2 citations · 2 across the 2 of their papers we have counts for
4 papers
Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects
Wan-Chien Chiu, Juan Ignacio Peña, Chih-Wei Wang
We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically,…
Are all Credit Default Swap Databases equal?
Sergio Mayordomo, Juan Ignacio Peña, Eduardo S. Schwartz
We compare the five major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters, CMA, and Markit, using the most liquid single name 5-year CDS in the iTraxx and CDX…
Derivatives Holdings and Systemic Risk in the U.S. Banking Sector
Sergio Mayordomo, Maria Rodriguez-Moreno, Juan Ignacio Peña
Foreign exchange and credit derivatives increase the bank's contributions to systemic risk. Interest rate derivatives decrease it. The proportion of non-performing loans over total…
Credit Cycles, Securitization, and Credit Default Swaps
Juan Ignacio Peña
We present a limits-to-arbitrage model to study the impact of securitization, leverage and credit risk protection on the cyclicity of bank credit. In a stable bank credit situation…