- This Is From The Wall Street Journal
- Momentum in Stock Market Returns: Implications for Risk Premia on Foreign Currencies
- Links
- DTCC Posts 6-Month Market Activity Snapshot on CDS Market
- Default in Today’s Advanced Economies: Unnecessary, Undesirable, and Unlikely
- The Impact of Banks’ Cumulative Reserve Position on Federal Funds Rate Behavior
- A Wolf in Sheep’s Clothing
- TBA Trading and Liquidity in the Agency MBS Market
- Impact of High and Growing Government Debt on Economic Growth
- Financial Amplification of Foreign Exchange Risk Premia
- The Central-Bank Balance Sheet as an Instrument of Monetary Policy
- Exorbitant Privilege and Exorbitant Duty
- The Information Value of the Stress Test and Bank Opacity
- Price of Risk—Recent Evidence from Large Financials
- Shadow Banking
- Summer Doldrums
- Credit Default Swaps: What Are the Social Benefits and Costs?
- The International Role of the Euro
- Chronicle of Currency Collapses: Re-Examining the Effects on Output
- The Paradox of Toil
- Links
- What the Fed Did and Why
- Markets and Government Before, During and After the 2007-20xx Crisis
- Detecting and Interpreting Financial Stress in the Euro Area
- Are We Building the Foundations for the Next Crisis Already? The Case of Central Clearing
- Links
- Links
- OIS Discounting
- Multimarket Trading and the Cost of Debt: Evidence from Global Bonds
- Is Economics Coursework, or Majoring in Economics, Associated with Different Civic Behaviors?
- China’s High Saving Rate: Myth and Reality
- Oil Spill
- Eurozone €440 Bln SPV Aid Fund
- ECB Financial Accounts and ECB Financial Strength
- Central Bank Swap Networks
- DTCC Posts CDS Market Activity Snapshot
- ECB: Financial Stability Review (June 2010)
- Global CDO Issuance by Transaction Structure
- Links
- TBAC Minutes: Sovereign CDS and Swap Spreads
- Goldman Sachs Underwriting Market Shares in Subprime RMBS and CDOs
- Abacus for Dummies
- The World’s Safest and Riskiest Sovereign Debt (Update)
- Increased Sovereign Risk Behind Negative Swap Spreads
- Haircuts
- Markets, Religion, Community Size, and the Evolution of Fairness and Punishment
- Beyond the Dollar: Rethinking the International Monetary System
- Links
- Amazing Discovery
- ABCP Outstanding: Still Crashing
Monthly Archives: March 2010
Increased Sovereign Risk Behind Negative Swap Spreads
A swap spread is the difference between a swap rate and government bonds. By construction swaps rates represent double AA credits , while government bonds represent the credit of the sovereign state. It has long been assumed that negative spreads … Continue reading
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Haircuts
Paper [BIS] Terms and conditions on secured lending transactions, as well as the changes to the eligible pool of collateral securities and the applicable haircuts on them, affect the access to credit and risk-taking behaviour of leveraged market participants. The … Continue reading
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Markets, Religion, Community Size, and the Evolution of Fairness and Punishment
Paper: Large-scale societies in which strangers regularly engage in mutually beneficial transactions are puzzling. The evolutionary mechanisms associated with kinship and reciprocity, which underpin much of primate sociality, do not readily extend to large unrelated groups. Theory suggests that the … Continue reading
Beyond the Dollar: Rethinking the International Monetary System
Good piece => the executive summary Key recommendations include: A multicurrency reserve system for a multipolar world economy Promote dialogue and policy coordination to provide stability, confidence and balanced adjustment Strengthen the role and legitimacy of international institutions, including how … Continue reading
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Links
How to give advice Transparency Isn’t Always a Good Thing, Barnier Says Many Calls for Avoiding a Repeat of Bank Bailouts Greenspan says, je regrette quelque chose Smaller banks expected to suffer from new regulations Rival warned regulators over Lehman, … Continue reading
Amazing Discovery
From gnome-land: Using a unique database that includes quarterly balance sheet information for listed banks operating in the European Union and the United States in the last decade, we find evidence that unusually low interest rates over an extended period … Continue reading
ABCP Outstanding: Still Crashing
Source: Asset-backed alert Related => here // Continue reading
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Greek Government Bond Market
Volume dropped in february: Trading volume on HDAT in February amounted to EUR 18.86 billion worth of transactions, compared with EUR 21.09 billion in January. The daily average turnover was EUR 992 million, compared with EUR 1.11 billion during the … Continue reading
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Links
Credit Models and the Crisis, or: How I learned to stop worrying and love the CDOs Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery Negative Probabilities in Financial Modeling Credit Calibration with Structural Models: The Lehman case … Continue reading
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