announcements. Our findings appear to be more pronounced for firms with more information asymmetry, lower credit ratings and loans …

Can banks trade credit default swaps (CDSs) referenced on their current corporate clients at competitive prices, or are … banks penalized for potentially holding private information? To answer this question we merge CDS trades reported under the … that the same dealer offers to banks and to other investors. We find that banks lending to a corporation purchase CDSs on …

. Such overvaluation may arise from risk sharing activities simply due to market incompleteness, and does not require any …

This paper analyzes the credit market's reaction to loan renegotiation announcements through changes in credit default … CDS market reaction (decrease in CDS spreads). The strongest reactions are for material amendments such as line of credit …

risk increased significantly for financial stocks and the importance of market risk for them dropped, but the financial … only somewhat stronger and was not pervasive, and conditional volatility risk premium did not rise. Also, negative skewness …&P 500. Empirical one tail 99% Value at Risk for stock portfolios shot up more than two hundred percent, driven mainly by …

risk increased significantly for financial stocks and the importance of market risk for them dropped, but the financial … only somewhat stronger and was not pervasive, and conditional volatility risk premium did not rise. Also, negative skewness …&P 500. Empirical one tail 99% Value at Risk for stock portfolios shot up more than two hundred percent, driven mainly by …

Contingent convertible bonds (CoCos) are increasingly popular financial instruments used by banks to satisfy capital …

Following the 2008-9 financial crisis, large banks increasingly issued contingent convertible bonds (CoCo bonds) to … CoCo bonds provides the same reduction in bank default risk as the corresponding issuance of common equity by analyzing the … premium reduction in (single name) credit default swaps (CDS) around the corresponding issuance announcement events. We find …

consistent with the investors' order flow and the gap risk faced by issuers. Banks try to exploit systematic trading patterns of …This paper analyzes the pricing policy of banks for retail exchange-traded leverage certificates. Based on a unique …

states of nature, for firms that engage in buybacks, stock prices will rise faster than equity values. Banks that ignore … stock-based loans and their portfolio characteristics, the latter of which can be used by banks to ascertain capital …