User profiles for Yalin Gündüz

Yalin Gündüz

Deutsche Bundesbank
Verified email at bundesbank.de
Cited by 412

Impacts of the financial crisis on eurozone sovereign CDS spreads

Y Gündüz, O Kaya - Journal of International Money and Finance, 2014 - Elsevier
We study the variation of sovereign credit default swaps (CDSs) of eurozone countries, their
persistence and co-movements, with particular attention given to the impact of the financial …

The common drivers of default risk

C Memmel, Y Gündüz, P Raupach - Journal of Financial Stability, 2015 - Elsevier
Using a unique data set on German banks’ loans to the German real economy, we investigate
banks’ credit risk. This data set contains the volume of loans, and write-downs on loans, …

Will German banks earn their cost of capital?

A Dombret, Y Gündüz, J Rocholl - Contemporary Economic …, 2019 - Wiley Online Library
In recent years, the German banking sector has overcome major challenges such as the
global financial crisis and the European debt crisis. This paper analyzes a recent development …

The liquidity premium in CDS transaction prices: Do frictions matter?

M Gehde-Trapp, Y Gündüz, J Nasev - Journal of Banking & Finance, 2015 - Elsevier
Based on individual CDS transactions cleared by the Depository Trust & Clearing Corporation,
we show that illiquidity strongly affects credit default swap premiums. We identify the …

Bank use of sovereign CDS in the Eurozone crisis: Hedging and risk incentives

VV Acharya, Y Gündüz, TC Johnson - Journal of Financial Intermediation, 2022 - Elsevier
Using a comprehensive dataset from German banks, we document the usage of sovereign
credit default swaps (CDS) during the European sovereign debt crisis of 2008–2013. Banks …

Predicting credit default swap prices with financial and pure data-driven approaches

Y Gündüz, M Uhrig-Homburg - Quantitative Finance, 2011 - Taylor & Francis
The increasing popularity of credit default swaps (CDSs) necessitates understanding their
various features. In this study, we analyse the capability of CDSs in predicting CDS prices of …

CDS and credit: Testing the small bang theory of the financial universe with micro data

Y Gündüz, S Ongena, G Tumer-Alkan, Y Yu - 2017 - papers.ssrn.com
Does hedging motivate CDS trading and does that affect the availability of credit? To answer
these questions we couple comprehensive bank-firm level CDS trading data from the …

Trading credit default swaps via interdealer brokers

Y Gündüz, T Lüdecke, M Uhrig-Homburg - Journal of Financial Services …, 2007 - Springer
Credit default swaps (CDSs) are among the most successful financial innovations of recent
years, which is reflected in the rapidly expanding market. CDS trading occurs in the over-the-…

Does modeling framework matter? A comparative study of structural and reduced-form models

Y Gündüz, M Uhrig-Homburg - Review of Derivatives Research, 2014 - Springer
This study provides a rigorous empirical comparison of structural and reduced-form credit
risk frameworks. The literature differentiates between structural models that are based on …

Sovereign default swap market efficiency and country risk in the Eurozone

Y Gündüz, O Kaya - 2013 - papers.ssrn.com
This paper uses sovereign CDS spread changes and their volatilities as a proxy for the
informational efficiency of the sovereign markets and persistency of country risks. Specifically, we …