n this study, we examine the level of stock market integration and the impact of sovereign risk on the pricing of European equity markets since the introduction of the euro. We use a multivariate GARCH(1,1)-M return generating model allowing for partial market integration in which sovereign risk...

The unfolding financial turmoil in mature economies has prompted the official and private sectors to reconsider policies, business models and risk management practices. Regardless of its future evolution, it already threatens to become one of the defining economic moments of the 21st century....

There is strong evidence that on-the-run U.S. Treasury securities trade muchmore liquidly and at significantly higher prices than their off-the-run counterparts.We examine if the same phenomenon is present in the German government bondmarket whose market structure differ markedly from that of...

This paper develops a liquidity measure tailored to the foreign exchange (FX) market, quanties the amount of commonality in liquidity across dierent exchange rates, and determines theextent of liquidity risk premiums embedded in FX returns. The new liquidity measure utilizesultra high frequency...

I explain the key failure mechanics of large dealer banks, and some policy implications. This is not a review of the financial crisis of 2007–2009. Systemic risk is considered only in passing. Both the financial crisis and the systemic...

IACPM is a non-profit industry association developed to Further the management of credit exposures by providing a forum for members to exchange ideas, foster research on credit portolio management, represent members before legislative and admistrative bodies...

Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such asthe iTraxx Europe have been used in the credit derivatives market for price communication.During the financial crisis, implied correlations have been quite volatile indicating thegrowing fraction of systematic...