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Adverse Selection, Market Access and Inter-Market Competition

Hoffmann, Peter - 2013

We study the role of informed trading in a fragmented financial market under the absence of inter-market price priority …. Due to frictions in traders' market access, liquidity providers on alternative trading platforms may be exposed to an … increased adverse selection risk. As a consequence, the main market dominates (offers better quotes) frequently albeit charging …

Persistent link: https://www.econbiz.de/10013086466

Competition Among High-Frequency Traders, and Market Quality

Breckenfelder, Johannes - 2019

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market … high-frequency trading in the market from the effects of high-frequency competition. We find that when HFTs compete, their … speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

Persistent link: https://www.econbiz.de/10012868588

Risk Characteristics of Covered Bonds : Monitoring Beyond Ratings

Grothe, Magdalena - 2020

granular risk indicators adds to the overall transparency of the market in the context of risk monitoring …

Persistent link: https://www.econbiz.de/10012836662

Advances in Multivariate Back-testing for Credit Risk Underestimation

Coppens, François - 2016

When back-testing the calibration quality of rating systems two-sided statistical tests can detect over- and under-estimation of credit risk. Some users though, such as risk-averse investors and regulators, are primarily interested in the under-estimation of risk only, and thus require one-sided...

Persistent link: https://www.econbiz.de/10012998177

Heterogeneity in Corporate Debt Structures and the Transmission of Monetary Policy

Holm-Hadulla, Fédéric - 2020

policy. Using high-frequency financial market data to identify monetary policy shocks in a panel of euro area countries, we …

Persistent link: https://www.econbiz.de/10012834775

State-Dependency and Firm-Level Optimization : A Contribution to Calvo Price Staggering

McAdam, Peter; Willman, Alpo - 2021

We implement a tractable state-dependent Calvo price-setting signal dependent on inflation and aggregate competitiveness. This allows us to derive a New Keynesian Phillips Curve (NKPC) expressed in terms of the actual levels of variables-rather than in-deviation from "steady state" form - and...

Persistent link: https://www.econbiz.de/10013316872

Welfare Implications of Calvo Vs. Rotemberg Pricing Assumptions

Lombardo, Giovanni; Vestin, David - 2021

This paper compares the welfare implications of two widely used pricing assumptions in the New-Keynesian literature: Calvo-pricing vs. Rotemberg-pricing. We show that despite the strong similarities between the two assumptions to a first order of approximation, in general they might entail...

Persistent link: https://www.econbiz.de/10013317043

Bank private information in CDS markets

Bilan, Andrada; Ongena, Steven; Pancaro, Cosimo - 2023

European Market Infrastructure Regulation (EMIR) with syndicated loans from DealScan, and compare the prices on similar CDSs …

Persistent link: https://www.econbiz.de/10014374694

Bank Private Information in CDS Markets

Bilan, Andrada; Ongena, Steven; Pancaro, Cosimo - 2023

European Market Infrastructure Regulation (EMIR) with syndicated loans from DealScan, and compare the prices on similar CDSs …

Persistent link: https://www.econbiz.de/10014354665

Does a Leverage Ratio Requirement Increase Bank Stability?

Kiema, Ilkka - 2014

Basel III has introduced a non-risk-weighted leverage ratio requirement (LRR) which complements the internal ratings based (IRB) capital requirements. It provides a backstop against model risk which arises if some loans get incorrectly rated and become toxic. We study the effects of the LRR on...

Persistent link: https://www.econbiz.de/10013054089