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The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis
This Paper analyses the empirical relationship between credit default swap, bond and stock markets during the period 2000-02. Focusing on the intertemporal comovement, we examine weekly and daily
The Role of Non-Financial Factors on Internal Credit Ratings
Internal credit ratings are expected to gain in importance because of their potential use for determining regulatory capital adequacy and banks' increasing focus on the risk-return profile in
Trading Fast and Slow: Colocation and Liquidity
We exploit an optional colocation upgrade at NASDAQ OMX Stockholm to assess how speed affects market liquidity. Liquidity improves for the overall market and even for noncolocated trading entities.
The Benefits of Relationship Lending in a Cross-Country Context: A Meta-Analysis
A meta-analysis to summarize and explain the heterogeneity in the results in the literature using hand-collected information from 101 studies in the United States, Europe, Asia, and Latin America from 1970 to 2010 finds strong relationships are generally beneficial for borrowers, but lending outcomes differ across the relationships’ dimensions.
Credit Line Usage, Checking Account Activity, and Default Risk of Bank Borrowers
We investigate the link between account activity and information production on borrower quality. Based on a unique data set, we find that credit line usage, limit violations, and cash inflows exhibit