Credit default swaps (CDS) have been growing in importance in the global financial
markets. However, their role has been hotly debated, in industry and academia, particularly …

This paper analyses the network structure of the credit default swap (CDS) market and its
determinants, using a unique dataset of bilateral notional exposures on 642 financial and …

We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …

Purpose This paper provides an objective approach based on available market information
capable of reducing subjectivity, inherently present in the process of expected loss …

This paper studies the dynamics of contagion across the banking, insurance and shadow
banking sectors of 18 advanced economies in the period 2006-2018. We construct Granger …

This paper proposes a central fiscal capacity for the euro area that generates transfers in
response to eurozone, country, and region-specific shocks. The main novelty of this fiscal …

The price determination of over-the-counter derivatives is a major concern for market
participants and policy makers since the recent global financial crisis, which triggered …

Based on a reduced-form model of credit risk, we explore mispricing in the credit default
swaps (CDS) spreads of North American companies and its economic content. Specifically …

This paper studies the dynamics of contagion across the banking, insurance and shadow
banking sectors of 16 advanced economies in the period 2006-2018. We construct Granger …

Abstract Under the International Financial Reporting Standard 9 framework, we analyze the
trade‐off of classifying a financial asset at amortized cost versus at fair value. Defining an …