Swap markets
The Financial Crisis through the Lens of Foreign Exchange Swap Markets
... credit markets. The dislocation of these markets forced banks to seek alternative funding sources, with the strains most acute for institutions outside of the United States funding US dollar assets, ...
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Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets
... Resuming this section, the presented results imply that credit risk and illiquidity are positively correlated. This result is in line with the findings of Cherubini and DellaLunga (2001), Boss and Scheicher (2002), and ...
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Are European Corporate Bond and Default Swap Markets Segmented?
... The regression results show that liquidity is an important component in the bond yield spread. T- statistics of the liquidity variable are significant for 35 out of the 39 sample firms. For each firm, the root mean ...
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News-Specific Price Discovery in Credit Default Swap Markets
... The presence of a large group of uninformed participants in a market ought not have important efficiency implications if dealers are competitive. However, CDS dealers have market power for at least two reasons. First, ...
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Why is Price Discovery in Credit Default Swap Markets News-Specific?
... Our paper strikes a negative note on the efficiency of CDS markets. CDS markets are widely considered to be the most efficient means of pricing credit risk. As such, one would expect them to do also ...
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Is there a case for banning short speculation in sovereign bond markets?
... default swap markets could have the unintended consequences of reducing market liquidity, raising trading execution costs for investors who are not speculating, and lowering the quality of information ...
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IFC and Local Currency Financing
... IFC views local currency financing as part of sustainable private sector investment. Moreover, the availability of local currency financing is crucial for sectors that underpin devel- opment: infrastructure, housing and ...
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Proseminar Finance and Banking Summer Term 2012
... In order to gauge the probability of default, financial analysts use ratings as an indication of the creditworthiness of bond issuers. Rating agencies are major sources of financial information which mitigate problems of ...
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Dislocations in FX Swap and Money Markets in Hong Kong and Policy Actions during the Financial Crisis of 2008
... financial markets returned to normal to a certain ...FX swap markets to facilitate arbitrage ...the markets and thus removed the financial ...
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The Role of Credit Default Swaps on Financial Market Stability
... CDS markets is increasingly vital to survive financial ...default swap markets on financial market stability crucially depends on market mechanisms, and capital- liquidity requirements in financial ...
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Is default risk priced equally fast in the credit default swap and the stock markets?:An empirical investigation
... other markets, empirical evidence on the lead-lag relation between the stock and the CDS markets is still unclear ...stock markets? And (ii) is the lead-lag relation between the CDS and stock ...
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Process Map. McIntosh and Son. Wholegood Module Process Code: V130 Stock Unit Swap In/Out
... The Stock Units Swap window has a number of tabs, namely Swap Entry, Swap Out Invoice (active if the Swap Out radio button has been selected) and GL Transactions. The latter is a read o[r] ...
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Variance Risk Premia in Commodity Markets
... commodity markets. Moreover, we show that our synthetic swap rates are highly correlated with publicly available ...variance swap returns on twelve monthly dummies to purge out potential seasonal ...
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Essays on credit default swaps
... since summer 2007 the movements of macro and fiscal fundamentals explain spread movements well and in a way consistent with theoretical expectations. Explanatory variables include: 10 year government bond yield, S&P ...
238
Trends in the liquidity of Hungarian financial markets – What does the MNB’s new liquidity index show?
... financial markets, the liquidity index of the Hungarian financial markets concentrates on four major markets: the EUR/HUF spot foreign exchange market, the USD/HUF overnight FX swap market, ...
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PhD thesis on liquidity of bond market
... In the previous literature, empirical evidence is mixed. Ericsson et al. (2005) use a set of credit risk models to evaluate the price of credit default swaps as well as corporate bonds. They find that their models tend ...
236
Modeling Financial Swaps and Geophysical data Using the Barndorff-Nielsen and Shephard Model
... Gaussian processes driven by L´ evy process. These processes have significant potential as building blocks for stochastic models of time series in finance. Such models are mathematically tractable and it is possible to ...
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The Federal Government’s Use of Interest Rate Swaps and Currency Swaps
... Foreign currency swaps are made in a much more opportunistic fashion. Details on the operation of the government’s medium-term note and global bond programs are available in De Leon (2000–01), but generally the Bank of ...
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Energy Risk Professional ERP Exam Course Pack
... a swap dealer if it: (i) holds itself out as a dealer in swaps; (ii) makes a market in swaps; (iii) regularly enters into swaps as an ordinary course of business for its own account; or (iv) engages in any ...
210
CFTC and SEC Finalize Product Definitions Rules under Title VII of the Dodd-Frank Act
... a swap, but an instrument referencing the yield on a corporate note by reference to that note would be an ...a swap (assuming it does not otherwise reference a security, loan or narrow-based index) and not ...
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