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Gündüz, Yalın - 2018

of Depository Trust and Clearing Corporation's (DTCC) proprietary bilateral credit default swap transactions and …

Persistent link: https://www.econbiz.de/10011900709

Common risk factors in the US and UK interest rate swap markets : evidence from a non-linear vector autoregression approach

Lekkos, Ilias; Milas, Costas - 2002

Persistent link: https://www.econbiz.de/10001664578

Market timing, maturity mismatch, and risk management : evidence from the banking industry

Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013

-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. A higher … swap use. Exogeneity tests indicate that both decisions are only endogenous to each other for banks that start using swaps … compliance with the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap …

Persistent link: https://www.econbiz.de/10010248947

Hedging langfristiger Lieferverpflichtungen mit kurzfristigen Futures : möglich oder unmöglich?

Bühler, Wolfgang; Korn, Olaf - 1998

Im Laufe des Jahres 1993 war die Metallgesellschaft Refining & Marketing (MGRM), eine US-amerikanische Tochtergesellschaft der Metallgesellschaft AG, in großem Umfang die Verpflichtung eingegangen, langfristig Öl zu Festpreisen zu liefern. Das dadurch entstehende Preisrisiko sollte über...

Persistent link: https://www.econbiz.de/10013428156

The pricing of FX forward contracts : micro evidence from banks' dollar hedging

Abbassi, Puriya; Bräuning, Falk - 2018

Using transaction-level data on foreign exchange (FX) forward contracts, we document large demand-driven heterogeneity in banks' dollar hedging costs. For identification, we exploit regulatory end-of-quarter reporting that penalizes banks' currency exposure with capital surcharges. Contracts...

Persistent link: https://www.econbiz.de/10011916907

Lighting up the dark : liquidity in the German corporate bond market

Gündüz, Yalın; Pelizzon, Loriana; Schneider, Michael; … - 2021

We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with full posttrade disclosure (the U.S.). We employ a unique regulatory dataset...

Persistent link: https://www.econbiz.de/10012589378

Bargaining power and outside options in the interbank lending market

Abbassi, Puriya; Bräuning, Falk; Schulze, Niels - 2017

We study the role of bargaining power and outside options for the pricing of over-the-counter interbank loans using a bilateral Nash bargaining model and test the model predictions with detailed transaction-level data from the euro-area interbank market. We find that lender banks with greater...

Persistent link: https://www.econbiz.de/10011740274

Special stock market segments for small company shares in Europe - What went wrong?

Rasch, Sebastian - 1994

Persistent link: https://www.econbiz.de/10014378146

OTC discount

Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2019

We study price dispersion and venue choice in the interdealer market for German sovereign bonds, where an exchange and over-the-counter segments coexist. We show that 85% of OTC traded prices are favorable with respect to exchange quotes, indicating the prevalence of an OTC discount. This...

Persistent link: https://www.econbiz.de/10012125222

Fire buys of central bank collateral assets

Roure, Calebe de - 2017

In times of financial distress, central banks provide unlimited liquidity to avoid fire sales. In response, banks raise their demand for collateral assets, and the short-term scarcity of collateral securities leads to higher prices, the Fire Buy premium. To avoid collateral scarcity, central...

Persistent link: https://www.econbiz.de/10011587096