A Theory of the Boundaries of Banks With Implications for Financial Integration and Regulation
Financial Management, EarlyView.ABSTRACT We offer a theory of the “boundary of the firm” that is tailored to banks, recognizing the relevance of deposit financing and interbank lending as a substitute for integration. It is based on a single inefficiency that has been at the core of banking theory: risk‐shifting incentives in the interest of bank shareholders.
Falko Fecht +2 more
wiley +1 more source
Debt rollover risk, credit default swap spread and stock returns: Evidence from the COVID-19 crisis. [PDF]
J Financ Stab, 2021 Liu Y, Qiu B, Wang T.
europepmc +1 more source
On the term structure of default premia in the Swap and Libor markets [PDF]
Existing theories of the term structure of swap rates provide an analysis of the Treasury-swap spread based on either a liquidity convenience yield in the Treasury market, or default risk in the swap market.
COLLIN-DUFRESNE, Pierre, SOLNIK, Bruno
core
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
, 2009 In this paper we develop structural first passage models (AT1P and SBTV) with time-varying volatility and characterized by high tractability, moving from the original work of Brigo and Tarenghi (2004, 2005) [19] [20] and Brigo and Morini (2006)[15].
Brigo, Damiano +2 more
core +2 more sources
Asset Securitizations and Credit Default Swaps [PDF]
Financial Markets, Institutions & Instruments, 2014 This study examines the effects of off‐balance sheet versus on‐balance sheet securitizations on the originator's credit risk in the default swap (CDS) market across the recent business cycle from 2002 to 2009. I find that on‐balance sheet securitizations demonstrate greater effects on the originator's CDS premium than off‐balance sheet securitizations ...
openaire +3 more sources
Financial Statement Readability and Firm Debt Choice
Financial Management, EarlyView.ABSTRACT Examining more than 16,000 firm‐year observations in the United States, we provide novel evidence showing that higher financial statement readability leads to a decrease in information asymmetry and the need for external monitoring, thereby reducing the reliance on bank debt relative to public debt.
Wajih Abbassi +3 more
wiley +1 more source
Pricing model of credit default swap with stochastic foreign exchange rate
上海师范大学学报. 自然科学版, 2013 A pricing model is established by using the structure approach and the backward Kolmogrov equation under the assumption of stochastic foreign exchange rate.The explicit solution of credit default swap is obtained for the dollar market.And a correlative ...
WANG Yang, NI Yujing, ZHANG Jizhou
doaj
Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model [PDF]
In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread.
Carl Chiarella +2 more
core
Geopolitical Risk and Domestic Bank Deposits
Financial Management, EarlyView.ABSTRACT We investigate the relationship between global geopolitical risk and bank deposit flows across a wide panel of European countries. Motivated by the pivotal role of deposit stability for financial intermediation and systemic resilience, we explore whether geopolitical shocks alter depositors’ portfolio choices.
Dimitris Anastasiou +3 more
wiley +1 more source
Volatility spillover networks of credit risk: Evidence from ASW and CDS spreads in Turkey and Brazil [PDF]
PanoeconomicusThis study examines received and transmitted volatility spillovers of Credit Default Swap (CDS) and Asset-Swap Spread (ASW) for Brazil and Turkey. The empirical analysis is implemented using two country-based (stock markets and exchange rates) and two ...
Gunay Samet +2 more
doaj +1 more source