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Sovereign bond-backed securities : a VAR-for-VaR and marginal expected shortfall assessment

Sola Perea, Maite de; Dunne, Peter G.; Puhl, Martin; … - 2018

The risk reducing benefits of the sovereign bond-backed security (SBBS) proposal of Brunnermeier et al (2011, 2016, 2017) have been assessed in terms of the likely losses that different kinds of holders would suffer under simulated default scenarios. However, the effects of mark-to-market losses...

Persistent link: https://www.econbiz.de/10011848354

Sovereign bond-backed securities : a VAR-for-VaR and Marginal Expected Shortfall assessment

Sola Perea, Maite de; Dunne, Peter G.; Puhl, Martin; … - 2018

Persistent link: https://www.econbiz.de/10012182320

An econometric assessment of the change in quality of the Irish gilt market since the introduction of market making

Dunne, Peter G. - In: The economic and social review 27 (1996) 5, pp. 457-466

Persistent link: https://www.econbiz.de/10001219150

Liquidity and tail-risk interdependencies in the euro area sovereign bond market

Clancy, Daragh; Dunne, Peter G.; Filiani, Pasquale - 2019

Persistent link: https://www.econbiz.de/10012194772

Liquidity and tail-risk interdependencies in the euro area sovereign bond market

Clancy, Daragh; Dunne, Peter G.; Filiani, Pasquale - 2019

Persistent link: https://www.econbiz.de/10012200502

How effective are sovereign bond-backed securities as a spillover prevention device?

Cronin, David; Dunne, Peter G. - In: Journal of international money and finance 96 (2019), pp. 49-66

Persistent link: https://www.econbiz.de/10012139607

Interest rate pass-through in Central and Eastern Europe : reborn from ashes merely to pass away?

Crespo Cuaresma, Jesús; Égert, Balázs; Reininger, Thomas - In: Focus on European economic integration (2006) 1, pp. 88-111

Persistent link: https://www.econbiz.de/10003361912

Interest rate pass-through in Central and Eastern Europe : reborn from ashes merely to pass away?

Égert, Balázs (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003402692

Interest rate pass-through in Central and Eastern Europe : reborn from ashes merely to pass away?

Égert, Balázs; Crespo Cuaresma, Jesús; Reininger, Thomas - In: Journal of policy modeling : JPMOD ; a social science … 29 (2007) 2, pp. 209-225

Persistent link: https://www.econbiz.de/10003457467

The influence of sovereign bond yields on bank lending rates: the pass-through in Europe

Eller, Markus; Reininger, Thomas - In: Focus on European economic integration (2016) 2, pp. 54-78

Persistent link: https://www.econbiz.de/10011672403

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