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Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?
(2014-12-14)
We propose a novel approach on how to estimate systemic risk and identify its key determinants. For US financial companies with publicly traded equity options, we extract option-implied value-at-risks and measure the ...
Financial Regulation in the EU – Cross-Border Capital Flows, Systemic Risk and the European Banking Union as Reference Points for EU Financial Market Integration
(2014-06-01)
This is a chapter for a forthcoming volume Oxford Handbook of Financial Regulation (Oxford University Press 2014) (eds. Eilís Ferran, Niamh Moloney, and Jennifer Payne). It provides an overview of EU financial regulation ...
Financial Incentives and Loan Officer Behavior: Multitasking and Allocation of Effort Under an Incomplete Contract
(2017-10-10)
We investigate the implications of providing loan officers with a non-linear compensation structure that rewards loan volume and penalizes poor performance. Using a unique data set provided by a large international commercial ...
The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
(2016-10-01)
We show that property damages from weather-related natural disasters significantly weaken the stability of banks with business activities in affected regions, as reflected in lower z-scores, higher probabilities of default, ...
Liquidity provision: Normal times vs Crashes
(2019-10-29)
We study the role of various trader types in providing liquidity in spot and futures markets based on data from the National Stock Exchange of India for a single large stock. During normal times, short-term traders who ...
Collateral Eligibility of Corporate Debt in the Eurosystem
(2020-04-01)
We study how the Eurosystem Collateral Framework for corporate bonds helps the European Central Bank (ECB) fulfill its policy mandate. Using the ECBs eligibility list, we identify the first inclusion date of both bonds and ...
SDC
SDC Platinum provides reliable securities data from globally consistent, locally focused sources, backed by our international team of expert analysts. With thousands of data points across all asset classes, SDC Platinum's ...
Bloomberg
Bloomberg offers a wide range of data on the world's leading public and private companies. Bloomberg database components includes: Stock price data, CDS and bond data, calculated ratios, financial accounts information; ...
Compustat
Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies.
Markit
Markit Ltd. was a British financial information and services company with over 4,000 employees, founded in 2003 as an independent source of credit derivative pricing. The company provides independent data, trade processing ...