The Risks And Benefits Of Credit Default Swaps And The Impact Of A New Regulatory Environment

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Seit dem Ausbruch der jüngsten Finanzkrise sind Credit Default Swaps (CDS) ins Rampenlicht des akademischen und medialen Interesses gerückt und bilden seitdem den Gegenstand einer kontroversen Diskussion. Auf Europäischer Ebene werden zudem neue regulatorische Rahmenbedingungen eingeführt, die weitreichende Auswirkungen auf den CDS Markt haben werden. Die angesprochenen Kontroversen sowie die bevorstehenden regulatorischen Veränderungen machen den CDS Markt daher zu einem spannenden und wichtigen Forschungsgegenstand. Die vorliegende Dissertation beschäftigt sich in vier Forschungsarbeiten mit den Implikationen des Einsatzes von CDS auf Marktteilnehmer und gibt im speziellen Antworten auf offene Fragen hinsichtlich der Anwendung von Kreditrisikomodellen, des Nutzens und der Risiken von CDS und den Auswirkungen neuer Regulierungen auf den CDS Markt. In Kapitel I werden die theoretischen Grundlagen zur Messung des Kreditrisikos gelegt, wobei der Fokus auf der praktischen Anwendung von Kreditrisikomodellen liegt. Hierbei untersuche ich die zwei gängigsten Kreditrisikomodelle: den firmenwertbasierten sowie den intensitätsbasierten Ansatz. Dabei gewinne ich wichtige Einblicke in den Einsatz von Kreditrisikomodellen im Zusammenhang mit der Nutzung von Kreditderivaten. In Kapitel II werden der Nutzen und die Risiken von CDS unter theoretischen und empirischen Gesichtspunkten einer Analyse unterzogen. Basierend auf der Analyse werden nachfolgend regulatorische Handlungsempfehlungen abgeleitet und diskutiert. Die Ergebnisse zeitigen eine Reihe von Risiken, die sich insbesondere in Krisenzeiten verstärken und daher effektivere zukünftige Regulierungen verlangen. Kapitel III konzentriert sich auf neue regulatorische Anforderungen im CDS Markt. Dabei liegt der Fokus auf der Ausgestaltung der Zentralen Gegenparteien und den Auswirkungen deren Einführung auf die Marktteilnehmer. Die Ergebnisse zeigen, dass Zentrale Gegenparteien ein.

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Genre : Credit derivatives
Author : Christoph Theis
Publisher : Haupt Verlag AG
Release : 2014
File : 152 Pages
ISBN-13 : 9783258078854


Credit Default Swap Markets In The Global Economy

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This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they were affected by the recent financial turmoil. The book uses empirical analysis on credit default swap markets, applying advanced econometric methodologies to the time series data. It covers not only well-studied sovereign credit default swap markets but also sector credit default swap indices (i.e., CDS index for the banking sector) and corporate credit default swap indices (i.e., Markit iTraxx Japan CDS index), which have not been fully examined by the previous literature. The book also investigates causality and co-movement among several credit default swap markets, or between CDS and other financial markets.

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Genre : Business & Economics
Author : Go Tamakoshi
Publisher : Routledge
Release : 2018-01-19
File : 170 Pages
ISBN-13 : 9781351997041


Building The New Derivatives Regulatory Framework

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Genre : Business & Economics
Author : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs
Publisher :
Release : 2011
File : 132 Pages
ISBN-13 : MINN:31951D035511740


Credit Default Swaps

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This book, unique in its composition, reviews the academic empirical literature on how CDSs actually work in practice, including during distressed times of market crises. It also discusses the mechanics of single-name and index CDSs, the theoretical costs and benefits of CDSs, as well as comprehensively summarizes the empirical evidence on important aspects of these instruments of risk transfer. Full-time academics, researchers at financial institutions, and students will benefit from the dispassionate and comprehensive summary of the academic literature; they can read this book instead of identifying, collecting, and reading the hundreds of academic articles on the important subject of credit risk transfer using derivatives and benefit from the synthesis of the literature provided.

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Genre : Business & Economics
Author : Christopher L. Culp
Publisher : Springer
Release : 2018-07-12
File : 356 Pages
ISBN-13 : 9783319930763


Hearing To Review Derivatives Legislation

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Genre : Business & Economics
Author : United States. Congress. House. Committee on Agriculture
Publisher :
Release : 2009
File : 300 Pages
ISBN-13 : UOM:39015090375570


Enhancing Investor Protection And The Regulation Of Securities Markets

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Genre : Global Financial Crisis, 2008-2009
Author : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs
Publisher :
Release : 2009
File : 356 Pages
ISBN-13 : PURD:32754081169348


Who S In Your Wallet

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Genre : Delegated legislation
Author : United States. Congress. House. Committee on Financial Services
Publisher :
Release : 2014
File : 636 Pages
ISBN-13 : MINN:31951D038031286


Policy Issues In Insurance The Impact Of The Financial Crisis On The Insurance Sector And Policy Responses

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This special report assesses the impact of the crisis on the insurance sector and reviews policy responses within OECD countries.

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Genre :
Author : OECD
Publisher : OECD Publishing
Release : 2011-01-28
File : 103 Pages
ISBN-13 : 9789264092211


Economics Of Banking The Fourth Edition

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The Economics of Banking (Fourth Edition) examines trends and operations in banking within a microeconomic framework. Covering a range of topics, including global trends in banking, theories of the banking firm, economics analysis of bank behaviour, and much more, this book addresses the need for a user-friendly and mathematically accessible textbook in this subject area.Each successful edition has expanded on new and emerging developments in global banking. This fourth edition explores the challenge of fintech and non-bank financing to the banking market. It examines the implications of the digitisation of the means of payment on the banking system, and the emergence of the digital bank. It also addresses recent developments in shadow banking (both globally and with a specific focus on China), P2P, Islamic banks and challenger banks. The section on credit rationing and credit pricing has been expanded to include additional material on the geography of credit allocation and spatial rationing. China features strongly in the updated material on bank efficiency and competition. Bank regulation has also been updated to examine the recent changes in global bank regulation and particularly the application of Basel III standards to China and other Asian economies.The Economics of Banking provides a sound theoretical basis for understanding bank behaviour, while requiring only a basic knowledge of microeconomics. The book is aimed at final year undergraduates undertaking a Banking & Finance degree, and to MBA and specialised PG degrees in Finance that include a Banking option.

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Genre : Business & Economics
Author : Kent Matthews
Publisher : World Scientific
Release : 2023-09-13
File : 536 Pages
ISBN-13 : 9789811275074


Sec Docket

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Genre : Securities
Author : United States. Securities and Exchange Commission
Publisher :
Release : 2009
File : 1176 Pages
ISBN-13 : OSU:32437121921395