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Liquidity and CDS premiums on European companies around the Subprime crisis
Lesplingart, Clothilde; Majois, Christophe; Petitjean, … - In: Review of derivatives research 15 (2012) 3, pp. 217-256
Persistent link: https://www.econbiz.de/10009709684
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The liquidity of credit default index swap networks
Haynes, Richard; McPhail, Lihong Lu - In: The journal of network theory in finance 5 (2019) 1, pp. 67-95
Persistent link: https://www.econbiz.de/10012133008
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Liquidity premia in CDS markets
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
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Corporate bond liquidity before and after the onset of the subprime crisis
Dick-Nielsen, Jens; Feldhütter, Peter; Lando, David - In: Journal of Financial Economics 103 (2012) 3, pp. 471-492
We analyze liquidity components of corporate bond spreads during 2005–2009 using a new robust illiquidity measure. The … less liquid when financial distress hits a lead underwriter and the liquidity of bonds issued by financial firms dries up …
Persistent link: https://www.econbiz.de/10011039223
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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/10010614506
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Deciphering the Libor and Euribor Spreads during the subprime crisis
Pelizzon, Loriana; Sartore, Domenico - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 565-585
collaterals in the short-term debt market, credit risk and the injection of liquidity by Central Banks through so …
Persistent link: https://www.econbiz.de/10011056699
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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
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Financial Spillovers to Emerging Markets during the Global Financial Crisis
Frank, Nathaniel; Hesse, Heiko - In: Czech Journal of Economics and Finance (Finance a uver) 59 (2009) 6, pp. 507-521
Using data from the recent crisis, the authors analyze financial linkages between market liquidity and bank solvency …
Persistent link: https://www.econbiz.de/10008480575
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El sistema financiero español ante la crisis crediticia internacional
Mora, Alfonso García; Ortega, Gloria Hervás; … - In: EKONOMIAZ 66 (2007) 03, pp. 92-125
This paper analyses the development that the Spanish banking system has experienced in recent years. This development has been superior to that of the countries of our environment and has been based, principally, on the real-estate boom. Precisely, due to the interdependence between construction...
Persistent link: https://www.econbiz.de/10010754614
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On the study of contagion in the context of the subprime crisis : a dynamic conditional correlation-multivariate GARCH approach
Hemche, Omar; Jawadi, Fredj; Maliki, Samir B.; Cheffou, … - In: Economic modelling 52 (2016), pp. 292-299
Persistent link: https://www.econbiz.de/10011645655