This paper studies 'Stylised Facts' and 'Determinants' of short-and long-term CDS-spreads of banks. As short-term spreads we choose 6M-, as long-term spreads we choose 5Y-spreads. In the section 'Stylised Facts' we found that the correlation between short-and long-term spreads for the total...

We study how the exposure of fundamental and financial traders affects the futures curve of WTI oil and the market integration between WTI and Brent as measured by their price spread. To obtain a parsimonious representation of the futures curve, we decompose it into a level-, a slope- and a...

The objective of the report is to provide European Union (EU) policymakers with an actionable toolbox for how they can contribute to mobilising private finance for climate-friendly investments. Climatefriendly investments are defined as investments aligned with the transition to a low-carbon...

The work report first describes the current developments on the German market for nonperforming loans, which after its peak in spring 2007 is now also affected by the financial crisis. The sale of small and medium-size portfolios is described within the scope of a case study. Furthermore, the...

This working paper surveys theoretical and empirical work about market liquidity and market liquidity risk. It addresses interested practitioners as well as students who want to gain a quick overview about the latest progress in research in market liquidity.

Sovereign bonds are crucial for both sovereign funding and bank funding. Banks borrow in repo transactions against sovereign creditworthiness rather than their own creditworthiness. However, Basel III's current LCR does not protect banks against sovereign bond distress. Accordingly, currently...

Sovereign bonds are crucial for both sovereign funding and bank funding. Banks borrow in repo transactions against sovereign creditworthiness rather than their own creditworthiness. However, Basel III's current LCR does not address sovereign bond distress. Accordingly, currently compliant banks...

For more than 30 years, the world's main indices for oil prices – WTI in the US and Brent in Europe – have moved in sync. This changed dramatically in 2011, when WTI started trading at a considerable discount to Brent for almost five years. This disparity violated the “law of one price”...