The issue’s first paper looks at methodologies to measure spillover risks in European sovereign bond markets in the period 2004-15. Our second paper investigates European bond markets. Our final paper in this issue offers a promising new avenue of investigation...
This paper investigates European bond markets; looking at credit risk spillover effects between financial institutions and sovereigns in the euro area.
This paper develops methodologies to measure spillover risks in European sovereign bond markets in the period 2004–15.
French bank triumphs with bond repack
“Most arbitrage trading has simply ceased,” Goldman exec counters
Efficiency gains have kept capital supply up, but challenges remain
Banks would have to raise equity equal to 0.7% of current levels, ESRB finds
Extension of maturities and lower interest rates more likely
Senior risk manager says economy too fragile to remove filter
Basel report highlights overuse of standardised approach
Stress tests expose flaw in formula to calculate volatility adjustment
Some supervisors pressing firms to risk weight sovereign bonds
High yields and low volatility driving comeback from core-Europe firms
Banca d'Italia proposes to allow its banks to ignore some government bond volatility
Your word is my bond
Irish bank capital numbers would filter out unrealised gains and losses on government bonds
Fixed income ETF launched at a time of volatility in the Indonesian domestic market
This white paper deals with the implications of the case of NML Capital Ltd v Argentina. Although the decision applies specifically to sovereign debt contracts governed by New York law, it could have an impact on bondholders whose debt is not governed...
Behind-the-scenes clampdown sets loss-given-default floor at 45% – and could make UK bonds less attractive
Link-up will allow institutional fixed-income investors to apply ESG investment strategies to their bond portfolios
An auction to settle the Greek sovereign CDS goes smoothly, but some participants argue the documentation needs to be revisited