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Credit Models and the Crisis, or : How I Learned to Stop Worrying and Love the CDOs
Brigo, Damiano - 2010
We follow a long path for Credit Derivatives and Collateralized Debt Obligations (CDOs) in particular, from the introduction of the Gaussian copula model and the related implied correlations to the introduction of arbitrage-free dynamic loss models capable of calibrating all the tranches for all...
Persistent link: https://www.econbiz.de/10013149591
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Euro After the Crisis : Key Challenges and Resolution Options
Gurdgiev, Constantin - 2016
The recent Global Financial Crisis (2008-2010) and the accompanying Great Recession (2008-2011) show that the level and the rate of monetary and financial systems integration deployed within the Euro area is not sustainable in the long run. Instead of acting as a buffer against external shocks...
Persistent link: https://www.econbiz.de/10012990752
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The Real Effects of Liquidity During the Financial Crisis : Evidence from Automobiles
Benmelech, Efraim - 2016
Illiquidity in short-term credit markets during the financial crisis might have severely curtailed the supply of non-bank consumer credit. Using a new data set linking every car sold in the United States to the credit supplier involved in each transaction, we find that the collapse of the...
Persistent link: https://www.econbiz.de/10012994914
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The Real Effects of Liquidity During the Financial Crisis : Evidence from Automobiles
Benmelech, Efraim - 2016
Illiquidity in short-term credit markets during the financial crisis might have severely curtailed the supply of non-bank consumer credit. Using a new data set linking every car sold in the United States to the credit supplier involved in each transaction, we find that the collapse of the...
Persistent link: https://www.econbiz.de/10012456527
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The Real Effects of Liquidity During the Financial Crisis : Evidence from Automobiles
Benmelech, Efraim - 2016
This paper shows that illiquidity in short-term credit markets during the financial crisis may have sharply curtailed the supply of non-bank consumer credit. Using a new data set linking every car sold in the United States to the credit supplier involved in each transaction, we show that the...
Persistent link: https://www.econbiz.de/10013005785
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Liquidity in the Mortgage Market : How Does the COVID-19 Crisis Compare with the Global Financial Crisis?
Pence, Karen M. - 2022
The liquidity strains that contributed to the meltdown of the mortgage market in the Global Financial Crisis (GFC) re …-emerged in the Coronavirus 2019 (COVID-19) Crisis. Some of these strains were acute. For example, the dependence of mortgage real … estate investment trusts (REITs) on short-term funding amplified market disruption in March 2020. However, other liquidity …
Persistent link: https://www.econbiz.de/10013404844
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Central Bank Liquidity During the Financial Market and Economic Crisis : Observations, Thoughts and Questions
Pikkarainen, Pentti - 2011
​The paper concentrates on illustrating and assessing central banks' liquidity operations during the crisis that …, Canada and the United States are analyzed. During the crisis the liquidity operations of central banks have converged. In …
Persistent link: https://www.econbiz.de/10013130409
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LIBOR : origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10010393220
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Things Fall Apart : Fixed Income Markets in the COVID Crisis
O'Hara, Maureen; Zhou, Xing (Alex) - 2022
fragilities and interconnectedness that characterize the current fixed income market structure and their effects on liquidity …
Persistent link: https://www.econbiz.de/10014244860
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ESG and Bond Market Resilience : Evidence from the COVID Crisis
Chava, Sudheer; Efremenko, Polina; Salva, Carolina - 2023
We document a decline in CDS-bond basis during the COVID crisis for bonds issued by firms with high environmental and social (E&S) scores relative to bonds issued by low E&S firms. Bonds of high E&S firms experience lower selling pressure due to lower investor outflows from sustainability...
Persistent link: https://www.econbiz.de/10014350751