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Uncovering the Network Structure of Non-Centrally Cleared Derivative Markets : Evidences from Regulatory Data

Zema, Sebastiano Michele - 2022

The network structure of non-centrally cleared derivative markets, uncovered via the European Market Infrastructure … derivative network is found to be ultrasmall and a filtering tool is proposed to identify channels in the network characterized … no break of confidentiality, making possible to simulate in a realistic way the liquidity dynamic in global derivative …

Persistent link: https://www.econbiz.de/10014239727

Interdependencies in the Euro Area Derivatives Clearing Network : A Multi-Layer Network Approach

Rosati, Simonetta - 2020

The global nature of derivatives markets, and the presence of large key financial institutions trading in several markets across the globe, call for taking a “macro” view on the interconnections arising in the clearing network. Based on the analysis of derivatives transactions data reported...

Persistent link: https://www.econbiz.de/10012844618

The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds

Cassola, Nuno - 2011

We study European banks' demand for short-term funds (liquidity) during the summer 2007 subprime market crisis. We use bidding data from the European Central Bank's auctions for one-week loans, their main channel of monetary policy implementation. Our analysis provides a high-frequency,...

Persistent link: https://www.econbiz.de/10013121386

Financing Constraints, Employment, and Labor Compensation : Evidence from the Subprime Mortgage Crisis

Popov, Alexander - 2015

This paper identifies the effect of financing constraints on firms' labor demand. We exploit exogenous funding shocks to German savings banks during the US mortgage crisis that are unrelated to local conditions. We find that firms with credit relationships with affected banks experienced a...

Persistent link: https://www.econbiz.de/10013019626

How to Predict Financial Stress? An Assessment of Markov Switching Models

Duprey, Thibaut - 2017

This paper predicts phases of the financial cycle by combining a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals...

Persistent link: https://www.econbiz.de/10012956250

Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis

Camba-Méndez, Gonzalo - 2014

We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as perceived by financial markets. We find that separate...

Persistent link: https://www.econbiz.de/10013052936

Pricing Sovereign Credit Risk of an Emerging Market

Camba-Méndez, Gonzalo - 2016

We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....

Persistent link: https://www.econbiz.de/10012987488

Pricing Sovereign Credit Risk of an Emerging Market

Camba-Méndez, Gonzalo - 2016

Persistent link: https://www.econbiz.de/10012987870

The Shifts and the Shocks : Bank Risk, Leverage, and the Macroeconomy

Kuvshinov, Dmitry; Zimmermann, Kaspar; Richter, Björn - 2022

This paper studies the long-run evolution of bank risk and its links to the macroeconomy. Using data for 17 advanced economies, we show that the riskiness of bank assets declined materially between 1870 and 2016. But even though bank assets have become safer, the losses on these assets are...

Persistent link: https://www.econbiz.de/10013405230

Shifting Horizons : Assessing Macro Trends Before, During, and Following Systemic Banking Crises

Schudel, Willem - 2015

This paper assesses the trends of some main macroeconomic and macro-financial variables across different time horizons related to systemic banking crises. Specifically, by gradually shifting the observation horizon of the same statistical model across time, it observes how these variables are...

Persistent link: https://www.econbiz.de/10013026197