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An empirical study on the decoupling movements between corporate bond and CDS spreads

Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009

CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …

Persistent link: https://www.econbiz.de/10003963752

It's not time to make a change : sovereign fragility and the corporate credit risk

Fornari, Fabio; Zaghini, Andrea - 2022

Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after...

Persistent link: https://www.econbiz.de/10013391043

The low-carbon transition, climate commitments and firm credit risk

Carbone, Sante; Giuzio, Margherita; Kapadia, Sujit; … - 2021

dataset which augments data on firms' green-house gas emissions over time with information on climate disclosure practices and …

Persistent link: https://www.econbiz.de/10012745324

Chronicle of a death foretold : does higher volatility anticipate corporate default?

Ampudia, Miguel; Busetto, Filippo; Fornari, Fabio - 2022

information over and above the EDF, especially at longer forecasting horizons. At an aggregate level the DI shows superior …

Persistent link: https://www.econbiz.de/10013448706

Do stress tests matter? : evidence from the 2014 and 2016 stress tests

Georgescu, Oana-Maria; Groß, Marco; Kapp, Daniel; Kok … - 2017

disclosures revealed new information that was priced by the markets. We also provide evidence that the publication of stress test …

Persistent link: https://www.econbiz.de/10011648333

Bank private information in CDS markets

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

banks penalized for potentially holding private information? To answer this question we merge CDS trades reported under the … trading with other investors. Our findings suggest that banks hold valuable private information which is shared in their … trades with dealers. Dealers then disseminate this information to financial markets. …

Persistent link: https://www.econbiz.de/10014315233

Risk characteristics of covered bonds : monitoring beyond ratings

Grothe, Magdalena; Zeyer, Jana - 2020

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...

Persistent link: https://www.econbiz.de/10012206219

The term structure of risk premia : new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10003971282

Liquidation value and loan pricing

Barbiero, Francesca; Schepens, Glenn; Sigaux, Jean-David - 2022

We show that the liquidation value of collateral depends on who is pledging it. We employ transaction-level data on overnight repurchase agreements (repo) and loan-level credit registry data on corporate loans. We find that borrowers on the repo market pay a 2.6 basis points rate premium when...

Persistent link: https://www.econbiz.de/10012818794

Risk retention in the European securitization market : skimmed by the skin-in-the-game methods?

Breemen, Vivian van; Schwarz, Claudia; Vink, Dennis - 2023

We empirically investigated the impact of regulatory risk retention methods on credit ratings and pricing at issuance using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the assumption that all risk retention methods homogenously...

Persistent link: https://www.econbiz.de/10014362634