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Credit default swaps and corporate bond trading
Czech, Robert - 2019
Persistent link: https://www.econbiz.de/10012202184
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Loss potential from credit derivative use by corporate bond funds under U.S. and German Regulation : a cross country comparison
Gałkiewicz, Dominika - In: Credit and capital markets : Kredit und Kapital 49 (2016) 2, pp. 245-298
Persistent link: https://www.econbiz.de/10011555110
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Credit market choice
Boyarchenko, Nina; Costello, Anna M.; Shachar, Or - 2018
Which markets do institutions use to change exposure to credit risk? Using a unique data set of transactions in corporate bonds and credit default swaps (CDS) by large financial institutions, we show that simultaneous transactions in both markets are rare, with an average institution having an...
Persistent link: https://www.econbiz.de/10011894384
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Investment Commonality across Insurance Companies : Fire Sale Risk and Corporate Yield Spreads
Nanda, Vikram K. - 2018
explanatory power for yield spreads, controlling for liquidity, credit risk and other factors. The effect of insurer clustering on …
Persistent link: https://www.econbiz.de/10012936328
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Investment commonality across insurance companies : fire sale risk and corporate yield spreads
Nanda, Vikram; Wu, Wei; Zhou, Xing - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 6, pp. 2543-2574
Persistent link: https://www.econbiz.de/10012165923
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Regulatory ratios, CDS spreads, and credit ratings in a favorable economic environment
Handorf, William Charles - In: Journal of banking regulation 18 (2017) 3, pp. 268-285
Persistent link: https://www.econbiz.de/10012010236
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Macroprudential regulation : a risk management approach
Dimitrov, Daniel; Wijnbergen, Sweder van - 2023
We address the problem of regulating the size of banks' macroprudential capital buffers by using market-based estimates of systemic risk and by developing a modeling mechanism through which capital buffers can be allocated efficiently across systemic banks. First, a Distance-to-Default type...
Persistent link: https://www.econbiz.de/10013489714
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The end of the waterfall : default resources of central counterparties
Cont, Rama - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 365-389
Persistent link: https://www.econbiz.de/10011531210
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Similarities and differences between US and German regulation of the use of derivatives and leverage by mutual funds : what can regulators learn from each other?
Gałkiewicz, Dominika Paula - 2014
that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using …This study analyzes current regulation with respect to the use of derivatives and leverage by mutual funds in the U ….S. funds have greater discretion to undervalue derivative exposure compared to German funds. All analyses of this study reveal …
Persistent link: https://www.econbiz.de/10010402916
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The new regulation of swaps : a lost opportunity
Nazareth, Annette L.; Rosenberg, Gabriel D. - In: Comparative economic studies 55 (2013) 3, pp. 535-548
Persistent link: https://www.econbiz.de/10010187960