Results 171 to 180 of about 66,578 (384)
The Impact of Debt Covenant Violation on Credit Default Swap Spreads
, 2017 Changling Chen +2 more
openalex +1 more source
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach [PDF]
, 2021 Gregor Schoenemann
openalex +1 more source
Understanding Liquidity and Credit Risks in the Financial Crisis* [PDF]
This paper develops a structured dynamic factor model for the spreads between London Interbank Offered Rate (LIBOR) and overnight index swap (OIS) rates for a panel of banks. Our model involves latent factors which relect liquidity and credit risk.
Deborah Gefang, Gary Koop, Simon Potter
core
Hampered Monetary Policy Transmission ‐ A Supply‐Side Story?
Journal of Money, Credit and Banking, EarlyView.Abstract This paper shows that the supply side of credit is a major factor for hampered monetary policy transmission in monopolistic banking markets. Our stress test data containing projected interest rates of all 1,555 small and medium‐sized banks in Germany under two hypothetical scenarios provide a clear way to partial out demand shocks that are ...
LOTTA HECKMANN‐DRAISBACH, JULIA HARDT
wiley +1 more source
Credit ratings and credit risk [PDF]
This paper investigates the information in corporate credit ratings. We examine the extent to which firms' credit ratings measure raw probability of default as opposed to systematic risk of default, a firm's tendency to default in bad times. We find that
Jens Hilscher, Mungo Wilson
core
Are Risky Banks Disciplined by Large Corporate Depositors?
Journal of Money, Credit and Banking, EarlyView.Abstract We analyze depositor discipline using auctions of unsecured money market deposits of firms to banks. In each auction, only the firm observes the banks and their interest rate bids. We observe that deposit interest rate bids increase with bank risk.
BJÖRN IMBIEROWICZ +2 more
wiley +1 more source
An empirical study on the decoupling movements between corporate bond and CDS spreads [PDF]
Applied to the European markets, this paper analyzes the price of credit risk on the Credit Default Swap (CDS) and corporate bond markets by comparing the sensitivity of the credit spreads on each market to systematic, idiosyncratic risk factors and ...
Alexopoulou, Ioana +2 more
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Pollution Permits and Financing Costs
Journal of Money, Credit and Banking, EarlyView.Abstract Effective environmental policy should consider how the financiers of polluting firms behave. We study phase III of the EU Emission Trading System. Loan spreads for cap‐and‐trade participants are a function of compliance costs, permit market features, and firms’ strategic actions.
FABIO ANTONIOU +3 more
wiley +1 more source
An Empirical Analysis of Equity Default Swaps (I): Univariate Insights [PDF]
The aim of this paper is to describe a new methodology to assess the risk of any Equity Default Swap (EDS). We show that as credit ratings can measure counter-party risk, it is technically possible to provide a quantitatively derived “through the cycle ...
Arnaud_de_Servigny, Norbert_Jobst
core