Results 51 to 60 of about 65,859 (324)
Bank Capital Regulation and Derivatives Clearing
International Journal of Finance &Economics, EarlyView.ABSTRACT As part of the post global financial crisis banking reforms, regulators introduced a leverage ratio requirement, a minimum capital requirement over a bank's total exposures. We assess the consequences of this requirement for derivative clearing services to clients, which creates exposures for the dealers, by exploiting its earlier introduction
Jonathan Acosta‐Smith +2 more
wiley +1 more source
An Empirical Comparison of Default Swap Pricing Models [PDF]
In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums.
Patrick Houweling, Ton Vorst
core +3 more sources
Measuring Currency Risk Premium: The Case of Turkey
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines the determinants of a change in currency expectations for the Turkish Lira (TL) versus the US dollar with different maturities (1 month, 3 months and 1 year). The risk premium is estimated using the interest rate differential and a latent component called the missing risk premium.
Idil Uz Akdogan +2 more
wiley +1 more source
The Determinants of Credit Default Swap Premia [PDF]
Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using linear regression.
Ericsson, Jan +2 more
core +3 more sources
The Relationship Between Geopolitical Risk and Credit Default Swap Premium: Evidence from Turkey*
Ekonomika, 2023 This study investigates the relationship between the geopolitical risk in Turkey arising out of the war and terror incidents happened in the region during the period 2003:01-2020:06 with the CDS premium.
Esra Soyu Yıldırım +1 more
doaj +1 more source
Fiscal Rules, Independent Fiscal Institutions and Sovereign Risk: Evidence From the European Union
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the effects of fiscal rules (FRs) and independent fiscal institutions (IFIs) on sovereign risk. To address potential endogeneity issues, we employ the System Generalised Method of Moments (GMM) estimator in an analysis comprising 24 European Union member states throughout the 2007–2019 period.
Bogdan Căpraru +2 more
wiley +1 more source
Jurisprudential Analysis of Applying Credit Default Swap and Credit-Linked Note in Credit Risk Management of Banks [PDF]
تحقیقات مالی اسلامی (پیوسته), 2012 Given the importance of credit risk in the banking system, banks have always paid special attention to credit risk management and have used different tools to manage it. Using credit derivatives, especially "credit default swap" and "credit-linked note",
Rasool Khansari +2 more
doaj
Liquidity Tail Risk and Credit Default Swap Spreads
European Journal of Operational Research, 2016 We show that liquidity tail risk in credit default swap (CDS) spreads is time-varying and explains variation in CDS spreads. We capture the liquidity tail risk of a CDS contract written on a firm by estimating the tail dependence, i.e., the asymptotic ...
Felix Irresberger +3 more
semanticscholar +1 more source
Exchange Rate Risk and Deviations From Purchasing Power Parity
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper proposes a new solution to the purchasing power parity (PPP) puzzles, arguing that investors' higher‐order risk attitudes, combined with higher‐order uncertainty about nominal exchange rates, as reflected by skewness and kurtosis, drive a risk premium that leads to deviations from PPP.
Michael G. Arghyrou +2 more
wiley +1 more source
Sustainability Performance and Corporate Risk: Evidence From the Tourism Industry
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate the impact of sustainability performance (Refinitiv Environmental, Social, and Governance [ESG] scores) on corporate risk (CR). We apply stakeholder theory and the resource‐based view to an international sample of 247 tourism firms from 2002 to 2018.
Omneya Abdelsalam +4 more
wiley +1 more source