User profiles for Yalin Gündüz
Yalin GündüzDeutsche Bundesbank Verified email at bundesbank.de Cited by 412 |
Impacts of the financial crisis on eurozone sovereign CDS spreads
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 …
persistence and co-movements, with particular attention given to the impact of the financial …
The common drivers of default risk
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, …
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 …
global financial crisis and the European debt crisis. This paper analyzes a recent development …
The liquidity premium in CDS transaction prices: Do frictions matter?
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 …
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
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 …
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 …
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
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 …
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-…
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 …
risk frameworks. The literature differentiates between structural models that are based on …
Sovereign default swap market efficiency and country risk in the Eurozone
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 …
informational efficiency of the sovereign markets and persistency of country risks. Specifically, we …