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Credit Information Sharing and Stock Price Crash Risk : The Role of Information Asymmetry and Bank Regulations
Teeranutranont, Chanon - 2018
This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing through public credit registries is negatively associated...
Persistent link: https://www.econbiz.de/10012926760
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Margins and Financial Collateral for Derivatives Contracts : How to Deal with Procyclical Implications in a Financial Crisis
Tambucci, Martina - 2014
One of the lessons to be learned from the financial crisis is that the mechanics of initial margins and collateral haircuts, applied to manage counterparty credit risk and market risk out of an outstanding position in derivatives, may cause significant perverse effects on the financial system by...
Persistent link: https://www.econbiz.de/10013052205
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Financial Contagion During Lehman Default and Sovereign Debt Crisis : An Empirical Analysis on Euro Area Bond and Equity Markets
Gentile, Monica - 2012
The recent Euro area crisis, which has originally been driven mainly by macroeconomic factors, has had a strong impact also on financial markets leading internationally to what is referred as contagion, that is co-movements among asset prices which have been excessive respect to fundamentals....
Persistent link: https://www.econbiz.de/10013096061
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Much ado about nothing : a study of differential pricing and liquidity of short and long term bonds
Driessen, Joost; Nijman, Theodore E.; Simon, Zorka - 2018
Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the differential pricing and liquidity of short and long maturity...
Persistent link: https://www.econbiz.de/10011940016
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Interactions between financial markets and macroeconomic variables in EU : a nonlinear modeling approach
Albu, Lucian-Liviu; Lupu, Radu; Călin, Adrian Cantemir - 2015
There is a general acceptance of the fact that a significant direct relationship between financial markets and macroeconomic variables exists, especially by considering the assertion that developed financial markets correspond to high GDP levels. This paper provides an investigation of the...
Persistent link: https://www.econbiz.de/10011480254
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An Empirical Investigation of Emerging Markets : What Does the Dynamics of Credit Risk Tell Us?
Carboni, Andrea - 2011
(CDS) and bond spreads in the post Lehman Brothers period by focusing on both short and long run relations. Equity and cost … of funding are also considered in the study. On the one hand, the CDS market is able to forecast the bond market in 11 … cases out of 15, while equity is a useful predictor of the CDS market in 8 cases out of 15. Evidence of a bidirectional …
Persistent link: https://www.econbiz.de/10013118220
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Basis Risk When Hedging a Global Credit Portfolio
Chamizo, Alvaro - 2017
usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid … CDSs and CDS indices, and we also evaluate the level of basis risk still remaining under the hedge. We address several …
Persistent link: https://www.econbiz.de/10012944310
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Basis Risk in Hedging a CDS Portfolio with Credit Indices
Chamizo, Alvaro - 2017
adjustment (CVA) might become increasingly difficult should the long-standing correlation between singlename and index CDS …
Persistent link: https://www.econbiz.de/10012970402
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Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO) : Regulatory Capital Arbitrage, Negative CDS Carry Trade and Systemic Risk Analysis
Markose, Sheri M. - 2016
) and Credit Default Swaps (CDS). The simultaneous accumulation of RMBS assets on US banks' balance sheets and also large … counterparty exposures from CDS positions characterized the $2 trillion Collateralized Debt Obligation (CDO) market. The latter … to the regulator at the time, we investigate how a CDS negative carry trade combined with incentives provided by Basel II …
Persistent link: https://www.econbiz.de/10013007658
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International propagation of financial shocks in a search and matching environment
Isoré, Marlène - 2011 - First draft: April 30, 2010, This version: April 13, 2011
This paper develops a two-country multi-frictional model where the freeze on liquidity access to commercial banks in one country raises unemployment rates via credit rationing in both countries. The expenditure-switching channel, whereby asymmetric monetary shocks traditionally lead to negative...
Persistent link: https://www.econbiz.de/10011346436