Refine
Year of publication
Document Type
- Working Paper (61) (remove)
Language
- English (61)
Has Fulltext
- yes (61)
Is part of the Bibliography
- no (61) (remove)
Keywords
- OTC markets (4)
- financial stability (4)
- Central Clearing (3)
- Counterparty Risk (3)
- Covid-19 (3)
- Credit Risk (3)
- Derivatives (3)
- Liquidity Provision (3)
- Loss Sharing (3)
- Sustainable Finance (3)
- Sustainable Investments (3)
- coronavirus (3)
- COVID-19 (2)
- Car Loans (2)
- Collateral (2)
- Corporate Bonds (2)
- Corporate Social Responsibility (2)
- ESG Rating Agencies (2)
- ETFs (2)
- Financial Crisis (2)
- Hawkes processes (2)
- High-Frequency Traders (HFTs) (2)
- Liquidity (2)
- Margin (2)
- Non-performing Loans (2)
- Price Discovery (2)
- Regulation (2)
- Sovereign Risk (2)
- Systematic Risk (2)
- banking (2)
- competition (2)
- Adverse Selection (1)
- Asset Allocation (1)
- Asset Liquidation (1)
- Asset Management Companies (1)
- Auditing (1)
- BRRD (1)
- Bailin (1)
- Bailout (1)
- Bank Bailout (1)
- Bank Capital (1)
- Bank Capitalization (1)
- Bank Recapitalization (1)
- Bank Resolution (1)
- Banking Union (1)
- Board Appointments (1)
- Business Cycle (1)
- CAPM (1)
- CCP (1)
- CDS (1)
- CMU (1)
- COVID-19 news (1)
- Capital Purchase Program (1)
- Central Counterparty Clearing House (CCP) (1)
- Centrality (1)
- Collateral Policy (1)
- Comovements (1)
- Contagion (1)
- Coronavirus (1)
- Corporate Debt Structure (1)
- Credit Default Swap (CDS) (1)
- Derivate (1)
- Designated Market Makers (DMMs) Market Making (1)
- Dictionary (1)
- Disclosure (1)
- Disintegration (1)
- Dividend Payments (1)
- ECB (1)
- ESG (1)
- ESG Investing (1)
- ESG ratings (1)
- Eligibility premium (1)
- Energy Efficiency (1)
- Environmental, social, and governance factors (ESG) (1)
- Equity fund (1)
- Euro-zone Government Bonds (1)
- European Market Infrastructure Regulation (EMIR) (1)
- Feedback (1)
- Financial Crises (1)
- Financial Stability (1)
- Financial stability (1)
- Fiscal Capacity (1)
- Fixed Income (1)
- Fixed-Income (1)
- Flash Crash (1)
- Forbearance (1)
- Frictions (1)
- High Frequency Data (1)
- High-Frequency Trading (HFT) (1)
- High-Level-Forum (1)
- High-frequency event study (1)
- Hybrid Markets (1)
- Impulse-response (1)
- Information Frictions (1)
- Insurance Companies (1)
- Interbank Markets (1)
- Interconnectedness (1)
- Interdealer Brokerage (1)
- Interim Report (1)
- Internal Controls (1)
- International Finance (1)
- Investor Protection (1)
- Investor sentiment (1)
- Jumps (1)
- Kontrahentenrisiko (1)
- LSTM neural networks (1)
- Leverage (1)
- Limits to Arbitrage (1)
- Liquidity Coinsurance (1)
- Liquidity provision (1)
- Low-emission vehicles (1)
- MTS Bond Market (1)
- Machine learning (1)
- Market Fragility (1)
- Market Integrity (1)
- Market Liquidity (1)
- Market Microstructure (1)
- Market Oversight (1)
- Market efficiency (1)
- Mitigation (1)
- Money Market (1)
- Mortgages (1)
- Mundellian trilemma (1)
- Mutually exciting processes (1)
- NLP (1)
- Network theory (1)
- OTC Markets (1)
- OTC derivatives (1)
- OTC-Märkte (1)
- Opening Auction (1)
- Opening Call Auction (1)
- P2P lending (1)
- Policy measures in the EU (1)
- Portfolio Management (1)
- Portfolio choice (1)
- Pre-Opening (1)
- Proprietary Trading (1)
- Public financial news (1)
- Quantitative Easing (1)
- Quantitative easing (1)
- Repo Specialness (1)
- Retail Challenge (1)
- Risk Pooling (1)
- Risk sharing (1)
- Russian Sanction (1)
- S&P 500 (1)
- SFDR (1)
- SIFI (1)
- SWIFT (1)
- Search Frictions (1)
- Secondary Loan Markets (1)
- Securitisation (1)
- Securitization (1)
- Sentiment Analysis (1)
- Sicherheitenmarge (1)
- Similarity (1)
- Slow-Moving Capital (1)
- Social media (1)
- Socially responsible investing (1)
- Sovereign (1)
- Sovereign credit risk (1)
- Sovereign risk (1)
- Stock Markets (1)
- Stock market (1)
- Supervisory Achitecture (1)
- Sustainabilty (1)
- Systematisches Risiko (1)
- Systemic risk (1)
- TARP (1)
- Taxonomie (1)
- Term Structure of Interest Rates (1)
- Transparency (1)
- Twitter (1)
- Unconventional Monetary policy (1)
- Venue Choice (1)
- Verlustbeteiligung (1)
- Wirecard (1)
- WpHG (1)
- Zentrales Clearing (1)
- assetbacked securities (1)
- bank lending (1)
- central counterparties (1)
- conventional monetary policy (1)
- credit risk (1)
- credit scoring (1)
- debt cost (1)
- derivatives (1)
- distress (1)
- equity (1)
- equity cost (1)
- event study (1)
- financial market data (1)
- financial market regulation (1)
- financial market supervision (1)
- flash crashes (1)
- fragmentation (1)
- hedging (1)
- high-frequency data (1)
- high-frequency traders (HFTs) (1)
- insurance industry (1)
- interconnections (1)
- interest rate risk (1)
- liquidity (1)
- liquidity provision (1)
- losses (1)
- market making (1)
- micro data transparency (1)
- monetary policy surprise (1)
- network (1)
- network analysis (1)
- pandemics (1)
- policy measures in the EU (1)
- portfolio management (1)
- probability of default (1)
- recapitalization (1)
- resiliency (1)
- risk management (1)
- risk sharing (1)
- small and medium enterprises (1)
- sovereign bonds (1)
- strategies (1)
- systematic risk (1)
- systemic risk (1)
- unconventional monetary policy (1)
- volatility (1)
Institute
- Sustainable Architecture for Finance in Europe (SAFE) (61) (remove)
In this study, we unpack the ESG ratings of four prominent agencies in Europe and find that (i) each single E, S, G pillar explains the overall ESG score differently,(ii) there is a low co-movement between the three E, S, G pillars and (iii) there are specific ESG Key Performance Indicators (KPIs) that are driving these ratings more than others. We argue that such discrepancies might mislead firms about their actual ESG status, potentially leading to cherry-picking areas for improvement, thus raising questions about the accuracy and effectiveness of ESG evaluations in both explaining sustainability and driving capital toward sustainable companies.
This paper addresses the need for transparent sustainability disclosure in the European Auto Asset-Backed Securities (ABS) market, a crucial element in achieving the EU's climate goals. It proposes the use of existing vehicle identifiers, the Type Approval Number (TAN) and the Type-Variant-Version Code (TVV), to integrate loan-level data with sustainability-related vehicle information from ancillary sources. While acknowledging certain challenges, the combined use of TAN and TVV is the optimal solution to allow all stakeholders to comprehensively assess the environmental characteristics of securitised exposure pools in terms of data protection, matching accuracy, and cost-effectiveness.
The SVB case is a wake-up call for Europe’s regulators as it demonstrates the destructive power of a bank-run: it undermines the role of loss absorbing capital, elbowing governments to bailout affected banks. Many types of bank management weaknesses, like excessive duration risk, may raise concerns of bank losses – but to serve as a run-trigger, there needs to be a large enough group of bank depositors that fails to be fully covered by a deposit insurance scheme. Latent run-risk is the root cause of inefficient liquidations, and we argue that a run on SVB assets could have been avoided altogether by a more thoughtful deposit insurance scheme, sharply distinguishing between loss absorbing capital (equity plus bail-in debt) and other liabilities which are deemed not to be bail-inable, namely demand deposits. These evidence-based insights have direct implications for Europe’s banking regulation, suggesting a minimum and a maximum for a banks’ loss absorption capacity.
This literature survey explores the potential avenues for the design of a green auto asset-backed security by focusing on the European auto securitization market. In this context, we examine the entire value chain of the securitization process to understand the incentives and interests involved at various stages of the transaction. We review recent regulatory developments, feasibility concerns, and potential designs of a sustainable securitization framework. Our study suggests that a Green Auto ABS should be based on both a green use of proceeds and a green collateral-based methodology.
We develop a quantity-driven general equilibrium model that integrates the term structure of interest rates with the repurchase agreements (repo) market to shed light on the com-bined effects of quantitative easing (QE) on the bond and money markets. We characterize in closed form the endogenous dynamic interaction between bond prices and repo rates, and show (i) that repo specialness dampens the impact of any given quantity of asset pur-chases due to QE on the slope of the term structure and (ii) that bond scarcity resulting from QE increases repo specialness, thus strengthening the local supply channel of QE.
This paper analyzes the current implementation status of sustainability and taxonomy-aligned disclosure under the Sustainable Finance Disclosure Regulation (SFDR) as well as the development of the SFDR categorization of funds offered via banks in Germany. Examining data provided by WM Group, which consists of more than 10,000 investment funds and 2,000 index funds between September 2022 and March 2023, we have observed a significant proportion of Article 9 (dark green) funds transitioning to Article 8 (light green) funds, particularly among index funds. As a consequence of this process, the profile of the SFDR classes has sharpened, which reflects an increased share of sustainable investments in the group of Article 9 funds. When differentiating between environmental and social investments, the share of environmental investments increased, but the share of social investments decreased in the group of Article 9 funds at the beginning of 2023. The share of taxonomy-aligned investments is very low, but slightly increasing for Article 9 funds. However, by March 2023 only around 1,000 funds have reported their sustainability proportions and this picture might change due to legal changes which require all funds in the scope of the SFDR to report these proportions in their annual reports being published after 1 January 2023.
Central clearing counterparties (CCPs) were established to mitigate default losses resulting from counterparty risk in derivatives markets. In a parsimonious model, we show that clearing benefits are distributed unevenly across market participants. Loss sharing rules determine who wins or loses from clearing. Current rules disproportionately benefit market participants with flat portfolios. Instead, those with directional portfolios are relatively worse off, consistent with their reluctance to voluntarily use central clearing. Alternative loss sharing rules can address cross-sectional disparities in clearing benefits. However, we show that CCPs may favor current rules to maximize fee income, with externalities on clearing participation.
To ensure the credibility of market discipline induced by bail-in, neither retail investors nor peer banks should appear prominently among the investor base of banks’ loss absorbing capital. Empirical evidence on bank-level data provided by the German Federal Financial Supervisory Authority raises a few red flags. Our list of policy recommendations encompasses disclosure policy, data sharing among supervisors, information transparency on holdings of bail-inable debt for all stakeholders, threshold values, and a well-defined upper limit for any bail-in activity. This document was provided by the Economic Governance Support Unit at the request of the ECON Committee.
This policy note summarizes our assessment of financial sanctions against Russia. We see an increase in sanctions severity starting from (1) the widely discussed SWIFT exclusions, followed by (2) blocking of correspondent banking relationships with Russian banks, including the Central Bank, alongside secondary sanctions, and (3) a full blacklisting of the ‘real’ export-import flows underlying the financial transactions. We assess option (1) as being less impactful than often believed yet sending a strong signal of EU unity; option (2) as an effective way to isolate the Russian banking system, particularly if secondary sanctions are in place, to avoid workarounds. Option (3) represents possibly the most effective way to apply economic and financial pressure, interrupting trade relationships.
This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on European governments obligations and derivatives. We split the 2019-2021 sample into three subperiods to appreciate changes in the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery occurs on the futures market, and document strong empirical support for liquidity spillovers both from the futures to the cash market as well as from the cash to the futures market.