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Timing Asset Market Peaks : The Role of the Liquidity Risk Cycle of the Banking System
Weber, Patrick - 2012
Recent financial crisis showed how the unfolding of liquidity risks of financial intermediaries spilled over to asset … markets, contributing to asset price deterioration and the triggering of liquidity spirals. This paper derives and tests a … aggregate funding liquidity risks of the banking system into a simple binary fragility indicator. The main empirical result of …
Persistent link: https://www.econbiz.de/10013112347
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Why do investors buy sovereign default insurance?
Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016
We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...
Persistent link: https://www.econbiz.de/10011541398
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CDS central counterparty clearing default measures : road to recovery or invitation to predation?
Tywoniuk, Magdalena - 2020
theoretical results with parameter magnitudes and sensitivities. Examination of three market liquidity scenarios provides … intuition for effective liquidity injection by a Lender of Last Resort …
Persistent link: https://www.econbiz.de/10012419635
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CDS central counterparty clearing liquidation : road to recovery or invitation to predation?
Tywoniuk, Magdalena - 2017
well as, regulatory implications for a Lender of Last Resort in various liquidity scenarios …
Persistent link: https://www.econbiz.de/10011870658
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Liquidity Provision, Credit Risk and the Bond Spread : New Evidence from the Subprime Mortgage Market
An, Xudong - 2015
We study the determinants of the subprime mortgage loan spread, with a particular focus on funding liquidity and … default-liquidity interaction effects. We find that sector-level as well as macro funding liquidity provision affected … subprime loan rates, explaining a significant portion of the variation in spreads. Liquidity conditions just prior to loan …
Persistent link: https://www.econbiz.de/10013012971
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Sovereign Default Risk Premia : Evidence from the Default Swap Market
Zinna, Gabriele - 2009
This study explores the risk premia embedded in sovereign default swaps using a term structure model. The risk premia remunerate investors for unexpected changes in the default intensity. A number of interesting results emerge from the analysis. First, the risk premia contribution to the spreads...
Persistent link: https://www.econbiz.de/10013153694
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How does sovereign bond market integration relate to fundamentals and CDS spreads?
Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2016
We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign...
Persistent link: https://www.econbiz.de/10011618981
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Liquidity and Credit Risk Premia in Government Bond Yields
Ejsing, Jacob - 2012
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …
Persistent link: https://www.econbiz.de/10013106056
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Sovereign risk contagion in the Eurozone : a time-varying coefficient approach
Ludwig, Alexander - 2013
This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion proposed by Pesaran and Pick (2007) and Metiu (2012) to allow for time-varying coefficients. This becomes necessary due to changes in the risk pricing of sovereign bonds since the...
Persistent link: https://www.econbiz.de/10010222446
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Secured Credit Spreads and the Issuance of Secured Debt
Benmelech, Efraim; Kumar, Nitish; Rajan, Raghuram G. - 2020
We show that after accounting for selection, credit spreads for secured debt issuances are lower than for unsecured debt issuances, especially when a firm’s credit quality deteriorates, the economy slows, or average credit spreads widen. Yet firms tend to be reluctant to issue secured debt...
Persistent link: https://www.econbiz.de/10014352315