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Sovereign and bank CDS spreads : two sides of the same coin?
Cotter, John; Avino, Davide - 2014
Persistent link: https://www.econbiz.de/10010343569
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Do higher capital standards always reduce bank risk? : the impact of the Basel leverage ratio on the U.S. triparty repo market
Allahrakha, Meraj; Cetina, Jill; Munyan, Benjamin - In: Journal of financial intermediation 34 (2018), pp. 3-16
Persistent link: https://www.econbiz.de/10012114205
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The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2019
Persistent link: https://www.econbiz.de/10012060359
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The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks....
Persistent link: https://www.econbiz.de/10012197781
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The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2019
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks....
Persistent link: https://www.econbiz.de/10011992507
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Do stock returns really decrease with default risk? : new international evidence
Aretz, Kevin; Florackis, Chris; Kostakis, Alexandros - In: Management science : journal of the Institute for … 64 (2018) 8, pp. 3821-3842
Persistent link: https://www.econbiz.de/10011900038
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Sovereign credit risk and stock markets : does the markets’ dependency increase with financial Distress?
Silva, Paulo Pereira da - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 145-167
This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of...
Persistent link: https://www.econbiz.de/10010373349
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An analysis of the effect of currency mismatch on a country's default risk
Janković, Irena; Živković, Boško - In: Economic annals 59 (2014) 201, pp. 85-121
Persistent link: https://www.econbiz.de/10010458165
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Stock liquidity and default risk around the world
Nadarajah, Sivathaasan - 2020
We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that default risk declines following the introduction of the Directive on Markets in Financial Instruments (MiFID)—an exogenous shock that increases liquidity. The effect of...
Persistent link: https://www.econbiz.de/10012854783
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The state dependent impact of bank exposure on sovereign risk
Podstawski, Maximilian; Velinov, Anton - 2016 - This version: February 11, 2016
The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have … an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived … exogenous changes in bank exposure on the risk position of the sovereign within a Markov switching structural vector …
Persistent link: https://www.econbiz.de/10011436025