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Credit default swap spreads and systemic financial risk

Giglio, Stefano - 2016

This paper measures the joint default risk of financial institutions by exploiting information about counterparty risk in credit default swaps (CDS). A CDS contract written by a bank to insure against the default of another bank is exposed to the risk that both banks default. From CDS spreads we...

Persistent link: https://www.econbiz.de/10011974974

Empirical analysis of collateral at central counterparties

Grothe, Magdalena; Pancost, N. Aaron; Tompaidis, Stathis - 2021

This paper studies the risk management of central counterparties (CCPs) using a granular transaction-level dataset. We test whether margining practices are sufﬁcient relative to portfolio risk and whether CCPs reduce margin requirements in a ‟race-to-the-bottom." We ﬁnd that, for some...

Persistent link: https://www.econbiz.de/10012793428

Syndicated loans and CDS positioning

Aldasoro, Iñaki; Barth, Andreas - 2017

This paper analyzes banks' usage of CDS. Combining bank-firm syndicated loan data with a unique EU-wide dataset on bilateral CDS positions, we find that stronger banks in terms of capital, funding and profitability tend to hedge more. We find no evidence of banks using the CDS market for capital...

Persistent link: https://www.econbiz.de/10011978351

Lending standards and output growth

Kirti, Divya - 2018

While some credit booms are followed by economic underperformance, many are not. Can lending standards help separate good credit booms from bad credit booms contemporaneously? To observe lending standards internationally, I use information from primary debt capital markets. I construct the...

Persistent link: https://www.econbiz.de/10011978753

Do information contagion and business model similarities explain bank credit risk commonalities?

Wang, Dieter; Lelyveld, Iman van; Schaumburg, Julia - 2019

This paper revisits the credit spread puzzle for banks from the perspective of information contagion. The puzzle consists of two stylized facts: Structural determinants of credit risk not only have low explanatory power but also fail to capture common factors in the residuals. We reproduce the...

Persistent link: https://www.econbiz.de/10012007806

Assessing contagion risks from the CDS market

Brunnermeier, Markus Konrad; Clerc, Laurent; El Omari, Yanis - 2013

Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....

Persistent link: https://www.econbiz.de/10011972792

Measurement of foreign portfolio investment in Canadian bonds

Laliberté, Lucie; Tremblay, Réjean - 1996

Persistent link: https://www.econbiz.de/10000963472

Prediction of chaotic time series in the presence of measurement error : the importance of initial conditions

Guégan, Dominique; Tschernig, Rolf - 1998

Persistent link: https://www.econbiz.de/10000984196

Measuring what people know : human capital accounting for the knowledge economy

Miller, Riel - 1996

Persistent link: https://www.econbiz.de/10000573650

Not all inequality measures were created equal : the measurement of wealth inequality, its decompositions, and an application to European household wealth

Costa, Rita Neves; Pérez-Duarte, Sébastien - 2019

Much of the literature on inequality, both that on the theoretical features of inequality measurement and that on the … distributions. The paper focuses on the measurement of inequality itself and includes an application to European data on wealth. We …, grounding their use in socio-economic theory and highlighting the connections between them. In particular, we investigate how …

Persistent link: https://www.econbiz.de/10012137161

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