ailing banks from toxic...
Persistent link: https://www.econbiz.de/10010291776
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Agenda for Building a New Financial Market Architecture
Schäfer, Dorothea - 2009
Since the summer of 2007, participants in financial markets have been confronted by a crisis of their own making. In order to prevent the recurrence of a similar crisis in the future, the G-20 nations, at their finance summit in Washington on 15 November 2008, resolved to "ensure that all...
Persistent link: https://www.econbiz.de/10011335544
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Bad Bank(s) and Recapitalization of the Banking Sector
Schäfer, Dorothea; Zimmermann, Klaus F. - 2009
With banking sectors worldwide still suffering from the effects of the financial crisis, public discussion of plans to place toxic assets in one or more bad banks has gained steam in recent weeks. The following paper presents a plan how governments can efficiently relieve ailing banks from toxic...
Persistent link: https://www.econbiz.de/10011335545
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Agenda for a New Financial Market Architecture
Schäfer, Dorothea - In: Weekly Report 5 (2009) 7, pp. 41-49
Since the summer of 2007, participants in financial markets have been confronted by a crisis of their own making. In order to prevent the recurrence of a similar crisis in the future, the G-20 nations, at their finance summit in Washington on 15 November 2008, resolved to "ensure that all...
Persistent link: https://www.econbiz.de/10011601260
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German Bad Bank Plan: Government Should Take Over Toxic Assets at Zero Cost
Schäfer, Dorothea; Zimmermann, Klaus F. - In: Weekly Report 5 (2009) 13, pp. 87-94
With Germany's banking sector still suffering from the effects of the financial crisis, public discussion of plans to place toxic assets in one or more bad banks has gained steam in recent weeks. The following paper presents a bad bank plan from the German Institute for Economic Research. The...
Persistent link: https://www.econbiz.de/10011601266