Details about Yalin Gündüz

Access statistics for papers by Yalin Gündüz.

Last updated 2024-07-05. Update your information in the RePEc Author Service.

Short-id: pgn13

Working Papers

2023

1. CDS and Credit: The Effect of the Bangs on Credit Insurance, Lending and Hedging
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2022

2. CDS market structure and bond spreads
   Discussion Papers, Deutsche Bundesbank
   Also in Working Papers, Swiss National Bank (2022)

2021

3. Bank Use of Sovereign CDS in the Eurozone Crisis: Hedging and Risk Incentives
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Discussion Papers, Deutsche Bundesbank (2018) View citations (5)
   See also Journal Article Bank use of sovereign CDS in the Eurozone crisis: Hedging and risk incentives, Journal of Financial Intermediation, Elsevier (2022) View citations (3) (2022)
4. CDS and Credit: After the Bangs Cheaper Credit Insurance, More Lending and Hedging
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
5. Identifying Empty Creditors with a Shock and Micro-Data
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Discussion Papers, Deutsche Bundesbank (2021)
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2020)
6. Lighting up the dark: Liquidity in the German corporate bond market
   Discussion Papers, Deutsche Bundesbank View citations (1)
   Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2018) View citations (6)

2020

7. The market impact of systemic risk capital surcharges
   Discussion Papers, Deutsche Bundesbank

2018

8. Mitigating counterparty risk
   Discussion Papers, Deutsche Bundesbank View citations (4)

2017

9. CDS and credit: Testing the small bang theory of the financial universe with micro data
   Discussion Papers, Deutsche Bundesbank View citations (6)
10. Will German banks earn their cost of capital?
    Discussion Papers, Deutsche Bundesbank View citations (7)
    See also Journal Article WILL GERMAN BANKS EARN THEIR COST OF CAPITAL?, Contemporary Economic Policy, Western Economic Association International (2019) View citations (7) (2019)

2015

11. The liquidity premium in CDS transaction prices: Do frictions matter?
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (23)
    See also Journal Article The liquidity premium in CDS transaction prices: Do frictions matter?, Journal of Banking & Finance, Elsevier (2015) View citations (23) (2015)

2014

12. Market transparency and the marking precision of bond mutual fund managers
    Discussion Papers, Deutsche Bundesbank
    Also in CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2014)
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2013) View citations (16)

2013

13. Sovereign default swap market efficiency and country risk in the eurozone
    Discussion Papers, Deutsche Bundesbank View citations (7)
14. The price impact of CDS trading
    Discussion Papers, Deutsche Bundesbank View citations (7)
    Also in CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2012)
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2013) View citations (7)

2012

15. Estimating endogenous liquidity using transaction and order book information
    Discussion Papers, Deutsche Bundesbank
    See also Chapter Estimating Endogenous Liquidity Using Transaction and Order Book Information, Palgrave Macmillan Books, Palgrave Macmillan (2013) (2013)
16. The common drivers of default risk
    Discussion Papers, Deutsche Bundesbank View citations (3)
    See also Journal Article The common drivers of default risk, Journal of Financial Stability, Elsevier (2015) View citations (18) (2015)

2011

17. Does modeling framework matter? A comparative study of structural and reduced-form models
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank
    See also Journal Article Does modeling framework matter? A comparative study of structural and reduced-form models, Review of Derivatives Research, Springer (2014) View citations (5) (2014)

Journal Articles

2022

1. Bank use of sovereign CDS in the Eurozone crisis: Hedging and risk incentives
   Journal of Financial Intermediation, 2022, 50, (C) View citations (3)
   See also Working Paper Bank Use of Sovereign CDS in the Eurozone Crisis: Hedging and Risk Incentives, CEPR Discussion Papers (2021) (2021)
2. Entropic characterization of Gross Domestic Product per capita (GDP) values of countries
   Physica A: Statistical Mechanics and its Applications, 2022, 603, (C)

2019

3. WILL GERMAN BANKS EARN THEIR COST OF CAPITAL?
   Contemporary Economic Policy, 2019, 37, (1), 156-169 View citations (7)
   See also Working Paper Will German banks earn their cost of capital?, Discussion Papers (2017) View citations (7) (2017)

2016

4. A thermodynamical view on asset pricing
   International Review of Financial Analysis, 2016, 47, (C), 310-327 View citations (1)

2015

5. The common drivers of default risk
   Journal of Financial Stability, 2015, 16, (C), 232-247 View citations (18)
   See also Working Paper The common drivers of default risk, Discussion Papers (2012) View citations (3) (2012)
6. The liquidity premium in CDS transaction prices: Do frictions matter?
   Journal of Banking & Finance, 2015, 61, (C), 184-205 View citations (23)
   See also Working Paper The liquidity premium in CDS transaction prices: Do frictions matter?, CFR Working Papers (2015) View citations (23) (2015)

2014

7. Does modeling framework matter? A comparative study of structural and reduced-form models
   Review of Derivatives Research, 2014, 17, (1), 39-78 View citations (5)
   See also Working Paper Does modeling framework matter? A comparative study of structural and reduced-form models, Discussion Paper Series 2: Banking and Financial Studies (2011) (2011)
8. Impacts of the financial crisis on eurozone sovereign CDS spreads
   Journal of International Money and Finance, 2014, 49, (PB), 425-442 View citations (21)

2011

9. Predicting credit default swap prices with financial and pure data-driven approaches
   Quantitative Finance, 2011, 11, (12), 1709-1727 View citations (8)

2010

10. Viscoelastic behavior of stock indices
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (24), 5776-5784

2007

11. Trading Credit Default Swaps via Interdealer Brokers
    Journal of Financial Services Research, 2007, 32, (3), 141-159 View citations (13)

Chapters

2013

1. Estimating Endogenous Liquidity Using Transaction and Order Book Information
   Palgrave Macmillan
   See also Working Paper Estimating endogenous liquidity using transaction and order book information, Deutsche Bundesbank (2012) (2012)