This paper employs bond transaction data from 2002 and 2011 to investigate the trading activity and price dynamics of defaulted corporate bonds, aiming to shed light on the impact of financial distress on trading liquidity and market frictions. We find that, following default, bonds experience more active trading, wider bid-ask spreads, and a sharp drop in prices followed by price reversals. Fu...

Networks constructed from credit relationships in the interbank market have been found to exhibit disassortative mixing together with a scale-free degree distribution, in contrast to most social networks that are assortative and not necessarily scale-free. This provokes the question whether generating mechanisms for scale-free networks have enough flexibility to generate both assortative and di...

Rating agencies are often criticized for being biased in favor of borrowers, for being too slow to downgrade following credit quality deterioration, and for being oligopolists. Based on a model that takes into account the feedback effects of credit ratings, I show that: (i) rating agencies should focus not only on the accuracy of their ratings but also on the effects of their ratings on the pro...

Employing a unique data set for the period 2000-2010, this paper examines the impact of formal enforcement actions targeting the core of the banks’ financial safety and soundness in terms of bank capital, risk, and performance. We find that, on average, these actions reduce both the risk-weighted assets and the non-performing loans ratios of punished banks, but there is no increase in the level...

We report a preliminary evaluation of an immunoinhibition assay for creatine kinase isoform quantification. The procedure employs the monoclonal antibody CKM-G01, which inhibits the native M subunit of creatine kinase. The antibody does not inhibit the M subunit modified by removal of lysine by plasma carboxypeptidase N. Residual activity after treatment with the antibody is therefore due to se...

Abstract We provide the first systematic asset pricing analysis of one main safe categories, repurchase agreement (repo). Based on temporal and cross-sectional variation in short-term rates, we form a carry that, together with market factor, prices these near-money assets linear model. The depicts heterogeneity nonpecuniary convenience yields collateral increases safety premium liquidity reflec...

This paper studies a dynamic network economy where risk averse traders trade multi-laterally over the counter but cannot commit to fulfill their short positions. We show that, although the level of trade is below the first-best, bilateral clearing with collateral can provide an allocation superior to those without collateral. However, with use of collateral, the optimal bilateral clearing contr...

1. A biomarker is any substance, structure or process that can be measured in an organism, related to a specific exposure or effect or which can influence the incidence of the effect. Biomarkers can provide valuable information to aid chemical risk assessment processes and are used as investigative tools in both animal and human studies which aim to evaluate carcinogenic hazards and risk. The o...

We present a model in which a policymaker observes trade in a financial asset before deciding whether to intervene in the economy, for example by offering a bailout or monetary stimulus. Because an intervention erodes the value of private information, informed investors are reluctant to take short positions and selloffs are, therefore, less likely and less informative. The policymaker faces a t...

Failure in bank corporate governance has been seen as a contributing factor to excessive risk-taking pre-crisis with devastating implications as risks realised during the financial crisis. Unfortunately, the empirical evidence on the impact of managerial incentives on bank crisis performance is scarce. Moreover, bank strategy has not previously been accounted for. Hence, this paper presents nov...