Credit Default Swaps

We examine the effects of "naked" credit default swaps on equilibrium debt contracts, project choice, and the likelihood of default when investors have heterogeneous beliefs about the future revenues of the borrower. Although such contracts are zero sum side bets, their existence can have important economic consequences. They induce investors who are most optimistic about the future revenues of borrowers, and would therefore be natural purchasers of debt, to sell credit protection instead. This diverts their capital away from potential borrowers and channels it into collateral to support speculative positions. The resulting shift in the terms of lending against borrowers can cause some projects with positive net present value to remain unfunded, or (in the presence of agency problems) to be replaced by riskier projects with negative net present value. It can also result in an increased likelihood of default and the selection of equilibria in which rollover risk is amplified. The efficiency effects of such contracts are generally ambiguous and belief-dependent, although we identify circumstances in which they result in an unambiguous efficiency loss.

The recent bailout of Invest Bank of Sharjah, UAE was a relatively discreet and undramatic affair. Capital and liquidity support were provided by the Sharjah Government and the Central Bank respectively after real-estate and construction asset quality pressures drove severe losses. Economic patriotism, as well as sector challenges around asset quality, growth, technology, regulatory and compliance costs are already driving consolidation and-like the Abu Dhabi Commercial Bank, Union National Bank and Al Hilal Bank deal-are made easier by common state shareholdings. For Invest Bank however, the reported merger failed to materialise and as per historical norms, the government stepped in-a theme incongruent with the Basel 3 themes of debt bail-ins. This note provides insights into ongoing M&A drivers, credit events and GCC government support dynamics.

This study determined to find the critical factors that affect the accessibility of credit by small scale dairy farmers in Trans Nzoia County of Kenya. A survey study design was used and the study purposively selected a sample size of 100 dairy farmers who were randomly selected. Main data collection tools used was close-ended questionnaires. The data was analyzed by use of descriptive statistics and then presented using tables, pie charts and graphs. The study findings depict a clear significance of this study in determining factors that affect borrowing characteristics of small scale dairy farmers in the county. Although an estimated 93% of the farmers engage in dairy farming for income purposes, only 25% earn 50% and above of their income from it. A multiple regression analysis to predict on factors affecting accessibility of credit depicted a statistically significantly value of, F (6,164) = 1.384, p < .0005, R2 = 0.048. All the variables had statistically significantly to th...

this may be of interest to those who have not seen our case. in 2015 i caused a Notice of Default to be filed against BONYM et al. It is in the case and filed into the country recorders. The Waiver of Tort was violated, leaving over 15 million dollars owed to my estate by the criminals and the judge over looked it, hence part of appeals. Give it a read if you like! It also has a UCC filed against it too, so go figure the county made it appear it was them against me, NOT!

Turkish banking system has re-emerged after the great 2001 Turkish financial crisis. After the crisis, many of small and primitive (rent-seeking) banks collapsed and banks’ assets/liabilities were transferred to the Saving Deposits Insurance Fund (SDIF). Some of these banks were sold, some of these banks were merged with public banks and others only were liquidated as part of Banking Sector Restructuring Program. Deposit banks’ number decreased from 79 in 2000 to 53 in 2002. These banks lost their legitimacy mainly because they had left their intermediate function and had financed government debt with open FX position. On the other hand, to a large extent they financed their non-financial companies with bank’s liabilities. Consequently, concentration rate of banking system increased in Turkey. This newly concentrated banking system tended to increase loans after the restructuring program. This mission is completed and banks has turned to their intermediation activities. However, loans amount have surpassed the deposits amount in the system

This Regular Economic Report (RER) covers economic developments, prospects, and policies in six South Eastern European countries (SEE6): Albania, Bosnia and Herzegovina, Kosovo, FYR Macedonia, Montenegro, and Serbia. The report is produced twice a year by staff of economists at the World Bank Europe and Central Asia Region Poverty Reduction and Economic Management Department (ECA PREM). The team of authors is led by Gallina Andronova Vincelette, Željko Bogetić, and Abebe Adugna; the following team members have thematic and/or country assignments: Simon Davies (fiscal and debt; and Bosnia and Herzegovina); Agim Demukaj (external sector; and Kosovo); Doerte Doemeland, Nikola Kojucharov, and Ivan Kusen (labor market; monetary policy; inflation developments); Raquel Letelier (financial sector); Anil Onal (database management; and Albania); Lazar Sestović (real sector; and Serbia); Sanja Madzarević-Sujster (Montenegro); Bojan Shimbov (financial sector, FYR Macedonia), Ekaterine Vashakmadze and Mizuho Kida (global developments and outlook); Maria Andreina Clower, Christopher Pala, and Budy Wirasmo provided invaluable assistance in editing and designing this report.

The Global Financial Crisis of 2008-2012 is widely considered to be second in severity to only the Great Depression of the 1930s. Sardonically coined as the ʻGreat Recessionʼ by commentators and media alike, what began as a housing crisis in the United States rapidly degenerated into a systemic mess that wrecked brand-name financial institutions, led to government bailouts and in some cases, liquidation. The crisis reduced consumer wealth in the region of trillions and sparked off a series of recessions in both the developed and developing world. In this essay I will look at the causes, evaluate the measures taken to contain it and examine some of the underlying discourses that plied the timeline of the recession.

The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry the names of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely those of the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank and its affiliated organizations, or those of the Executive Directors of the World Bank or the governments they represent.

This paper analyses the impacts of introduction of central counterparties (CCPs) on the credit default swaps (CDSs) market, particularly in the European domain. Our data collections are mainly retrieved from the secondary sources which we classify according to the domains such as Financial Institutions, Scientific Journals (i.e. Academic Scholars, Science Direct, etc.), and Online Newspaper. Using the qualitative content analysis, we assessed the content of more than 75 existing scientific journals/literature. Our findings in regard to the impacts of introduction of CCPs on CDSs market are that; (i) The total notional amount of single CDS contract decrease to some extent and one of the reasons is caused by the standardisation policy, (ii) The degree of counterparty risks reduce because the CCPs demand higher amount of collateral, (iii) Sensitivity of spreads level and liquidity fluctuate depending on the factors of microeconomic (e.g. degree of creditworthiness, spreads, etc.) and macroeconomics (e.g. interest rates, country risk). Even though the market participants are obliged to provide higher amount of collateral by the CCPs, and the effect spread level on liquidity are significant, we found that the introduction of CCPs on CDSs market to some extent, have decreased the financial risks and increased the transparency as compared to period where CDSs markets were traded through unregulated OTC derivatives.

Finansal piyasalardaki aktörler açısından risk son derece önemli bir kavramdır. Tüm finansal kuruluşların karşı karşıya olduğu temel risk faktörlerinden birisi kredi riskidir. Kredi riskinin piyasada görünür hale gelmesiyle birlikte bu riskten korunmayı sağlayacak finansal çözümler de geliştirilmeye başlanmıştır. Kredi türevleri, bu çözüm arayışları sonucu ortaya çıkmıştır. Kredi türevleri arasında en yaygın kullanılan sözleşmeler kredi temerrüt swaplarıdır (CDS). CDS' ler, en basit anlamıyla kredi riskine karşı yapılan bir sigorta işlemi olarak ifade edilebilir. Bu çalışmada kredi riskinden yola çıkılarak kredi risk yönetimi ve kredi riskini transfer edebilmek için kullanılan kredi temerrüt swapları detaylı bir şekilde incelenmiştir. Gelişmekte olan sekiz ekonominin dâhil edildiği çalışmada; Türkiye, Brezilya, Hindistan, Güney Afrika, Endonezya, Arjantin, Rusya ve Şili'den oluşan ülkelerin CDS primleri arasındaki nedensellik ilişkisi araştırılmıştır. Ocak 2008 – Aralık 2017 döneminde ülkelere ait 5 yıl vadeli CDS primlerinin incelendiği çalışmada; ülkelerin CDS primleri arasındaki etkileşim VAR modeli kapsamında Granger nedensellik analizi, etki-tepki fonksiyonu ve varyans ayrıştırması ile analiz edilmiştir. Çalışmanın sonuçlarına göre, gelişmekte olan ülkelerin CDS primleri arasında anlamlı nedensellik ilişkisi saptanmıştır.

Lo Stato, in misura e con velocità diversa da luogo a luogo, è oggetto di detronizzazione.
La sua sovranità politica si trova a fare i conti con un’altra sovranità che si va affermando, a prima vista irresistibilmente, perché su scala mondiale: è la sovranità dell’economia “finanziarizzata”.
Essa ha i suoi sudditi-cittadini, le sue istituzioni e la sua forza: una forza non politica, ma non per questo meno efficace nel condizionare la vita dei popoli.

There is a long history in social science that connects urbanization to capitalism. This entry discusses how the work of Manuel Castells and in particular David Harvey informs our understanding of the urbanization of financial crises in the United States and elsewhere. The concepts of capital switching and financialization are central to the argument presented here. The entry also includes a discussion of the management of the crisis, focusing on both the failed institutional response to the financial crisis and the global/local grassroots response to the financial crisis.

Using efficient market hypothesis and structural break frameworks, this paper examines insider  trading during the Ottoman sovereign default, as historical narratives claim information leakage.  If the narratives were true, informed traders would sell the Ottoman government’s bonds to avoid
excessive losses before the default, creating a negative price shock in case of market inefficiency. This paper employs the Ottoman General Debt Bond prices in İstanbul, London, and Paris compiled from Ottoman and European newspapers. The results do not confirm price shocks just  before the sovereign default announcement. Thus, investors seem to have anticipated the default  before its official declaration.

https://www.sciencedirect.com/science/article/abs/pii/S1544612322000836

We introduce the general arbitrage-free valuation framework for counterparty risk adjustments in presence of bilateral default risk, including default of the investor. We illustrate the symmetry in the valuation and show that the adjustment involves a long position in a put option plus a short position in a call option, both with zero strike and written on the residual net value of the contract at the relevant default times. We allow for correlation between the default times of the investor, counterparty and underlying portfolio risk factors. We use arbitrage-free stochastic dynamical models. We then specialize our analysis to Credit Default Swaps (CDS) as underlying portfolio, generalizing the work of Brigo and Chourdakis [10] who deal with unilateral and asymmetric counterparty risk. We introduce stochastic intensity models and a trivariate copula function on the default times exponential variables to model default dependence. Similarly to [10], we find that both default correlation and credit spread volatilities have a relevant and structured impact on the adjustment. Differently from [10], the two parties will now agree on the credit valuation adjustment. We study a case involving British Airways, Lehman Brothers and Royal Dutch Shell, illustrating the bilateral adjustments in concrete crisis situations.

Credit Risk Management has always been the key concern in financing with the commercial banks. Asset quality has to be kept in mind while bearing the various types of risks. Management of the assets bears a significant impact on liquidity vs. risk management. Post global financial crisis, Indian banks being in robust health can improve their performance through Credit Derivatives. Credit Default Swaps (CDS) can be an effective tool to reduce capital and release credit exposures to the counterparties. The authors have, through this paper, built upon the risks associated in the system, need for credit derivatives, prevention of naked exposures through Credit default swaps rather than using it as a hedging tool and have suggested guidelines to eliminate counterparty risk by bringing CDS under the ambit of exchanges. Keeping in view of the best market practices, the Central Bank also emphasized the use of Credit Default Swaps in the coming times enabling the banks to smoothen operational and regulatory requirements.

NOTICE OF MOTION AND MOTION FOR DEFAULT JUDGMENT 1 UNITED STATES BANKRUPTCY APPELLATE PANEL ( BAP ) NINTH DISTRICT OF CALIFORNIA. STILL REMAINS UNANSWERED DUE TO THE CORRUPTION IN THE COURTS OF CALIFORNIA. VIOLATION OF CONSTUTIONAL RIGHTS TO DUE PROCESS OF HOMEOWNER.

This article looks at the analysis of the Middle East and North American Countries (MENA Countries) Credit Default Swaps CDS Spread and the relationship they have with Government Bonds. The sample of data for this study comprises the monthly CDS spread and Government Bonds of Ten (10) MENA Countries from the period January 2005 to December 2015. The Ten main selected countries from MENA are (Bahrain, Turkey, Egypt, Saudi Arabia, Syria, Jordan, Morocco, Oman, United Arab Emirates, and Tunisia). Some of these Countries found themselves problematic with their public sector, in the early hours of the recent financial crisis/distress. The above countries were selected for this study due to the data availability under the study period. The researchers first compared the CDS spreads determinants and the government bonds and then test how the financial crisis has affected their market pricing. Secondly, we try to analyze the 'Basis' between the CDS Spreads and the Government bond to see if there exist a relationship or any serious effects between the Markets. The Vector Autoregression (VAR) model was used in the analysis. The Unit Root Test and the Granger Causality was also used to come out with a clear decision and conclusion about the relationships. We found out that CDS Prices Granger-Cause of the spreads affects the Government bonds. A feedback causality is also detected during the financial crisis and the economic turmoil period, therefore, signifying a high-risk aversion tends to baffle/perplex the mechanism of transmission between the CDS Spread and the Government bonds.

This paper investigates the dependence structure between default risk premium, equity return volatility and
jump risk in the equity market before and during the subprime crisis. Using iTraxx CDS index spreads from
Japanese and Australian markets, the paper models the different relationships that can exist in different
ranges of behavior. We consider several Archimedean copula models with different tail dependence structures,
namely, Gumbel, Clayton, Frank, AMH and Joe copulas. Although the dramatic change in the levels of
the iTraxx CDS index, we find strong evidence that the dependence structure between CDS and stock market
conditions is asymmetric and orienting toward the upper side. In addition, we find that the Japanese CDS
market is more sensitive to the stock return volatility than the jump risk and the magnitude of this sensitivity
is related to the market circumstances. However, Australian CDS market is more sensitive to the jump risk
than stock return volatility before and during the financial crisis. This result has important implications for
both global financial stability and default risk management. Specifically, the heterogeneity of markets,
coupled with the diversity in the risk exposures cause the default risk premium and equity markets to exhibit
different levels of sensitivity.

Recent studies suggested that financial markets correlations and volatilities change during crisis periods. This paper presents a practical framework to test the volatility of sovereign credit default market and sovereign bond market indexes during the sovereign crisis period. Furthermore, our research tests the dynamic relationship between the sovereign CDS market evolution and the sovereign bond market, based on a sample of 10 developed Eurozone countries. Then, we integrate the bond debt's sensitivity presented by its maturity, which is a line of research supported by previous studies. Our results show that both markets are sensitive to internal shocks. Moreover, the dynamic relationship between the two markets is more sensitive to negative information than positive information. Finally, maturity significantly affects the sensitivity of sovereign bonds to CDS market evolution. This study contributes to the empirical literature by presenting, to the best of our knowledge, an unprecedented empirical investigation of the sovereign bond maturity effect's sensitivity to the sovereign CDS market evolution.

We consider the standard Credit Default Swap (CDS) payoff and some alternative approximated versions, stemming from different conventions on the premium and protection legs. We consider standard running CDS (RCDS), upfront CDS and postponed-payments running CDS (PRCDS). Each different definition implies a different definition of forward CDS rate, which we consider with some detail. We introduce defaultable floating rate notes (FRN)'s. We point out which kind of CDS payoff produces a forward CDS rate that is equal to the fair spread in the considered defaultable FRN. An approximated equivalence between CDS's and defaultable FRN's is established, which allows to view CDS options as structurally similar to the optional component in defaultable callable notes. We briefly investigate the possibility to express forward CDS rates in terms of some basic rates and discuss a possible analogy with the LIBOR and swap default-free models. Finally, we discuss the change of numeraire approach for deriving a Black-like formula for CDS options or, equivalently, defaultable callable FRN's. We also introduce an analytical formula for CDS option prices under the CDS-calibrated SSRD stochastic-intensity model, and discuss the impact of the different CIR++ dynamics parameters on the related CDS options implied volatilities. Hints on possible methods for smile modeling of CDS options are given for possible future developments of the CDS option market. * The author is grateful to Aurélien Alfonsi, Massimo Morini, Marco Tarenghi and three anonymous Referees for helpful comments and correspondence.

The increasing portion of individuals' wealth in art sets the stage for art-backed lending services. Considering widely used credit default swaps, the paper applies the structure to art-backed loans and develops an extensive pricing model for the derivatives contract, explicitly taking art market characteristics into account. Using a CDS pricing methodology sheds light on current lending spreads and provides a risk management tool for art-backed lending institutions. At the same time, an introduced art credit default swap would offer an ability to transfer the lender's risk with respect to the art price. The results suggest that credit risk accounts for at most 50% of current art-backed lending spreads.

One of the most successful applications of Bayesian inference is the Kalman filter. Even if very simple, Kalman filtering may constitute a very powerful tool on a trading desk. Here we briefly discuss some of the issues concerning volatility filtering and then we apply a Kalman filter to estimate recursively a multi asset GARCH(1,1) model on realized credit volatility. We test the model both from a static “descriptive” point of view and from a dynamic “predictive” point of view. The fitted Kalman filter works very well for both applications. The procedure can be easily extended to more asset classes or to allow for more complex GARCH specifications.

A feature of credit markets is the large difference between probabilities of default calculated from historical data and probabilities of default implied from bond prices (or from credit default swaps). Consider, for example, a seven-year A-rated bond. As we will see the average probability of default backed out from the bond's price is almost ten times as great as that calculated from historical data.

In this paper we develop structural first passage models (AT1P and SBTV) with time-varying volatility and characterized by high tractability, moving from the original work of Tarenghi (2004, 2005) [19] and . The models can be calibrated exactly to credit spreads using efficient closed-form formulas for default probabilities. Default events are caused by the value of the firm assets hitting a safety threshold, which depends on the financial situation of the company and on market conditions. In AT1P this default barrier is deterministic. Instead SBTV assumes two possible scenarios for the initial level of the default barrier, for taking into account uncertainty on balance sheet information. While in and [15] the models are analyzed across Parmalat's history, here we apply the models to exact calibration of Lehman Credit Default Swap (CDS) data during the months preceding default, as the crisis unfolds. The results we obtain with AT1P and SBTV have reasonable economic interpretation, and are particularly realistic when SBTV is considered. The pricing of counterparty risk in an Equity Return Swap is a convenient application we consider, also to illustrate the interaction of our credit models with equity models in hybrid products context.

Bachelor's thesis
January 2015
Technical University of Munich,
Department for Mathematical Statistics

The paper starts with the mathematical fundamentals for random graphs and models for random graphs. Over the course of the paper, spotlight is on the 'Preferential Attachment Model'. The importance of its scale-free degree distribution in various real-world phenomena is emphasized. We then proceed to discuss the findings of a ECB researcher team who discovered a scale-free degree distribution in the network of global Credit-Default-Swap trades. Finally, we run through computational simulations of preferential attachment networks and discuss similarities to the CDS network.

Resumen: a pesar de que el Gobierno de España anunció el pasado 9 de junio su intención de recebar ayuda financiera de la Unión Europea (un " rescate " encubierto), puede afirmarse que España se encuentra inmersa en un proceso de rescate desde la crisis griega de 2010. La crisis de Bankia ha precipitado la solicitud formal del rescate y, según, nuestras previsiones, sólo será el anticipo de otro rescate de mayor cuantía y condicionalidad más dolorosa, ya que la ayuda a la banca puede impedir el cumplimiento del déficit pactado con la Comisión Europea. .

This paper uses a panel of annual observations for 198 banks in 19 Middle East and North Africa countries over 2001-12 to develop an early warning system for forecasting bank insolvency based on a multivariate logistic regression framework. The results show that the traditional CAMEL indicators are significant predictors of bank insolvency in the region. The predictive power of the model, both in-sample and out-of-sample, is reasonably good, as measured by the receiver operating characteristic curve. The findings of the paper suggest that banking supervision in the Middle East and North Africa could be strengthened by introducing a fundamentals-based, off-site monitoring system to assess the soundness of financial institutions.

This study was set to determine the critical factors that affect the accessibility of credit by small-scale dairy farmers in Trans Nzoia County of Kenya. This was through the establishment of factors influencing small scale dairy farmer’s decision in seeking credit services, evaluation of how collateral security requirements and lending procedures offered by financial institutions affects borrowing characteristics of small-scale dairy farmers in the county. A survey study design was used. The study purposively selected a sample size of 100 dairy farmers who were randomly selected. One region out of seven regions as per KDB geographical spread was selected and one factory from the region. Then 100 dairy farmers registered at the KCC factory were chosen randomly. The stratum was based on the sizes of dairy farms of the respondent. Twenty credit providers were selected using the list of Banks licensed to operate in Kenya and the SACCO‘s that provide credit to the small scale dairy farmers as per records available at KDB. Main data collection tools used were close-ended questionnaires. The data was analyzed by use of descriptive statistics. The study findings depict a clear significance of this study in determining factors that affect  borrowing characteristics of small-scale dairy farmers in the county. Although an estimated 93% of the farmers engage in dairy farming for income purposes, only 25% earn 50% and above of their income from it. A multiple regression analysis to predict on factors affecting accessibility of credit depicted a statistically significantly value of, F (6,164) = 1.384, p < .0005, R2 =0.048. All the variables were statistically significantly to the prediction variable, p < 0.05 apart from Account History variable which had a missing correlation. However, main factors that are highly linked to poor borrowing characteristics of this small scale dairy farmers include; Poor financial status, poor understanding of lending procedures and terms issued by financial institutions and lack of high-value collateral to guarantee them a high borrowing capacity. The study also depicts low market value of milk products as a reason behind the poor financial status of these farmers hence hindering their capacity to easily access credit services. There is a great significance of factors affecting credit accessibility by the small-scale dairy farmers in the area hence the need for prompt interventions. The study recommends solutions to the highlighted factors including enlightening these dairy farmers on the importance of accessing and utilizing credit services with an aim of improving their dairy farming capacity just like their counters who practice large scale. There is also need to improve infrastructure especially the roads and ICT so as to reach more farmers in remote areas. A ready expo-market should be created for milk out of the county. This shall enhance demand increase for dairy  products, hence enabling farmers to see the need to seek credit services. This is because the financial institution shall have the confidence of issuing loans to these farmers.

This paper aims to develop a multiple regression model for country risk assessment using its economic and political factor and analyze the effect of changes in these factors on risk ratings. The ratings are as per Standard & Poor’s sovereign foreign currency sovereign rating. The analysis is based on data for 28 Asian countries provided by some international organizations as well as data from various other trusted organizations.
This paper is an extension of the paper by Raluca, Zizi(2011) where we have included another political factor and removed a few factors, which we found to be highly correlated or data was not available for the countries in our analysis. The main motivation for including another political factor, i.e., coalition government was the current inefficiency observed in decision making in India leading to problems with Indian economy.

FULL TEXT DOWNLOAD in https://dx.doi.org/10.2139/ssrn.3723606

In the prolonged battle against european non-performing loans (NPLs) and systemic risk, Authorities have ultimately devised and made available to the affected credit institutions an additional resolution tool. Securitisation schemes, backed by a limited State guarantee, only for the senior tranche part under detailed conditions, have been legislated almost identically in Italy and Greece. Those “Asset Protection Schemes” are viewed as laboratory cases for a model co-investment (private-public) strategy, with the ambition to transform the EU banking environment and correct national NPL markets failures. The Article, originating from the distinctive implications of impaired loan portfolios’ securitisations, focuses on the contractual architecture of the Schemes and the roles of major contracting parties (originating credit institution, Issuer, Noteholders, Servicer, State, Rating Agency etc.). Funding of the portfolio acquisition is discussed from both legal and financial perspectives, revealing the important differences of securities tranches (senior, mezzanine, junior notes), their economic function and appeal to investors. Designated State involvement is depicted with emphasis on the legal nature and conditions of the offered “first-demand” guarantee, including its relevant remuneration. From the EU state-aid perspective, Schemes are assessed as aid-free measures, consistent with potential private operators’ commercial activity under normal market conditions. Such a conclusion is drawn after appraisal of model securitisation’s voluntary nature, risk allocation structure, a model-based approach for the calculation of State guarantee fee (factoring appropriate risk premia with adjusted benchmarking), and additional mechanisms to control and mitigate State’s risk.

Implementation of Schemes is advocated, on the condition that bank executives and board members comply with detailed organizational and procedural requirements of EU banking regulation, to ensure prudent risk management and financial stability. Competence of the Board and pursuit of corporate best interests are being challenged in cases of largest NPL securitisations, involving substantial bank assets which may provoke ample one-off accounting losses or even risk-weighted capital depletion. Sound business judgment is associated with an objective evaluation of existing NPL resolution alternative options, careful measurement of medium-to-long-term benefits of the cornerstone securitisation transaction along with its imminent consequences, risks, and inherently limited accessibility of the State guarantee regime. Due fulfillment of bank directors and executives’ obligations extends to the application of a coherent methodology in the preparation, structuring and execution of securitisations. They should apply a transparent and efficient investor-selection procedure, and employ internal resources and specialist financial and legal advisors to obtain expert advice on best calibration of securitisation particulars, fair and reasonable terms of the transaction, and to maximize total divestment proceeds. Legal agreements and related capital implications should be carefully and timely consulted with the Authorities, to ensure securitisation significant risk transfer recognition and avoid its potential adverse unwinding. Overall, transaction losses must prove proportionate to the deleverage benefits for the credit institution itself and the enhancement of financial stability. In those respects, the Article contributes to the evaluation of such newly established EU public policy measure for NPL resolution, particularly from the involved bank corporate and market participants’ perspective, along with its technical roadmap for due implementation.

Over the last few years populism has exploded across the globe and appears to be the
dominant political theme of the 21st century. As a result, fears of populist-induced market turmoil
exist in financial society and mainstream economic thinking, but are these fears based in reality
or only campaign rhetoric? Existing literature abounds in theories of populism and its messaging,
but relatively little research has been done to examine what happens when populists actually win
elections and come into power. Further, most analysis of financial markets and politics has been
conducted exclusively using the left-right spectrum and has not considered other paradigms. This
thesis strives to elucidate the relationship between populist governance and financial markets
through quantitative and qualitative means. The dataset consists of all populist governments in
Europe and Asia from 1990 to 2017 and uses a series of regression models to examine impact on
market returns, volatility, and credit default swap pricing. In the second section, case studies tell
the story of Junichiro Koizumi and Japan, Alexis Tsipras, SYRIZA, and Greece, and Narendra
Modi, the BJP and India. The results revealed that populist governance had a negative effect on
market returns, a negligible effect on volatility, and increased CDS pricing and the likelihood of
fiscal default when compared to non-populist governance. Additionally, individual instances of
populist governance have varying and unique degrees of impact on financial markets, but shared
governance themes arose, such as unprecedented and headline-grabbing policies, a love of
referendums, and centralization of power in the executive branch.

We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that, besides default correlation, which was taken into account in earlier approaches, we also model credit spread volatility. Stochastic intensity models are adopted for the default events, and defaults are connected through a copula function. We find that both default correlation and credit spread volatility have a relevant impact on the positive counterparty-risk credit valuation adjustment to be subtracted from the counterparty-risk free price. We analyze the pattern of such impacts as correlation and volatility change through some fundamental numerical examples, analyzing wrong-way risk in particular. Given the theoretical equivalence of the credit valuation adjustment with a contingent CDS, we are also proposing a methodology for valuation of contingent CDS on CDS.

A synopsis of the American Insurance Group (AIG) before and during the financial crisis is presented in this paper, financial analysis of the company's position revealed that the company was swamped in a pool of illiquidity amidst the market volatility and uncertainty. In an ever interconnected global financial world, AIG had to be rescued to avoid a catastrophic vicious circle of economic and corporate bankruptcy.

"ARE CREDIT SCORES RELIABLE"?  Credit Scoring, hasn't been around that long, but when evaluating risk, it is a tool that is used more frequently then most realized.  However, the real question that should be asked is, Do Credit Scores Affect Insurance & Lender Rates?  This paper not only asks this question, but it also answers it.

Bu çalışmanın amacı Türkiye özelinde CDS primleri, borsa endeksleri, tahvil faizleri ve döviz kuru arasındaki ilişkilerin analiz edilmesidir. Bu amaçla değişkenler arasındaki ilişkiyi tahmin edebilmek için 29.04.2018-22.11.2020 tarihleri arasındaki haftalık veriler kullanılmıştır. Çalışmada değişkenlerin durağanlıkları birim kök testleri ile analiz edilmiştir. Durağan olduğu sonucuna ulaşılan değişkenler arası nedensellik ilişkisi Toda-Yamamoto testi ile analiz edilmiştir. Elde edilen bulgulara göre BIST banka endeksi BIST Tüm, tahvil faizleri ve CDS primlerinin granger nedenidir. Ayrıca BIST Tüm ve döviz kurları arasında çift yönlü bir ilişki bulunmaktadır. Son olarak Zivot-Andrews testi sonuçlarına göre tahvil faizleri hariç tüm değişkenlerde Covid-19 hastalığının dünya sağlık örgütüne bildirildiği tarih olan 31.12.2019 tarihinden sonra kırılmalar meydana gelmektedir. Bu sonuçlar pandemi sonucunda BIST Banka endeksinde kırılmalar meydana geldiğini ve bu kırılmaların ise diğer BIST Tüm, tahvil faizleri ve CDS primlerinde değişmelere neden olduğunu göstermektedir.

The aim of this study is to analyze the relations between CDS spreads, stock market indices, bonds and exchange rates in Turkey. For this purpose, weekly data between 29.04.2018 -22.11.2020 were used to estimate the relationship between variables. In the study, the stationarities of variables were analyzed by unit root tests. The causality relationship between variables, which was concluded to be stationary, was analyzed by the Toda-Yamamoto test. According to the findings, the BIST Liquid Bank index is granger cause of BIST All Shares, bonds and CDS spreads. In addition, there is a bidirectional relationship between BIST All Shares and exchange rates. Finally, according to the results of the Zivot-Andrews test, structural breaks occur in all variables (except for bonds) after 31.12.2019, which is the date when the Covid-19 disease was reported to the world health organization. These results show that the breakdowns occurred in the BIST Bank index as a result of the pandemic, and these breakages caused changes in other BIST All Shares, bond rates and CDS spreads.

This chapter presents in a very concentrated manner the fundamentals of major legal instruments used in contemporary finance, notably futures and options. It also deals extremely succinctly with some aspects of monetary law and of cryptocurrencies.