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| Author | : Ansgar Belke |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 2011 |
| Genre | : |
| ISBN | : 9783867882798 |
| Author | : Marti Subrahmanyam |
| Publisher | : Now Publishers |
| Total Pages | : 150 |
| Release | : 2014-12-19 |
| Genre | : Business & Economics |
| ISBN | : 9781601989000 |
Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007-2009. The authors review the extant literature on CDS that has accumulated over the past two decades and divide the survey into seven topics after providing a broad overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction to CDS contract definitions and conventions. The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles, structural, and reduced-form credit risk models. It also summarizes the literature on the determinants of CDS spreads, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses how the development of the CDS market has affected the characteristics of the bond and equity markets, with an emphasis on market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge between the pricing of the CDS and its reference bond, and the mispricing between the CDS and the equity market. The fifth section examines the effect of CDS trading on firms' credit and bankruptcy risk, and how it affects corporate financial policy, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS impact the economic incentives of financial intermediaries. The seventh section reviews the growing literature on sovereign CDS and highlights the major differences between the sovereign and corporate CDS markets. The eighth section discusses CDS indices, especially the role of synthetic CDS index products backed by residential mortgage-backed securities during the financial crisis. The authors close with our suggestions for promising future research directions on CDS contracts and markets.
| Author | : Xinjie Wang |
| Publisher | : |
| Total Pages | : 56 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
Using both market-wide and firm-level illiquidity measures of the stock, bond, and CDS markets, we find that the co-movements of illiquidity across markets increase significantly during the recent global financial crisis. Moreover, the degree of co-movements remains significantly higher in the post-crisis period and regulatory period than in the pre-crisis period. Specifically, the distribution of firm-level co-movements is notably different before and after the crisis (e.g., a much larger portion of firms with positive pairwise correlations between illiquidity measures in the post-crisis period than in the pre-crisis period). Our results provide suggestive evidence of the effects of financial crisis and the subsequent post-crisis regulations on the co-movements of illiquidity across markets.
| Author | : Sercan Eraslan |
| Publisher | : |
| Total Pages | : |
| Release | : 2017 |
| Genre | : |
| ISBN | : 9783957293701 |
| Author | : Robert A. Haugen |
| Publisher | : Pearson |
| Total Pages | : 170 |
| Release | : 1999 |
| Genre | : Business & Economics |
| ISBN | : |
It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.
| Author | : Hasan Baklaci |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
It is well-documented that financial markets become more integrated during turmoil periods. In addition, the recent global financial crisis has led to an in depth analysis and discussion of the pros and cons of derivative instruments, particularly credit default swaps, which are considered as the best proxy for firm and sovereign default risk. The aim of this study is to explore if default risk, represented by CDS spreads, is embedded in stock returns. Our main assertion rests on the idea that if CDS spreads proxy default risk, then it should have informational content for stock markets and should have a significant impact in price formation process. The analysis is conducted by using CDS Regional Index spreads and MSCI Regional Index values in Europe, Pacific Region and Emerging Markets. The results indicate that changes in CDS Regional Index spreads significantly impact stock indices within the same region as well as cross-regionally.
| Author | : Financial Crisis Inquiry Commission |
| Publisher | : Cosimo, Inc. |
| Total Pages | : 692 |
| Release | : 2011-05-01 |
| Genre | : Political Science |
| ISBN | : 1616405414 |
The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.
| Author | : |
| Publisher | : |
| Total Pages | : |
| Release | : 2001 |
| Genre | : Bonds |
| ISBN | : |
"We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991-98 period. We find that spread changes in one market are affected by lagged spread and volume changes in both markets. Further, spread and volume changes are predictable to a considerable degree using lagged market returns, lagged interest rates, lagged spreads, and lagged volume. During periods of financial crisis, stock and bond spreads and volume are more volatile and become more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity. Overall, this study deepens our understanding of the dynamics of liquidity in financial markets and suggests how asset allocation strategies might be designed to reduce trading costs"--Federal Reserve Bank of New York web site.
| Author | : Liang Ding |
| Publisher | : |
| Total Pages | : 101 |
| Release | : 2010 |
| Genre | : Financial crises |
| ISBN | : |
Financial markets demonstrate a large degree of comovement. Such comovement is important for a variety of investment and risk management decisions. This research is motivated by 2007-2008 financial turmoil. During the turmoil period, the markets co-move locally and globally, making it difficult for investors to hedge the risk. Although the cross market linkage is a topic of ongoing interest to researchers and practitioners, it seems that we are still in the preliminary stage to fully understand the cross market linkages, and even far away to prevent the crisis transmitting across markets. This dissertation attempts to answer two main questions, what are the major channels that link financial markets, and how those channels change in different periods. In this study, we examine two empirical tests on domestic markets and international markets linkage respectively. The first test focuses on the financial markets within U.S, and treats the stock, bond, CDS, stock option markets as a closely connected network. From 2004-2009, our tests find no evidence that static cross-market linkage becomes stronger in the crisis period than in the normal period. In terms of dynamic linkage, we find the information flow pattern become stronger in the crisis period. And we identify the role of volatility and liquidity in the financial network. The second test focuses on the international markets linkage using the derivatives market information. We use a family of volatility indexes from 1999-2009, including VIX, VSTOXX, VDAXNEW, VXJ, and VSMI, to filter the information diffusion through other channels. Therefore, the tests contribute a unique perspective to find out how the investors expect the interaction of the near-term volatility across U.S. and international markets. Our tests provide evidence that the linkages across corresponding markets are stable in the past decade. And we also find U.S. market plays a stronger role in a two way information flow structure with other markets through volatility linkage. The dissertation contributes a comprehensive research on the financial network linkage. The results obtained in this dissertation will improve our understanding of information diffusion process across financial markets and are expected to fill significant gaps in the current literature.
| Author | : Robert R. Johnson |
| Publisher | : |
| Total Pages | : |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
The present study examines bond market volatility and stock market volatility in Switzerland. Because of the significant impact that bond market volatility has been shown to have on yield spreads and security values, it is important for investors in the global marketplace to be informed of the volatility patterns in these markets as well as the relative volatility of the bond market to the stock market. While previous researchers have found that in the U.S. bond market volatility is increasing relative to stock market volatility, we find that the same cannot be said for the Swiss markets. In addition, the lack of a trend in the ratio of bondstock standard deviations and a negative trend in the correlations between stocks and bonds indicate that the effectiveness of bonds as diversification vehicles in Switzerland has not declined, but rather increased over time. This finding has implications for portfolio asset allocation decisions for global investors. The results of this study indicate that it is dangerous to assume that trends in market volatility are similar across the developed securities markets.
