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banks …
Persistent link: https://www.econbiz.de/10011906282
In this paper we review the pricing and model calibration of Credit Default Swaps referring to both the International Swaps and Derivatives Association (ISDA) CDS contract and credit model standardization guidelines. Furthermore we provide an Excel pricing workbook to supplement the materials...
Persistent link: https://www.econbiz.de/10012925163
Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the reluctance to clear derivative trades in the absence of a central clearing obligation. We develop a comprehensive understanding of the benefits and potential pitfalls with respect...
Persistent link: https://www.econbiz.de/10011923506
Chinese banks have sought ways to rapidly expand lending in light of strict regulatory mandates to reduce official … collateralize repurchases remain a channel for banks to increase their balance sheet and reduce official lending. Many banks even … classify repurchase lending underneath the heading of lending to banks. As back door lending funds roll-overs and commodity …
Persistent link: https://www.econbiz.de/10013033802
Persistent link: https://www.econbiz.de/10011790739
tranches inflicted severe losses on banks, calling into question the credibility of Rating Agencies. I discuss the limits of …
Persistent link: https://www.econbiz.de/10013128337
tranches inflicted severe losses on banks, calling into question the credibility of Rating Agencies. I discuss the limits of …
Persistent link: https://www.econbiz.de/10013131934
. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing … crash risk. This finding suggests that banks are less likely to experience stock price crash when they share more borrower …
Persistent link: https://www.econbiz.de/10012926760
The build-up of risks in advanced economies has seen a lot of research efforts in the recent years, while similar research efforts on emerging economies have not been so strong and, when undertaken, have focused mostly on its international dimension. Simultaneously, the financial system of the...
Persistent link: https://www.econbiz.de/10011976156
lending. We find that the guidance primarily impacted large, closely supervised banks, but only after supervisors issued … more lax lending policies than banks, we unveil important evidence that nonbanks increased bank borrowing following the … issuance of guidance, possibly to finance their growing leveraged lending. The guidance was effective at reducing banks …
Persistent link: https://www.econbiz.de/10011657569