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Hedging European government bond portfolios during the recent sovereign debt crisis

Bessler, Wolfgang; Wolff, Dominik - In: Journal of international financial markets, … 33 (2014), pp. 379-399

Persistent link: https://www.econbiz.de/10011299815

Is Contagion Infecting Your Portfolio? A Study of the Euro Sovereign Debt Crisis

Baur, Dirk G. - 2017

For the euro debt crisis, we assess the relevance of financial contagion from an investor perspective. We find that contagion, which we identify through the joint occurrence of extremely negative bond returns, has only small and transitory effects on broad government bond portfolios. For...

Persistent link: https://www.econbiz.de/10012943596

The impact of sovereign debt ratings on euro area cross-border holdings of euro area sovereign debt

Haan, Leo de; Vermeulen, Robert - 2018

Persistent link: https://www.econbiz.de/10011948579

Sovereign debt ratings and the country composition of cross-border holdings of euro area sovereign debt

Haan, Leo de; Vermeulen, Robert - In: Journal of international money and finance 119 (2021), pp. 1-23

Persistent link: https://www.econbiz.de/10013284945

Repatriation of debt in the Euro crisis : evidence for the secondary market theory

Brutti, Filippo; Sauré, Philip - 2014

Persistent link: https://www.econbiz.de/10010351046

Insurers' investment strategies : pro- or countercyclical?

Rousová, Linda; Giuzio, Margherita - 2019

Traditionally, insurers are seen as stabilisers of financial markets that act countercyclically by buying assets whose price falls. Recent studies challenge this view by providing empirical evidence of procyclicality. This paper sheds new light on the underlying reasons for these opposing views....

Persistent link: https://www.econbiz.de/10012034502

Differential treatment in the bond market : sovereign risk and mutual fund portfolios

Converse, Nathan; Mallucci, Enrico - 2019

How does sovereign risk affect investors' behavior? We answer this question using a novel database that combines sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond mutual funds. We first show that changes in yields do not...

Persistent link: https://www.econbiz.de/10012126135

Gauging Liquidity Risk in Emerging Market Bond Index Funds

Darolles, Serge - 2017

ETFs and index funds have grown at very rapid rates in recent years. Originally launched to track some large liquid indices in developed markets, they now also concern less liquid asset classes such as emerging market bonds. Illiquidity certainly affects the quality of the replication, and in...

Persistent link: https://www.econbiz.de/10012943304

Basis Risk in Hedging a CDS Portfolio with Credit Indices

Chamizo, Alvaro - 2017

The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation … products break down. So, we provide an estimation of the basis risk that arises when hedging credit portfolios with different …

Persistent link: https://www.econbiz.de/10012970402

Integrated Dynamic Models for Hedging International Portfolio Risks

Topaloglou, Nikolas - 2018

We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options … single-stage model with currency options for selective hedging of FX risks, while market risk is addressed only through … risk management. Simultaneous hedging of market and FX risks using stock and currency options yields the best ex …

Persistent link: https://www.econbiz.de/10012924570