Direkt zur Hauptnavigation springen Direkt zum Inhalt springen
info(at)avldigital.remove-this.de
Deutsch English
Filtern nach
Aktive Filter
Letzte Suchanfragen

Ergebnisse für *

Zeige Ergebnisse 1 bis 25 von 27.

  1. The core, the periphery, and the disaster
    corporate-sovereign nexus in COVID-19 times
    Autor*in: Jappelli, Ruggero; Pelizzon, Loriana; Plazzi, Alberto
    Erschienen: [2021]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 431
    Fernleihe:
    keine Fernleihe

     

    We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary slackness, the pandemic had essentially no impact on such elasticity. This evidence is consistent with the disaster-induced repricing of government support, which we model through a rare-disaster asset pricing framework with bailout guarantees and defaultable public debt. The model implies that risk-adjusted guarantees in the core were 2.6 times those in the periphery, suggesting that fiscal capacity buffers provide relief to firms' financing costs.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/247667
    Schriftenreihe: SAFE working paper ; no. 331 (December 2021)
    Schlagworte: COVID-19; Credit Risk; Sovereign Risk; Fiscal Capacity; Bailout
    Umfang: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  2. How integrated are credit and equity markets?
    evidence from index options
    Autor*in: Collin-Dufresne, Pierre; Junge, Benjamin; Trolle, Anders B.
    Erschienen: 2020
    Verlag:  Swiss Finance Institute, Geneva

    In recent years, a liquid market for options on a broad credit default swap index (CDX) has developed. We study the extent to which these options are priced consistently with options on a broad equity index (SPX). We consider a rich structural credit... mehr

    Zugang:
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 544
    Fernleihe:
    keine Fernleihe

     

    In recent years, a liquid market for options on a broad credit default swap index (CDX) has developed. We study the extent to which these options are priced consistently with options on a broad equity index (SPX). We consider a rich structural credit risk model in which firm assets follow a jump-diffusion process with idiosyncratic and systematic risk, and we derive analytical expressions for CDX and SPX options. Calibrating the model, we find that it captures many aspects of the joint dynamics of CDX and SPX options. However, it cannot reconcile the relative levels of option implied volatilities, suggesting that credit and equity markets are not fully integrated. A strategy of selling CDX options yields significantly higher average excess returns and Sharpe ratios than selling SPX options

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Auflage/Ausgabe: This version: June 24, 2020
    Schriftenreihe: Swiss Finance Institute research paper series ; 20, 65
    Swiss Finance Institute Research Paper ; No. 20-65
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  3. The value of bond underwriter relationships
    Autor*in: Rüden, Stine Louise von; Dick-Nielsen, Jens; Stenbo Nielsen, Mads Stenbo
    Erschienen: [2021]
    Verlag:  Danmarks Nationalbank, Copenhagen

    We show that corporate bond issuers benefit from utilizing existing underwriter relationships when rolling over bonds, but at the same time become exposed to underwriter distress. A strong relationship enables the underwriter to credibly certify the... mehr

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 135
    Fernleihe:
    keine Fernleihe

     

    We show that corporate bond issuers benefit from utilizing existing underwriter relationships when rolling over bonds, but at the same time become exposed to underwriter distress. A strong relationship enables the underwriter to credibly certify the issuer resulting in lower direct issuance costs and lower underpricing. However, if the underwriter becomes distressed, this spills over to the issuer's credit risk, because it weakens the relationship and increases the risk of involuntary relationship termination. The credit risk spillover is more pronounced for risky, information-sensitive issuers with high rollover exposure, i.e., those issuers most in need of certification by an underwriter.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/245991
    Schriftenreihe: Working paper / Danmarks Nationalbank ; nr. 170 (12 February 2021)
    Schlagworte: Refinancing Risk; Credit Risk; Financial Stability
    Umfang: 1 Online-Ressource (circa 69 Seiten), Illustrationen
  4. The disciplining effect of supervisory scrutiny in the EU-wide stress test
    Autor*in: Kok Sørensen, Christoffer; Müller, Carola; Ongena, Steven; Pancaro, Cosimo
    Erschienen: [2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Using a difference-in-differences approach and relying on conftdential supervisory data and an unique proprietary data set available at the European Central Bank related to the 2016 EU-wide stress test, this paper presents novel empirical evidence... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    Using a difference-in-differences approach and relying on conftdential supervisory data and an unique proprietary data set available at the European Central Bank related to the 2016 EU-wide stress test, this paper presents novel empirical evidence that supervisory scrutiny associated to stress testing has a disciplining effect on bank risk. We ftnd that banks that participated in the 2016 EU-wide stress test subsequently reduced their credit risk relative to banks that were not part of this exercise. Relying on new metrics for supervisory scrutiny that measure the quantity, potential impact, and duration of interactions between banks and supervisors during the stress test, we find that the disciplining effect is stronger for banks subject to more intrusive supervisory scrutiny during the exercise.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289945516
    Weitere Identifier:
    hdl: 10419/237690
    Schriftenreihe: Working paper series / European Central Bank ; no 2551 (May 2021)
    Schlagworte: Stress Testing; Credit Risk; Internal Models; Banking Supervision; Banking Regulation
    Umfang: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  5. A deep learning approach to estimate forward default intensities
    Autor*in: Divernois, Marc-Aurèle
    Erschienen: July 21, 2020
    Verlag:  Swiss Finance Institute, Geneva

    This paper proposes a machine learning approach to estimate physical forward default intensities. Default probabilities are computed using artificial neural networks to estimate the intensities of the inhomogeneous Poisson processes governing default... mehr

    Zugang:
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 544
    Fernleihe:
    keine Fernleihe

     

    This paper proposes a machine learning approach to estimate physical forward default intensities. Default probabilities are computed using artificial neural networks to estimate the intensities of the inhomogeneous Poisson processes governing default process. The major contribution to previous literature is to allow the estimation of non-linear forward intensities by using neural networks instead of classical maximum likelihood estimation. The model specification allows an easy replication of previous literature using linear assumption and shows the improvement that can be achieved

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Auflage/Ausgabe: Preliminary draft
    Schriftenreihe: Research paper series / Swiss Finance Institute ; no 20, 79
    Swiss Finance Institute Research Paper ; No. 20-79
    Schlagworte: Bankruptcy; Credit Risk; Default; Machine Learning; Neural Networks; Doubly Stochastic; Forward Poisson Intensities
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  6. The core, the periphery, and the disaster
    corporate-sovereign nexus in COVID-19 times
    Autor*in: Jappelli, Ruggero; Pelizzon, Loriana; Plazzi, Alberto
    Erschienen: 2021
    Verlag:  Swiss Finance Institute, Geneva

    We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary... mehr

    Zugang:
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 544
    Fernleihe:
    keine Fernleihe

     

    We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary slackness, the pandemic had essentially no impact on such elasticity. This evidence is consistent with the disaster-induced repricing of government support, which we model through a rare-disaster asset pricing framework with bailout guarantees and defaultable public debt. The model implies that risk-adjusted guarantees in the core were 2.6 times those in the periphery, suggesting that fiscal capacity buffers provide relief to firms’ financing costs

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Auflage/Ausgabe: First draft: January 2021
    Schriftenreihe: Research paper series / Swiss Finance Institute ; no 21, 30
    Schlagworte: COVID-19; Credit Risk; Sovereign Risk; Fiscal Capacity; Bailout
    Umfang: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  7. Loan-to-value caps, bank lending, and spillover to general-purpose loans
    Autor*in: Baziki, Selva Bahar; Çapacıoğlu, Tanju
    Erschienen: [2021]
    Verlag:  Central Bank of the Republic of Turkey, Head Office, Structural Economic Research Department, Ankara, Turkey

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 496
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / Türkiye Cumhuriyet Merkez Bankası ; no: 21, 23 (August 2021)
    Schlagworte: Loan to Value Ratio; Credit Risk; Housing Loans; General-Purpose Loans; Credit Spillover
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  8. Intermediary-based loan pricing
    Autor*in: Mabille, Pierre; Wang, Olivier
    Erschienen: [2021]
    Verlag:  INSEAD, [Fontainebleau]

    Zugang:
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; 2021, 73
    Schlagworte: Bank Loans; Credit Supply; Credit Risk; Covenants; Financial Crisis; IntermediaryAsset Pricing; Sufficient Statistics
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  9. Bank capital, credit risk and financial stability in Kenya
    Autor*in: Kiemo, Samuel; Talam, Camilla; Rugiri, Irene W.
    Erschienen: February 2022
    Verlag:  Kenya Bankers Association, Nairobi

    The paper sought to explore the role of bank capital in mitigating credit risk and promoting financial stability. To achieve this, we constructed a Financial Soundness Index to evaluate financial stability conditions. A Panel Vector Auto Regression... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 792
    Fernleihe:
    keine Fernleihe

     

    The paper sought to explore the role of bank capital in mitigating credit risk and promoting financial stability. To achieve this, we constructed a Financial Soundness Index to evaluate financial stability conditions. A Panel Vector Auto Regression Model was employed using annual bank-level data from 2001-2020 for 37 banks, to examine the effect of bank capital on credit risk and financial stability. Overall, financial stability index long-term trend shows banks remain resilient, despite the downward trend from 2011 and instability margins since 2016. The findings also reveal that bank capital, lowers credit risk and strengthens financial stability. The paper conclude that bank capital supports financial stability through mitigating credit risks, and recommends that authorities continue adopting and implementing appropriate capital policies to foster financial stability and promote bank lending.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/249557
    Schriftenreihe: KBA Centre for Research on Financial Markets and Policy working paper series ; WPS, 22, 03 = 57
    Schlagworte: Bank Capital; Credit Risk; Financial Stability; Panel Vector Auto Regression model
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  10. What drives credit risk?
    empirical evidence from Southeast Europe
    Autor*in: Nikola, Fabris; Vujanović, Nina
    Erschienen: May 2022
    Verlag:  Wiener Institut für Internationale Wirtschaftsvergleiche, Wien

    Bank stability is an important aspect of financial stability, especially in bank-centric systems such as those in Southeast Europe. The financial crisis has shown that there is a particular need to monitor credit and other similar risks. Hence, it is... mehr

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 666
    Fernleihe:
    keine Fernleihe

     

    Bank stability is an important aspect of financial stability, especially in bank-centric systems such as those in Southeast Europe. The financial crisis has shown that there is a particular need to monitor credit and other similar risks. Hence, it is important to analyse risks affecting the stability of both the banking sector and the financial system as a whole. To that end, central banks have developed macroprudential policies aiming to safeguard financial stability. However, little is known about the drivers of some financial risks. In that context, this study analyses the determinants of credit risk, which is the most prominent risk in the banking sectors of three selected Southeast European economies - Montenegro, Kosovo* and Bosnia and Herzegovina. Dynamic panel data techniques were applied to 48 banks, which represent almost the entire banking sectors in the respective countries. The empirical evidence has shown that both macroeconomic and bank-specific determinants represent influential factors driving credit risk in Southeast Europe. Particularly important macroeconomic factors affecting credit risk are business cycle and sovereign debt. On the other hand, bank size, capital levels, credit activity and profitability are the most prominent factors influencing credit risk in the region.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/272992
    Schriftenreihe: Working paper / wiiw ; 214
    Schlagworte: Credit Risk; Financial Stability; Southeast Europe; Banking
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  11. Intermediary-based loan pricing
    Autor*in: Mabille, Pierre; Wang, Olivier
    Erschienen: [2022]
    Verlag:  INSEAD, [Fontainebleau]

    Zugang:
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Auflage/Ausgabe: Revised version of 2021/73/FIN
    Schriftenreihe: Array ; 2022, 45
    Schlagworte: Bank Loans; Credit Supply; Credit Risk; Covenants; Financial Crisis; Intermediary Asset Pricing; Sufficient Statistics
    Umfang: 1 Online-Ressource (circa 41 Seiten)
  12. Book-to-market, mispricing, and the cross-section of corporate bond returns
    Autor*in: Bartram, Söhnke M.; Grinblatt, Mark; Nozawa, Yoshio
    Erschienen: 21 October 2022
    Verlag:  Centre for Economic Policy Research, London

    Zugang:
    Verlag (lizenzpflichtig)
    Verlag (lizenzpflichtig)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    LZ 161
    Fernleihe:
    keine Fernleihe

    Standort:
    Universitätsbibliothek Mannheim
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Discussion paper series / Centre for Economic Policy Research ; DP17592$p
    Schlagworte: Credit Risk; Corporate Bonds; Book-to-Market; Market Efficiency; Transaction Costs; Point-in-Time
    Umfang: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  13. A simple approach to estimate long-term interest rates
    Autor*in: Driessen, Joost; Nijman, Theodore E.; Simon, Zorka
    Erschienen: [2022]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    We propose an easy to implement yield curve extrapolation method to determine long-term interest rates suitable for regulatory valuation. We empirically evaluate this approach for the German nominal bond market, by estimating the model on bonds with... mehr

    Zugang:
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 431
    Fernleihe:
    keine Fernleihe

     

    We propose an easy to implement yield curve extrapolation method to determine long-term interest rates suitable for regulatory valuation. We empirically evaluate this approach for the German nominal bond market, by estimating the model on bonds with maturities up to 20 years and assessing the out-of-sample performance for bonds with maturities beyond 20 years. Even though observed long-term yields are somewhat lower than the predicted yields, the method performs quite well empirically given its simplicity. We perform a case study on pension fund liability valuation and show that our proposed method would have a substantial impact on liability values.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/268747
    Schriftenreihe: SAFE working paper ; no. 238
    Schlagworte: Sovereign Bonds; Term Structure of Interest Rates; Segmentation; Liquidity; Flight-to-safety; Credit Risk
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  14. Intermediary-based loan pricing
    Autor*in: Mabille, Pierre; Wang, Olivier
    Erschienen: [2022]
    Verlag:  INSEAD, [Fontainebleau]

    Zugang:
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Auflage/Ausgabe: Revised version of 2022/45/FIN
    Schriftenreihe: Array ; 2022, 57
    Schlagworte: Banks; Credit Supply; Credit Risk; Covenants; Financial Crisis; Intermediary Asset Pricing; Sufficient Statistics
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  15. Carbon default swap
    disentangling the exposure to carbon risk through CDS
    Autor*in: Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca
    Erschienen: January 2023
    Verlag:  Grantham Research Institute on Climate Change and the Environment, London

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    Keine Rechte
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Centre for Climate Change Economics and Policy working paper ; no. 416
    Grantham Research Institute on Climate Change and the Environment working paper ; no. 391
    Schlagworte: Climate Change; Carbon Risk; Credit Risk; Credit Default Swap Spreads
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  16. Investors valuation for assets liquidity and safety and the corporate-treasury yield spread
    Autor*in: Niestroj, Benjamin
    Erschienen: 2012
    Verlag:  Universitätsbibliothek Dortmund, Dortmund

    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 2003/29769
    Schriftenreihe: Discussion Paper / SFB 823 ; 53/2012
    Schlagworte: Industrieobligation; Zinsstruktur; Zinstheorie; Risikoprämie; Capital-Asset-Pricing-Modell; Schätzung
    Weitere Schlagworte: (stw)Unternehmensanleihe; (stw)Zinsstruktur; (stw)Liquiditätseffekt; (stw)Risikoprämie; (stw)CAPM; (stw)Schätzung; (stw)USA; Asset Pricing; Corporate-Treasury Bond Yield Spread; Credit Risk; Liquidity and Safety adjusted CAPM; Liquidity Premium; Graue Literatur
    Umfang: Online-Ressource
  17. Analyse von Credit Spreads in Abhängigkeit des risikofreien Referenzzinssatzes
    Autor*in: Pape, Ulrich; Schlecker, Matthias
    Erschienen: 2022
    Verlag:  ESCP Europe Wirtschaftshochschule Berlin, Berlin

    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
  18. Analyse von Credit Spreads in Abhängigkeit des risikofreien Referenzzinssatzes
    Autor*in: Pape, Ulrich; Schlecker, Matthias
    Erschienen: 2010
    Verlag:  ESCP Europe Wirtschaftshochsch., Berlin

    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Deutsch
    Medientyp: Buch (Monographie)
    Format: Druck
    RVK Klassifikation: QB 910 ; QK 620 ; QB 910 ; QK 620
    Schriftenreihe: ESCP Europe working paper ; Nr. 54
    Schlagworte: Industrieobligation; Zins; Risikoprämie; Kreditrisiko; Bundesanleihe; Konsol; Staatsanleihe; Zwangsanleihe; Swap
    Weitere Schlagworte: (stw)Unternehmensanleihe; (stw)Zins; (stw)Risikoprämie; (stw)Kreditrisiko; (stw)Öffentliche Anleihe; (stw)Swap; Attraktivität von Staatsanleihen; Referenz; Risikofreier Zinssatz; Spread über Swap; Unternehmensanleihe; Credit Risk; Credit Spread; Swap Spread; Graue Literatur; Arbeitspapier
    Umfang: 38 Bl., graph. Darst., 30 cm
    Bemerkung(en):

    Literaturangaben
  19. Informed corporate credit market before monetary policy surprises
    explaining pre-FOMC stock market movements
    Autor*in: Abdi, Farshid; Wu, Botao
    Erschienen: August 2018
    Verlag:  School of Finance, University of St. Gallen, St. Gallen

    We show that U.S. corporate bond market movements during the days preceding FOMC announcements can predict monetary policy surprises, as well as the pre-FOMC stock market movements. Starting several days before an expansionary (contractionary)... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 314
    Fernleihe:
    keine Fernleihe

     

    We show that U.S. corporate bond market movements during the days preceding FOMC announcements can predict monetary policy surprises, as well as the pre-FOMC stock market movements. Starting several days before an expansionary (contractionary) surprise in FOMC decisions, corporate bond prices surge (decline) and yield spreads decline (surge). The pattern is statistically and economically significant. Moreover, corporate bond customers buy (sell) more often from dealers before expansionary (contractionary) surprises, suggesting that in aggregate they have more accurate information about the outcome of FOMC announcements. A portfolio that mimics customer trades is profitable with a Sharpe ratio of 0.64 and is profitable before both contractionary and expansionary surprises. Furthermore, consistent with the informativeness of corporate bond transactions, we show that lagged corporate bond customer-dealer trade imbalances can predict pre-FOMC stock market movements and explain pre-FOMC drift. Corporate bond yield changes “Granger-cause” stock pre-FOMC movements, and a 1% surge in the constructed TRACE bond yield during a 2 p.m.-to-2 p.m. period ending one day before an FOMC announcement, predicts a 5.8% decline in the S&P 500 index for the 2 p.m.-to-2 p.m. period ending on the FOMC meeting day. This bond-to-stock granger causality does not exist for non-pre-FOMC periods and is stronger for the companies with higher probability of default

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Working papers on finance ; no. 2018, 28
    University of St.Gallen, School of Finance Research Paper ; No. 2018/28
    Schlagworte: Pre-FOMC Announcement Drift; Corporate Bond; Credit Risk; Enhanced TRACE; TAQ
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  20. Local currency sovereign debt markets, global financial conditions and the role of foreign investors
    Autor*in: Suedekum, Guilherme
    Erschienen: [2023]
    Verlag:  Graduate Institute of International and Development Studies, International Economics Department, Geneva

    This paper studies how the presence of foreign investors in local currency sovereign debt markets contributes to the transmission of global financial conditions to emerging market economies. My estimations indicate that the higher the share of local... mehr

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 272
    Fernleihe:
    keine Fernleihe

     

    This paper studies how the presence of foreign investors in local currency sovereign debt markets contributes to the transmission of global financial conditions to emerging market economies. My estimations indicate that the higher the share of local currency government bonds held by foreign investors, the more sensitive the credit risk of these bonds becomes to global financial shocks. When foreign investors' holdings reach 45 percent, the credit risk of local currency government bonds becomes as sensitive to global financial shocks as the credit risk of foreign currency government bonds. I also explore exogenous foreign investor outflows caused by an unanticipated announcement of country weight rebalancing in the J.P. Morgan GBI-EM Global Diversified index in March 2014. Countries that experienced foreign investor outflows also experienced a decrease in the sensitivity of their local currency sovereign debt markets to changes in global financial conditions.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/283497
    Schriftenreihe: Working paper series / Graduate Institute of International and Development Studies, International Economics Department ; no. HEIDWP2023, 19
    Schlagworte: Emerging Market Economies; Local Currency Sovereign Debt; Credit Risk; Global Financial Conditions
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  21. Intermediary-based loan pricing
    price and non-price terms across markets
    Autor*in: Mabille, Pierre; Wang, Olivier
    Erschienen: [2023]
    Verlag:  INSEAD, [Fontainebleau]

    Zugang:
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Auflage/Ausgabe: Revised version of 2022/57/FIN
    Schriftenreihe: Array ; 2023, 37
    Schlagworte: Banks; Credit Supply; Credit Risk; Covenants; Financial Crisis; Intermediary AssetPricing; Sufficient Statistics
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  22. The calibration of the IRB supervisory formula
    a case study
    Autor*in: Casellina, Simone; Salis, Fabio; Tessiore, Giovanni; Ugoccioni, Roberto; Varetto, Franco
    Erschienen: [2023]
    Verlag:  European Banking Authority, Paris, France

    The level of capital requirement generated by the IRB approach depends crucially on the asset correlation, a parameter that enters the regulatory risk weight formula and is determined by the Regulators. Several studies have estimated the asset... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 659
    Fernleihe:
    keine Fernleihe

     

    The level of capital requirement generated by the IRB approach depends crucially on the asset correlation, a parameter that enters the regulatory risk weight formula and is determined by the Regulators. Several studies have estimated the asset correlations and found that the empirical values are materially lower than the regulatory calibration included in the Basel framework. However, the simple comparison between different estimates of this parameter does not easily translates into a clear economic interpretation. In this paper, we use detailed data from Italian banks to show how to extract from the regulatory risk measures easily interpretable figures i.e. the Worst-Case Default Rate (WCDR) and the Worst-Case Loss (WCL) and we show how the asset correlation influences these measures. We then provide a rationale for the regulatory calibration in terms of corrections to well-known limits of the underlying models like the assumption of perfect granularity. We claim that our approach can provide a better understating of the IRB risk measures fostering their transparency and reliability but also simplifying the comparison among different banks. We apply the proposed approach exploiting some data sources (publicly available and proprietary). As the data used is mainly referred to the Italian system and, in particular, to only two banks, the empirical results obtained are meant just to provide a practical example.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789292459239
    Weitere Identifier:
    Schriftenreihe: EBA staff paper series ; n. 17 (09/2023)
    Schlagworte: Bank Capital; Regulation; Basel 2; Credit Risk; Asset Correlation; Value-at-Risk
    Umfang: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  23. Book-to-market, mispricing, and the cross-section of corporate bond returns
    Autor*in: Bartram, Söhnke M.; Grinblatt, Mark; Nozawa, Yoshio
    Erschienen: [2023]
    Verlag:  European Capital Markets Institute, Brussels, Belgium

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    ZSS 79
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: ECMI working paper ; no 16 (November 2023)
    Schlagworte: Credit Risk; Corporate Bonds; Book-to-Market; Market Efficiency; Transaction Costs; Point-in-Time
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  24. Is covid-19 reflected in AnaCredit dataset?
    a big data - machine learning approach for analysing behavioural patterns using loan level granular information
    Autor*in: Petropoulos, Anastsasios; Stavroulakis, Evangelos; Lazaris, Panagiotis; Siakoulis, Vasileios; Vlachogiannakis, Nikolaos
    Erschienen: March 2023
    Verlag:  Bank of Greece, Athens

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 501
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Working paper / Bank of Greece ; 315
    Schlagworte: Credit Risk; Deep Learning; AnaCredit; COVID-19
    Umfang: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  25. Greening the economy: how public-guaranteed loans influence firm-level resource allocation
    Autor*in: Reghezza, Alessio
    Erschienen: 19/02/2024
    Verlag:  European Banking Institute e.V., Frankfurt am Main, Germany

    Zugang:
    Resolving-System (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    Keine Rechte
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: EBI working paper series ; no. 165 (2024)
    Schlagworte: Climate Change; Green Lending; Public Guaranteed Loans; Credit Risk
    Umfang: 1 Online-Ressource (circa 64 Seiten), Illustrationen