Narrow search
Showing 1 - 10 of 6,426
Cover Image
Risk management in financial markets
Panz, Sven - 2020
Persistent link: https://www.econbiz.de/10012254516
Cover Image
Asset encumbrance in euro area banks : analysing trends, drivers and prediction properties for individual bank crises
Berthonnaud, Pierre; Cesati, Enrico; Drudi, Maria Ludovica - 2021
, the availability of high quality collateral suitable for encumbrance, capital and sovereign funding conditions. Third, we …
Persistent link: https://www.econbiz.de/10012617772
Cover Image
Corporate Loans, Banks’ Internal Risk Estimates and Central Bank Collateral : Evidence from the Euro Area
Calza, Alessandro; Hey, Julius-Benjamin; Parrini, Alessandro - 2021
the credit risk of their corporate loan portfolios when the latter are used as collateral in the Eurosystem’s monetary … actually used as Eurosystem collateral, particularly for large loans. The less conservative estimates of risk by IRBs relative … findings suggest the existence of a collateral-related channel through which the use of IRB ratings may influence the internal …
Persistent link: https://www.econbiz.de/10013217542
Cover Image
Empirical estimation of intraday yield curves on the Italian interbank credit market e-MID
Demertzidis, Anastasios; Jeleskovic, Vahidin - 2016
This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include...
Persistent link: https://www.econbiz.de/10011814276
Cover Image
Empirical estimation of intraday yield curves on the Italian interbank credit market e-MID
Demertzidis, Anastasios; Jeleskovic, Vahidin - 2016
This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick by tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods which include events...
Persistent link: https://www.econbiz.de/10011578153
Cover Image
Empirical estimation of intraday yield curves on the Italian interbank credit market e-MID
Demertzidis, Anastasios; Jeleskovic, Vahidin - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-23
This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include...
Persistent link: https://www.econbiz.de/10012534603
Cover Image
Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 182 (2014) 2, pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
Cover Image
Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market
Kim, Jungmu; Park, Yuen Jung - In: Journal of derivatives and quantitative studies 28 (2020) 3, pp. 107-122
This study aims to investigate the existence of contagion between liquid and illiquid assets in the credit default swap (CDS) market around the recent financial crisis. The authors perform analyses based on vector autoregression model and the dynamic conditional correlation model. The estimation...
Persistent link: https://www.econbiz.de/10012592651
Cover Image
Impact of the Dodd-Frank act on credit ratings
Dimitrov, Valentin; Palia, Darius; Tang, Leo - In: Journal of financial economics 115 (2015) 3, pp. 505-520
Persistent link: https://www.econbiz.de/10011347431
Cover Image
Euro Stoxx 50 dividends : reconciling analyst estimates and dividend future prices
Dor, Arik Ben; Florig, Stephan - In: The journal of portfolio management : JPM 47 (2021) 7, pp. 63-77
Persistent link: https://www.econbiz.de/10012613227