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Assessing Credit Risk in Money Market Fund Portfolios
Collins, Sean; Gallagher, Emily - Volkswirtschaftliche Fakultät, … - 2014
This paper measures credit risk in prime money market funds (MMFs), studies how such credit risk evolved in 2011 … estimate the credit default swap premium (CDS) needed to insure each fund’s portfolio against credit losses. We also calculate … by Monte Carlo the cost of insuring a fund against losses amounting to over 50 basis points. We find that credit risk of …
Persistent link: https://www.econbiz.de/10011108102
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Rescue costs and financial risk
Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2014
Following Taleb/Tapiero (2009) , the hypotheses are contrasted based on partial information of firms had losses (including external risk factors); the policy implications of this analysis are projected after evaluating two fundamental issues that continue to preoccupy the public opinion: how...
Persistent link: https://www.econbiz.de/10011108272
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An Economic Examination of Collateralization in Different Financial Markets
Xiao, Tim - Volkswirtschaftliche Fakultät, … - 2012
credit risk factors. We find empirical evidence that counterparty risk is not overly important in credit-related spreads …. Only the joint effects of collateralization and credit risk can sufficiently explain unsecured credit costs. This finding …
Persistent link: https://www.econbiz.de/10011109791
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Law and structure of the capital markets
Gu, Xian; Kowalewski, Oskar - Volkswirtschaftliche Fakultät, … - 2014
In this paper, we examine whether legal systems affect the structure of capital markets in terms of the development of bond markets versus equity markets. Using a dataset of 42 developed and developing countries, we document that a country's legal system, especially investor protections,...
Persistent link: https://www.econbiz.de/10011110744
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Rescate y costos del riesgo financiero
Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2014
First externalities risk due to the size of the companies or the principle that large companies are also at risk of bankruptcy (too big to fail) are examined. The problem is illustrated by a case in which extreme risks with negative consequences for savers and investors are taken. If we...
Persistent link: https://www.econbiz.de/10011110979
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Government quality determinants of stock market performance in African countries
Simplice A, Asongu - Volkswirtschaftliche Fakultät, … - 2012
How do government policies and institutions affect stock market performance? As stock markets grow broader and deeper in African countries, the question becomes more critical. Government quality dynamics of corruption-control, government-effectiveness, political-stability or no violence, voice &...
Persistent link: https://www.econbiz.de/10011111095
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Systemic Liquidity Crisis with Dynamic Haircuts
Sever, Can - Volkswirtschaftliche Fakultät, … - 2014
In this paper, using network tools, I analyse systemic impacts of liquidity shocks in interbank market in case of endogenous haircuts. Gai, Haldane and Kapadia (2011) introduce a benchmark for liquidity crisis following haircut shocks, and Gorton and Metrick (2010) reveal the evidence from...
Persistent link: https://www.econbiz.de/10011111629
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El posible impacto de las reformas internacionales en América Latina y el Caribe
Heinrich, Gregor - Volkswirtschaftliche Fakultät, … - 2013
Text presented at the 19ª Asamblea Anual del Grupo Regional de América Latina y el Caribe (GRULAC), of the World Savings Banks Institute, La Habana, Cuba, 4-5 November 2013. It mentions some of the more recent international reform initiatives in particular those linked to the Basel Committee...
Persistent link: https://www.econbiz.de/10011257769
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An evidence of speculation in Indian commodity markets
Varadi, Vijay Kumar - Volkswirtschaftliche Fakultät, … - 2012
Recent price surge in commodity markets has stipulate intensity of various factors which lead price volatility. There are multi-factors such as traditional supply and demand factors, excess global liquidity i.e., monetary inflows in commodity markets and financialization i.e., financial...
Persistent link: https://www.econbiz.de/10011258424
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Restructuring the Banking System to Improve Safety and Soundness
Morris, Charles; Hoenig, Thomas - Volkswirtschaftliche Fakultät, … - 2011
, liquidity, and credit intermediation services. But banks also are inherently unstable because depositors will “run” if they … – making loans and taking deposits to provide payment and settlement, liquidity, and credit intermediation services. Other …
Persistent link: https://www.econbiz.de/10011259288