BUSCADOR RECOLECTA

A partir de la crisis subprime en 2007 y hasta la reciente crisis de deuda de la zona euro el sector bancario europeo ha experimentado una terrible situación de inestabilidad financiera traducida en un aumento de los niveles de los CDS (utilizados como aproximación del riesgo de crédito). Este trabajo investiga si los canales de transmisión de volatilidad en los mercados bancarios europeos han cambiado después de tres importantes eventos de crisis durante el período comprendido entre enero de 2006 y marzo de 2013. La crisis financiera global se ha caracterizado por un efecto spillover unidireccional de los shocks en volatilidad del riesgo de crédito desde el interior al exterior de la Eurozona. Por el contrario, la crisis de deuda de la Eurozona se revela como una crisis de naturaleza local con el euro como elemento clave, lo que deja de manifiesto la existencia de una fragmentación del mercado entre los países periféricos más castigados por la crisis y los países del centro de la Eurozona con menores dificultades, mientras que por otro lado, mantener la moneda local ha actuado como cortafuegos. Estos resultados arrojan luz sobre el impacto del riesgo de crédito bancario en Europa para diferentes estados de crisis financieras., From 2007 subprime crisis to the recent Eurozone debt crisis the European banking industry has experienced a terrible financial instability situation with increasing levels of CDS spreads (used as a proxy of credit risk). This paper investigates whether volatility transmission channels in European banking markets have changed after three significant crises’events during the period January 2006 to March 2013. The global financial crisis is characterized by a unidirectional volatility shocks spillovers effect in credit risk from inside to outside the Eurozone. By contrast, the Eurozone debt crisis is revealed to be local in nature with the euro as the key element suggesting a market fragmentation between distressed peripheral and non-distressed core Eurozone countries, where as retaining the local currency have acted as a firewall. With these findings we are able to shed light on the impact of the different crises on the European banking credit risk dynamics., L. Ballester would like to express her gratitude for the funding received from UV-INV-PRECOMP-80704 and A. González-Urteaga acknowledges financial support from ECO2012-35946-C02-01 and ECO2012-34268.

This is an accepted manuscript of an article published by Taylor & Francis in Quantitative Finance on August 2013, available online: http://dx.doi.org/10.1080/14697688.2013.771280, We propose a valuation framework for pricing European call warrants on the issuer's own stock that allows for debt in the issuer firm. In contrast to other works which also price warrants with dilution issued by levered firms, ours uses only observable variables. Thus, we extend the models of both Crouhy and Galai (1994) and Ukhov (2004). We provide numerical examples to study some implementation issues and to compare the model with existing ones., The authors acknowledge the financial support of the Spanish Ministry of Economy and Competitiveness (grants ECO2012-35946-C02-01 and ECO2012-34268)

This is an accepted manuscript of an article published by Taylor & Francis in Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad on September 2013, available online: http://dx.doi.org/10.1080/02102412.2014.942969, En el presente trabajo se analiza la relación entre el riesgo asimétrico, aproximado por las medidas de coasimetría y coasimetría idiosincrática, y el riesgo de insolvencia en el mercado de valores español. Se ha encontrado que aquellos títulos con mayor riesgo asimétrico proporcionan mayores rentabilidades durante el periodo considerado, en especial aquellos con valores positivos de la medida de coasimetría idiosincrática. Sin embargo, ni los factores de riesgo construidos en base a esta medida, ni el factor de riesgo de coasimetría proporcionan capacidad explicativa a las rentabilidades diferenciales de las carteras convencionales formadas por riesgo de insolvencia, siendo principalmente el factor tamaño (SMB) el que aporta explicación a dichas rentabilidades, tanto en periodos expansivos como durante el periodo de crisis financiera. Los factores de riesgo asimétrico únicamente presentan capacidad explicativa en el caso de carteras con riesgo de insolvencia más extremo y durante el periodo de crisis financiera internacional., This paper analyses the relationship between asymmetric risk, proxied by idiosyncratic
coskewness and coskewness measures, and default risk in the Spanish stock market.
We have found that those stocks with greater asymmetric risk provide higher returns
during the period considered, primarily those with positive idiosyncratic coskewness.
However, neither risk factors built based on this measure nor the risk factor for
coskewness provides explanatory power for the differential return between the portfolios
sorted on default risk. The size factor (SMB) exhibits some explanation power to
those returns, both in expansion periods and during the period of financial crisis.
Idiosyncratic coskewness risk factors show explanatory capacity only for extreme
default risk portfolios and during the international financial crisis period., Deseamos agradecer la ayuda financiera del Ministerio de Economía y Competividad (proyecto
ECO2012-35946-C02-01) y Ana Gonzalez-Urteaga al Ministerio de Economía y Competitividad
(proyecto ECO2012-34268).

El objetivo del presente trabajo es analizar en profundidad la transmisión del riesgo de
crédito, aproximado por los CDS spreads, en el sector bancario europeo durante el
periodo 2006-2012, intentando dar respuesta a diversas cuestiones: (i) ¿existe evidencia
de transmisión del riesgo de crédito entre las entidades financieras europeas de la
Eurozona y las que no pertenecen a dicha zona?, (ii) ¿es esta transmisión bidireccional
o unidireccional?, (iii) concretamente, ¿qué países han liderado dicha transmisión?, y
(iv) ¿cómo se ha visto afectada dicha transmisión con las recientes crisis financieras?
Los resultados indican un cambio significativo en la transmisión del riesgo de crédito
con el estallido de la crisis subprime, con un efecto notable proveniente de los bancos
de la Eurozona hacia los que no pertenecen a dicha zona., The aim of this paper is to analyse in depth the transmission of credit risk, approximated
by the CDS spreads, in the European banking sector during the period
2006–2012, attempting to respond to several questions: (i) is there any evidence of
credit risk transmission between the European financial institutions in the Eurozone
and those not belonging to this zone?, (ii) is this transmission bidirectional or unidirectional?,
(iii) specifically, what countries have led such transmission? and (iv) how
this transmission has been affected by the recent financial crisis? The results indicate a
significant change in credit risk transmission with the outbreak of the subprime crisis,
with a remarkable effect from the Eurozone banks to those not belonging to this zone., Los autores agradecen la financiación recibida de la Fundación Ramón Areces y A. González-Urteaga de ECO2012-35946-C02-01 y ECO2012-34268.

Understanding how contagion works among financial institutions is a top priority for regulators and policy makers who aim to foster financial stability and to prevent financial crises. Using bank credit default swap (CDS) data, we provide a framework for the evaluation of contagion among banks in different countries and regions during a period of prolonged financial distress. We measure contagion in terms of return spillovers, following a Generalized VAR (GVAR) approach. In addition, we propose an innovative framework to distinguish between two types of contagion: systematic (linked to global factors), and idiosyncratic (linked to bank specific factors). We find evidence of both types of contagion, although the spillover dynamics changed over time. Our measure of systematic contagion is always greater than the idiosyncratic component, thus highlighting the importance of common factors in the propagation of risk spillovers. This indicates that international linkages among banking markets are central to the transmission of shocks., Laura Ballester and Ana González-Urteaga would like to express their gratitude for the funding received from Fundación Ramón Areces. Ana González-Urteaga acknowledges financial support from ECO2012-34268, ECO2012-35946 and from Cass Business School under the Pump Priming Grant Scheme.

From the 2007 subprime crisis to the recent Eurozone debt crisis,the banking industry has experienced terrible financial instabilitywith increasing volatility levels of bank default probability. UsingEuropean CDS spreads data from January 2006 to March 2013, thispaper sheds light on the impact of three recent significant events ofcredit risk volatility transmission between, firstly, Eurozone andnon-Eurozone banks, and then between distressed peripheral andcore countries inside the Eurozone. We employ an asymmetricmultivariate BEKK model to measure cross-market volatility spil-lovers. We find that both recent crises are distinct episodes. Theglobal financial crisis that originated outside Europe is character-ized by unidirectional volatility spillovers in credit risk from insideto outside the Eurozone. By contrast, the Eurozone debt crisis isrevealed to be local in nature with the euro as the key element,suggesting a financial market fragmentation within the Eurozonebetween distressed peripheral and non-distressed core Eurozonecountries, whereas retaining the local currency has acted as afirewall., The authors would like to express their gratitude for the funding received from Fundación Ramón Areces. A. González-Urteaga acknowledges financial support from ECO2012-35946-C02-01 and ECO2012-34268.

In this paper we separate the total stock return into its continuous and jump component to test whether stock return predictability should be attributed to omitted risk factors or behavioral finance theories. We extend results from the US market to the Spanish stock market, which, despite being a developed market, presents several differences in terms of stock characteristics, financial system, investor typology and cultural dimensions. The results show that the jump component has significant explanatory power for the premium of three characteristics (size, book-to-market and illiquidity), which is at odds with risk-based explanations. Using the same testing strategy, we try to shed some light on an important controversy concerning the relationship between default risk and momentum. The results suggest that default risk is not the source of momentum returns., This paper has received financial support from
the Spanish Ministry of Economy and Competitiveness (ECO2012-
35946-C02-01). In addition, Ana González-Urteaga acknowledges financial
support from ECO2012-34268.

This paper analyzes the determinants of the cross-sectional variation of the average volatility risk premia for a representative set of portfolios sorted by volatility risk premium beta. The market volatility risk premium and, especially, the default premium are shown to be key risk factors in the cross-sectional variation of average volatility risk premium payoffs. The cross-sectional variation of risk premia seems to reflect a very different behavior of the underlying components of our sample portfolios with respect to credit or financial stress that generates a significant dispersion of the volatility swap pricing of these securities., The authors acknowledge financial support from the Ministry of Economics and Competitiveness through Grant ECO2012-34268. In addition, Gonzalo Rubio acknowledges financial support from Generalitat Valenciana Grant PROMETEOII/2013/015, and Ana González-Urteaga acknowledges financial support from the Ministry of Economics and Competitiveness through Grant ECO2012-35946.