Results 61 to 70 of about 34,635 (206)
Systemic Risk in the European Union: A Network Approach to Banks’ Sovereign Debt Exposures
International Journal of Financial Studies, 2015 This paper draws on network theory to investigate European banks’ sovereign debt exposures. Banks’ holdings of sovereign debt build a network of financial linkages with European countries that exhibits a long-tail distribution of node degrees.
Annika Westphal
doaj +1 more source
Economics of Transition and Institutional Change, EarlyView.ABSTRACT We examine the sectoral impact of Western sanctions on Russian corporate performance from 2014 to 2021 using a panel of listed nonfinancial firms. Applying continuous‐time heterogeneous treatment models and difference‐in‐differences estimators, we document persistent divergence across sectors: The energy sector exhibits sustained ...
Eugene Nivorozhkin
wiley +1 more source
Central Clearing Valuation Adjustment
, 2017 This paper develops an XVA (costs) analysis of centrally cleared trading, parallel to the one that has been developed in the last years for bilateral transactions.
Armenti, Yannick, Crépey, Stéphane
core +2 more sources
The Economic History Review, EarlyView.Abstract Did democratization reduce the likelihood of politically connected bank bailouts in the past? What role did private central banks play as independent lenders of last resort? To answer these questions, this article provides new detailed archival evidence on the causes of bank failures in Spain in July 1931.
Enrique Jorge‐Sotelo
wiley +1 more source
The Limits of Central Counterparty Clearing: Collusive Moral Hazard and Market Liquidity [PDF]
, 2013 Can central counterparty (CCP) clearing control counterparty risk in the presence of risk taking that can aggravate such risk? When counterparty risk is not observable, I show that central clearing leads to higher collateral requirements for two ...
Koeppl, Thorsten V.
core
Speed Bump and Stock Market Quality: Evidence From NYSE American
Financial Management, EarlyView.ABSTRACT Should trading speed of high‐frequency traders be regulated? Using the data from the New York Stock Exchange American, this paper examines the impact of a speed bump on market liquidity and price discovery. Our results indicate that the use of a speed bump can lower the costs of adverse selection through reducing informed trading.
Bo Liu, Ke Xu
wiley +1 more source
Considerations for the Design of a Central Counterparty for the Mexican Money Market [PDF]
The financial crisis has brought the problems of regulatory failure and unbridled counterparty risk to the forefront in financial discussions. In the last decade, central counterparties have been created in order to face those insidious problems.
de Lascurain M., Miguel
core
Price Discovery in Bitcoin ETF Market
Financial Review, EarlyView.ABSTRACT In this study, we explore price discovery across the following three Bitcoin markets: spot, futures, and exchange‐traded funds (ETFs). Employing the fractionally cointegrated vector autoregressive (FCVAR) model, we estimate price discovery in each market using minute‐level price data from October 19, 2021, the launch date of the first US ...
Kiana Kia +4 more
wiley +1 more source
Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest [PDF]
The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised ...
Bao, Qunfang +3 more
core +1 more source