Euro area sovereign bond risk premia before and during the Covid-19 pandemic. [PDF]
Eur Econ Rev, 2023 Corradin S, Schwaab B.
europepmc +1 more source
Price Calibration of basket default swap: Evidence from Japanese market [PDF]
The aim of this paper is the price calibration of basket default swap from Japanese market data. The value of this instruments depend on the number of factors including credit rating of the obligors in the basket, recovery rates, intensity of default ...
Fathi, Abid, Nader, Naifar
core +1 more source
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
, 2005 Francis A. Longstaff +3 more
semanticscholar +1 more source
A Literature Review of Securities Holdings Statistics Research and A Practitioner's Guide
Journal of Economic Surveys, EarlyView.ABSTRACT Granular holdings data containing security‐by‐security portfolio investments features prominently in economics and finance research. One novel source is the granular Securities Holdings Statistics (SHS), managed by the European Central Bank. SHS covers different euro area investors with over 2 billion observations, representing +50 trillion ...
Martijn Boermans
wiley +1 more source
Financial Time Series Uncertainty: A Review of Probabilistic AI Applications
Journal of Economic Surveys, EarlyView.ABSTRACT Probabilistic machine learning models offer a distinct advantage over traditional deterministic approaches by quantifying both epistemic uncertainty (stemming from limited data or model knowledge) and aleatoric uncertainty (due to inherent randomness in the data), along with full distributional forecasts.
Sivert Eggen +4 more
wiley +1 more source
Synthetic securitization in the accounting: the peculiarities and the national experienc
Vìsnik Žitomirsʹkogo Deržavnogo Tehnologìčnogo Unìversitetu: Ekonomìčnì Nauki, 2015 In the dynamic development of the financial market and the economy as a whole is one of the Securitisation innovative tools to attract additional funding, increased liquidity, diversification of assets and minimize risks in financial markets.
O.P. Driga
doaj
The cost of counterparty risk and collateralization in longevity swaps [PDF]
Derivative longevity risk solutions, such as bespoke and indexed longevity swaps, allow pension schemes and annuity providers to swap out longevity risk, but introduce counterparty credit risk, which can be mitigated if not fully eliminated by ...
Biffis, Enrico +3 more
core +1 more source
The Monetary Policy–Commodities Nexus: A Survey
Journal of Economic Surveys, EarlyView.ABSTRACT This survey synthesizes evidence on the bidirectional links between commodity markets and monetary policy. On the commodities‐to‐policy side, we review how shocks to energy, food, and metals pass through to inflation, inflation expectations, economic activity, and financial stability in state‐dependent ways that vary by shock type, exposure ...
Martin T. Bohl +2 more
wiley +1 more source
Stress relief? Funding structures and resilience to the covid shock. [PDF]
J Monet Econ, 2023 Forbes K, Friedrich C, Reinhardt D.
europepmc +1 more source
Market conditions, default risk and credit spreads [PDF]
This study empirically examine the impact of market conditions on credit spreads as motivated by recently developed structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads are ...
Tang, Dragon Yongjun, Yan, Hong
core