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Estimating the Risk of Joint Defaults : An Application to Central Bank Collateralized Lending Operations
Gatarek, Dariusz - 2015
Central bank lending to commercial banks is typically collateralized which reduces central bank's credit risk exposure to “double default events” when the counterparty and the issuer of the underlying collateral asset both default in a short period of time. This paper presents a simple model...
Persistent link: https://www.econbiz.de/10013017358
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Estimating the Risk of Joint Defaults : An Application to Central Bank Collateralized Lending Operations
Gatarek, Dariusz - 2017
Central bank lending to commercial banks is typically collateralized which reduces central bank's credit risk exposure to “double default events” when the counterparty and the issuer of the underlying collateral asset both default in a short period of time. This paper presents a simple model...
Persistent link: https://www.econbiz.de/10012971190
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A macroeconomic model of credit risk in Uruguay
Illanes, Gabriel; Peña Sánchez, Alejandro Rubén; … - In: Revista brasileira de economia : RBE ; revista da … 70 (2016) 4, pp. 441-455
Persistent link: https://www.econbiz.de/10011787685
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Much ado about nothing : a study of differential pricing and liquidity of short and long term bonds
Driessen, Joost; Nijman, Theodore E.; Simon, Zorka - 2018
, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the differential … pricing and liquidity of short and long maturity bonds. We find statistically significant, but economically negligible … segmentation in yields and some degree of liquidity segmentation of short-term versus long-term bonds. These results have important …
Persistent link: https://www.econbiz.de/10011940016
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Financial regulation, credit and liquidity policy and the business cycle
Bratsiotis, George; Tayler, William J.; Zilberman, Roy - 2014
Persistent link: https://www.econbiz.de/10011311404
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Bank credit, inflation, and default risks over an infinite horizon
Goodhart, Charles A. E.; Tsomocos, Dimitrios P.; Wang, Xuan - 2023
Persistent link: https://www.econbiz.de/10014247578
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Monetary policy with firms' banks dependence and default risk
Passamani, Giuliana; Tamborini, Roberto - In: Advances in monetary policy and macroeconomics, (pp. 7-27). 2007
Persistent link: https://www.econbiz.de/10003474490
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Achieving financial stability during a liquidity crisis : a multi-objective approach
Gaffeo, Edoardo; Gobbi, Lucio - In: Risk management : an international journal 23 (2021) 1/2, pp. 48-74
Persistent link: https://www.econbiz.de/10012544571
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Foreign Monetary Policy and Firms' Default Risk
Groba, Jonatan - 2020
This study documents the relationship between foreign monetary policy and firms' ex-ante forward-looking default probability measures. We analyze market-based measures of default for large non-financial firms in the US and the EMU area. We propose two transmission mechanisms of foreign policy...
Persistent link: https://www.econbiz.de/10012855662
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Foreign monetary policy and firms' default risk
Groba, Jonatan; Serrano, Pedro - In: The European journal of finance 26 (2020) 11, pp. 1047-1074
Persistent link: https://www.econbiz.de/10012264946