Results 21 to 30 of about 418 (215)
The Liquidity Impact of the Credit Default Swap Index Market on Large Complex Financial Institutions
SSRN Electronic Journal, 2011 In this paper, we conduct the first empirical investigation into the impact of liquidity in the credit default swap index market on large complex financial institutions (LCFIs). We estimate this liquidity effect for the investment grade 5-year CDX North America and the investment grade 5-year iTraxx Europe.
Giovanni Calice
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Uluslararası Anadolu Sosyal Bilimler DergisiThe financial services sector is a cornerstone of economic growth, with confidence indices and risk premiums serving as key indicators of market dynamics. The Financial Services Confidence Index (FSCI) and Credit Default Swap (CDS) premiums reflect risk perception and investor expectations, while the Borsa Istanbul Services Index (XUHIZ) is an ...
Emine KARAÇAYIR
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Interaction Between Credit Default Swap (CDS) and Borsa Istanbul Selected Share Indexes
, 2023 This study aims to analyze the relationship between Turkey's 5-year USD denominated Credit Default Swaps (CDS) and BIST-100, BIST-30, BIST-50, BIST-Bank, BIST-Industrial, BIST-All and BIST-30 Futures indices. There are 168 monthly observations between 2009 and 2022.
Onur Şeyranlıoğlu, Arif Çilek
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What are the macroeconomic drivers of the asset returns of Turkish banks?
Technological and Economic Development of Economy, 2022 The aim of this paper is to investigate the effects of the macroeconomic factors to the movements of the asset returns of the banks in Turkey in terms of systemic risk from 2005 to 2018.
Zehra Civan +2 more
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Ekonomika, 2022 This study examines the factors affecting exchange rate fluctuations in Turkey by employing the quarterly data from 2008 to 2020. In this context, linear and nonlinear unit root tests were used to determine the stationarity levels of the variables. Then,
Ali Çeli̇k
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ABX.HE Indexed Credit Default Swaps and the Valuation of Subprime MBS
, 2009 Current pricing of ABX.HE indexed credit default swaps (CDS) imply levels of forecasted losses for sup-prime residential mortgage backed securities (RMBS) that are substantially greater than realized credit events in these securities. Regression results, controlling for the correlational structure of the common underlying mortgage pools, indicate that ...
Richard Stanton, Nancy E. Wallace
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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
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Quantitative Finance and Economics, 2020 With the emergence and spreading of COVID-19 pandemic all over the world, the uncertainty has been increasing for countries. Depending on this condition, especially emerging countries have been affected negatively by foreign portfolio investment outflows
Mustafa Tevfik Kartal +2 more
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A HEALTHY DOSE OF PESSIMISM? INFLUENCE OF THE UKRAINIAN ECONOMY ON ITS BANKING SECTOR CREDIT RATINGS [PDF]
Baltic Journal of Economic Studies, 2017 The purpose of the research is to identify the influence of Ukraine’s economic development on the international agencies' credit rating of its banking system. The instability and ambiguous geopolitical position of Ukraine are complicating any predictions
Svitlana Pokrason
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Portfolio Flows into Indonesia: Push or Pull?
Economics and Finance in Indonesia, 2016 This paper focuses on the dynamic of the portfolio flows into Indonesia. The result of Structural Vector Autoregression (SVAR) model reveals that push factors is more dominant than pull factors in explaining portfolio flows into Indonesia.
Chaikal Nuryakin +2 more
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