Search Results - subject:"Collateralized Debt Obligations"

Foreign acquisition and credit risk : evidence from the U.S. CDS market

Yilmaz, Umit - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 4, pp. 1734-1767

Persistent link: https://www.econbiz.de/10014309627

Quantifying systemic risk in the presence of unlisted banks : application to the European banking sector

Dimitrov, Daniel; Wijnbergen, Sweder van - 2023

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from publicly traded banks, privately held institutions, and coöperative banks, extending...

Persistent link: https://www.econbiz.de/10014280065

Green Bond Effects on the CDS Market

Ahn, Jung-Hyun; Attaoui, Sami; Fouquau, Julien - 2023

The paper investigates CDS spreads reaction to the type of issued bonds, green or conventional. We use an event study based on the CDS spreads reaction for the green bond issuance. First, we find that there is a green bond effect. That is, CDS spreads decline when a green bond is issued,...

Persistent link: https://www.econbiz.de/10014258504

Framework of CreditMetrics Methodology for Credit VaR

Malhotra, Yogesh - 2023

Financial institutions are subject to many sources of risk, where risk often represents the degree of uncertainty about future net returns. Credit Risk can result in potential loss due to the inability of a counterparty to meet its obligations and is a function of the credit exposure, the...

Persistent link: https://www.econbiz.de/10014258543

Sustainable Development Goals and sovereign bond spreads : investor implications

2023

Persistent link: https://www.econbiz.de/10014261142

Credit Ratings of Collateralized Debt Obligations in Microfinance

Yeboah-Smith, Miko - 2023

This thesis focuses on the mechanics of microfinance collateralized debt obligations (MiCDOs) and outlines crucial risk … debt obligations (CDO) and their rating systems. Due to the lack of reliable data on the collateral pools, investors are … factors for international investors and microfinance institutions (MFIs), in contrast to already established collateralized …

Persistent link: https://www.econbiz.de/10014261833

Stress relief? Funding structures and resilience to the Covid Shock

Forbes, Kristin; Friedrich, Christian; Reinhardt, Dennis - 2023

This paper explores whether different funding structures – including the source, instrument, currency, and counterparty location of funding – affected the extent of financial stress experienced in different countries and sectors during the early stages of the Covid-19 pandemic. We measure...

Persistent link: https://www.econbiz.de/10014262700

Is Climate Transition Risk Priced Into Corporate Credit Risk? Evidence From Credit Default Swaps

Ugolini, Andrea; Reboredo, Juan Carlos; Ojea Ferreiro, … - 2023

We study whether climate transition risk is reflected in the credit default swap (CDS) spreads of firms. Using the information on the vulnerability of a firm’s value to the transition to a low carbon economy, we construct a climate transition risk (CTR) factor, and document how this factor...

Persistent link: https://www.econbiz.de/10014263055

Sovereign default network and currency risk premia

Yang, Lu; Yang, Lei; Cui, Xue - In: Financial innovation : FIN 9 (2023) 1, pp. 1-22

We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets. We develop four measures of centrality, namely, degree, betweenness, closeness, and eigenvector centralities, to detect...

Persistent link: https://www.econbiz.de/10014289115

Pricing climate transition risk : evidence from European corporate CDS

Vozian, Katia; Costola, Michele - 2023

The European low-carbon transition began in the last few decades and is accelerating to achieve net-zero emissions by 2050. This paper examines how climate-related transition indicators of a large European corporate firm relate to its CDS-implied credit risk across various time horizons....

Persistent link: https://www.econbiz.de/10014283743