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Kamga, Merlin Kuate; Wilde, Christian - 2017

We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and … liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it allows to disentangle … and compare the liquidity premium earned by the protection buyer and the protection seller. In contrast to other studies …

Persistent link: https://www.econbiz.de/10011698857

Determinants of structured finance issuance: A cross-country comparison

Schuetz, Sebastian A. - 2011

Especially structured finance instruments were blamed as main reason for the financial crisis 2007, but the understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main balance sheet characteristics of structured finance...

Persistent link: https://www.econbiz.de/10010286571

The equity-like behaviour of sovereign bonds

Dufour, Alfonso; Stancu, Andrei; Varotto, Simone - In: Journal of international financial markets, … 48 (2017), pp. 25-46

Persistent link: https://www.econbiz.de/10011892283

The time varying properties of credit and liquidity components of CDS spreads

Coro, Filippo; Dufour, Alfonso; Varotto, Simone - 2012

Persistent link: https://www.econbiz.de/10009520563

Credit and liquidity components of corporate CDS spreads

Corò, Filippo; Dufour, Alfonso; Varotto, Simone - In: Journal of banking & finance 37 (2013) 12, pp. 5511-5525

Persistent link: https://www.econbiz.de/10010343659

Property rights and CDS spreads : when is there a strong transfer risk from the sovereigns to the corporates?

Baines, Sarah Jane; Wei, Shang-jin - In: The quarterly journal of finance 7 (2017) 4, pp. 1-36

Persistent link: https://www.econbiz.de/10011774182

Credit default swaps around the world

Bartram, Söhnke M.; Conrad, Jennifer S.; Lee, Jongsub; … - 2021

Persistent link: https://www.econbiz.de/10012415709

The international monetary (non-)order and the global capital flows paradox

Bibow, Jörg - 2008

This paper sets out to investigate the forces behind the so-called "global capital flows paradox" and related "dollar glut" observed in the era of advancing financial globalization. The supposed paradox is that the developing world has increasingly come to pursue policies that result in current...

Persistent link: https://www.econbiz.de/10010266438

Structured finance influence on financial market stability: Evaluation of current regulatory developments

Schütz, Sebastian A. - 2010

In 2007 the world faced one of the biggest financial crises ever. It was the third important financial crisis in the last 12 years. Spillovers to the real economy and moral hazard behaviour of carpetbaggers resulted in enormous pressure on worldwide political institutions to approve a more...

Persistent link: https://www.econbiz.de/10010286569

How income inequality caused subprime crisis in 2007?

Gong, Xu; Li, Changshuai - In: Journal of contemporary management : JMC 4 (2015) 2, pp. 75-84

Persistent link: https://www.econbiz.de/10011392894

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