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Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions
Belke, Ansgar; Gokus, Christian - 2011
clustering. But very few studies dealing with credit default swaps account for the characteristics of the variances. Our aim is … series. -- Bond markets ; credit default swaps ; credit risk ; financial crisis ; GARCH ; stock markets ; volatility …
Persistent link: https://www.econbiz.de/10008935244
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Volatility Patterns of CDs, Bond and Stock Markets Before and During the Financial Crisis : Evidence from Major Financial Institutions
Belke, Ansgar Hubertus - 2011
clustering. But very few studies dealing with credit default swaps account for the characteristics of the variances. Our aim is …
Persistent link: https://www.econbiz.de/10013128075
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Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions
Belke, Ansgar Hubertus - 2011
clustering. But very few studies dealing with credit default swaps account for the characteristics of the variances. Our aim is …
Persistent link: https://www.econbiz.de/10013128893
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Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions
Belke, Ansgar; Gokus, Christian - 2011
clustering. But very few studies dealing with credit default swaps account for the characteristics of the variances. Our aim is …
Persistent link: https://www.econbiz.de/10010209431
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Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions
Belke, Ansgar; Gokus, Christian - 2011
clustering. But very few studies dealing with credit default swaps account for the characteristics of the variances. Our aim is … series. -- Bond markets ; credit default swaps ; credit risk ; financial crisis ; GARCH ; stock markets ; volatility …
Persistent link: https://www.econbiz.de/10009347974
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Do Multiple Credit Ratings Affect Syndicated Loan Spreads?
Drago, Danilo - 2019
We analyse whether soliciting multiple ratings leads to lower syndicated loan spreads. Our results document that banks apply, on average, lower spreads to multi-rated firms. This effect depends on the reduction of information asymmetry about borrowers' creditworthiness (information production...
Persistent link: https://www.econbiz.de/10012900023
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Ibbotson’s Default Premium : Risky Data
Hallerbach, Winfried G. - 2014
series going back to as early as 1926. In this data set, the “default premium” is calculated as the difference between the … to represent the compensation for default risk exposure. In this paper we show that this default premium is seriously … insensitive to market-wide changes in default risk. These maturity and quality biases seriously limit the use of the Ibbotson …
Persistent link: https://www.econbiz.de/10013067626
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How smart are investors after the subprime mortgage crisis? Evidence from the securitization market
Gürtler, Marc; Hibbeln, Martin - 2012
Two factors have proven to be strongly relevant for the subprime mortgage crisis. The first is the lack of screening incentives of originators, which had not been anticipated by investors. The second is that investors relied too much on credit ratings. We examine whether investors have learned...
Persistent link: https://www.econbiz.de/10010309795
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How smart are investors after the subprime mortgage crisis? : evidence from the securitization market
Gürtler, Marc; Hibbeln, Martin - 2012
Two factors have proven to be strongly relevant for the subprime mortgage crisis. The first is the lack of screening incentives of originators, which had not been anticipated by investors. The second is that investors relied too much on credit ratings. We examine whether investors have learned...
Persistent link: https://www.econbiz.de/10009569587
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Collateral-Enhanced Default Risk
Kenyon, Chris - 2013
Changes in collateralization have been implicated in significant default (or near-default) events during the financial …-type and Black-Cox-type structural default models. Our framework leads to a single equation that encompasses the range of … collateralization, by exposing entities to daily mark-to-market volatility, enhance default probability. This quantifies the well …
Persistent link: https://www.econbiz.de/10013087656