Results 61 to 70 of about 43,092 (274)
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
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
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
The Effects of Information Technologies on the Bankruptcy Decision
Financial Management, EarlyView.ABSTRACT Exploiting the staggered adoptions of electronic systems across 70 bankruptcy courts in the United States, I investigate the impacts of digital transformation on bankruptcy behavior. The digital transformation in bankruptcy courts significantly lowered the cost of filing by enabling debtors to file for bankruptcy online, yet empirical tests ...
Jeyul Yang
wiley +1 more source
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
Testing for Contagion in International Financial Markets: To See More, Go Higher
Financial Review, EarlyView.ABSTRACT Traditional measures of financial contagion rely on correlation shifts, overlooking higher moments such as skewness and kurtosis. We examine contagion during two major financial crises, incorporating lower‐ and higher‐moment measures. We analyze stock market returns from 22 major markets at different frequencies, offering a global perspective ...
Simeon Coleman, Vitor Leone
wiley +1 more source
Credit risk tools: an overview [PDF]
This document presents several Credit Risk tools which have been developed for the Credit Derivatives Risk Management. The models used in this context are suitable for the pricing, sensitivity/scenario analysis and the derivation of risk measures for ...
Esposito, Francesco Paolo
core +1 more source
Expansion of invasive carabids across elevation and habitats on sub‐Antarctic South Georgia
Insect Conservation and Diversity, EarlyView.Two introduced carabid species have continued to expand their ranges on the sub‐Antarctic island of South Georgia over the past 10–15 years. The species have colonised inland valleys and are present across habitats but are more abundant in those with high vegetation cover. N‐mixture models revealed the optimal sampling method, intensity and habitat for
Pierre Tichit +5 more
wiley +1 more source
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