Auflistung LIF-SAFE Working Papers nach Forschungsbereich "Systemic Risk Lab"
Anzeige der Dokumente 41-48 von 48
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The Anatomy of the Euro Area Interest Rate Swap Market
(2019-06-01)"Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the ... -
The Demand for Central Clearing: To Clear or Not to Clear, That is the Question
(2018-06-15)This paper is a first attempt at empirically analyzing whether post-crisis regulatory reforms developed by global-standard-setting bodies have created appropriate incentives to centrally clear Over-The-Counter (OTC) ... -
The Dynamics of Crises and the Equity Premium
(2015-05-18)It is a major challenge for asset pricing models to generate a high equity premium and a low risk-free rate while imposing realistic consumption dynamics. To address this issue, our paper proposes a novel pricing channel: ... -
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, ... -
The Pitfalls of Central Clearing in the Presence of Systematic Risk
(2018-11-08)Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for ... -
The Pricing Implications of Oligopolistic Securities Lending Market: A Beneficial Owner Perspective
(2018-06-15)In the last decade, central bank interventions, flights to safety, and the shift in derivatives clearing resulted in exceptionally high demand for high quality liquid assets, such as German treasuries, in the securities ... -
Trust in Government and Fiscal Adjustments
(2013-06-04)The paper looks at the determinants of fiscal adjustments as reflected in the primary surplus of countries. Our conjecture is that governments will usually find it more attractive to pursue fiscal adjustments in a situation ... -
Trust Me! I am a European Central Banker
(2012-06-01)In the aftermath of the financial crisis, the ECB has experienced an unprecedented deterioration in the level of trust. This raises the question as to what factors determine trust in central banking. We use a unique ...