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CDS central counterparty clearing default measures : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2020

theoretical results with parameter magnitudes and sensitivities. Examination of three market liquidity scenarios provides … intuition for effective liquidity injection by a Lender of Last Resort …

Persistent link: https://www.econbiz.de/10012419635

CDS central counterparty clearing liquidation : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2017

well as, regulatory implications for a Lender of Last Resort in various liquidity scenarios …

Persistent link: https://www.econbiz.de/10011870658

The "Celtic crisis" : guarantees, transparency, and systemic liquidity risk ; conference paper

König, Philipp Johann; Anand, Kartik; Heinemann, Frank - 2013

Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and stave off bank runs. However, as the experience of some European countries, most notably Ireland, has demonstrated, the credibility and effectiveness of these guarantees is...

Persistent link: https://www.econbiz.de/10010344594

Liquidity Provision, Credit Risk and the Bond Spread : New Evidence from the Subprime Mortgage Market

An, Xudong - 2015

We study the determinants of the subprime mortgage loan spread, with a particular focus on funding liquidity and … default-liquidity interaction effects. We find that sector-level as well as macro funding liquidity provision affected … subprime loan rates, explaining a significant portion of the variation in spreads. Liquidity conditions just prior to loan …

Persistent link: https://www.econbiz.de/10013012971

Sovereign Default Risk Premia : Evidence from the Default Swap Market

Zinna, Gabriele - 2009

This study explores the risk premia embedded in sovereign default swaps using a term structure model. The risk premia remunerate investors for unexpected changes in the default intensity. A number of interesting results emerge from the analysis. First, the risk premia contribution to the spreads...

Persistent link: https://www.econbiz.de/10013153694

How does sovereign bond market integration relate to fundamentals and CDS spreads?

Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2016

We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign...

Persistent link: https://www.econbiz.de/10011618981

Shadow banking : financial intermediation beyond banks

Adrian, Tobias; Chrétien, Edouard; Chui, Michael; … - Shadow Banking: Financial Intermediation beyond Banks …; … - 2018

Persistent link: https://www.econbiz.de/10011790739

Credit Ratings in Structured Finance and the Role of Systemic Risk

Violi, Roberto - 2011

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...

Persistent link: https://www.econbiz.de/10013128337

Credit Ratings in Structured Finance and the Role of Systemic Risk

Violi, Roberto - 2011

Persistent link: https://www.econbiz.de/10013131934

Liquidity and Credit Risk Premia in Government Bond Yields

Ejsing, Jacob - 2012

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …

Persistent link: https://www.econbiz.de/10013106056