Yalin Gündüz

Deutsche Bundesbank

Financial Economist

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

16

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Top 30,341

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1,664

SSRN CITATIONS
Rank 29,274

SSRN RANKINGS

Top 29,274

in Total Papers Citations

5

CROSSREF CITATIONS

21

Scholarly Papers (16)

1.
Downloads 443 ( 70,352)
Citation 1

Mitigating Counterparty Risk

Number of pages: 44 Posted: 03 Sep 2015 Last Revised: 01 Dec 2018
Yalin Gündüz
Deutsche Bundesbank
Downloads 407 (77,129)
Citation 1

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Credit default swaps, DTCC, OTC markets, hedging, Basel III, CRR

Mitigating Counterparty Risk

Deutsche Bundesbank Discussion Paper No. 35/2018
Number of pages: 48 Posted: 26 Sep 2018 Last Revised: 21 Feb 2019
Yalin Gündüz
Deutsche Bundesbank
Downloads 36 (486,098)

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credit default swaps, DTCC, OTC markets, hedging, Basel III, CRR

CDS and Credit: After the Bangs Cheaper Credit Insurance, More Lending and Hedging

Number of pages: 61 Posted: 19 May 2015 Last Revised: 12 Jun 2020
Deutsche Bundesbank, University of Zurich - Department of Banking and Finance, Vrije Universiteit Amsterdam, School of Business and Economics and Shandong University
Downloads 275 (120,362)
Citation 1

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Credit default swaps, credit exposure, hedging, bank lending, Depository Trust and Clearing Corporation (DTCC)

CDS and Credit: Testing the Small Bang Theory of the Financial Universe with Micro Data

Bundesbank Discussion Paper No. 16/2017
Number of pages: 42 Posted: 27 Jun 2017
Deutsche Bundesbank, University of Zurich - Department of Banking and Finance, Vrije Universiteit Amsterdam, School of Business and Economics and Shandong University
Downloads 49 (429,756)

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credit default swaps, credit exposure, hedging, bank lending, Depository Trust and Clearing Corporation (DTCC)

3.

Sovereign Default Swap Market Efficiency and Country Risk in the Eurozone

Bundesbank Discussion Paper No. 08/2013
Number of pages: 53 Posted: 21 Jun 2016
Yalin Gündüz and Orcun Kaya
Deutsche Bundesbank and ZHAW School of Management and Law
Downloads 189 (173,513)

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credit default swaps, long memory, sovereign risk, eurozone economies, FIGARCH, dynamic conditional correlation

4.

Bank Use of Sovereign CDS in the Eurozone Crisis: Hedging and Risk Incentives

Number of pages: 53 Posted: 01 Dec 2016 Last Revised: 23 Sep 2018
Viral V. Acharya, Yalin Gündüz and Timothy C. Johnson
New York University - Leonard N. Stern School of Business, Deutsche Bundesbank and University of Illinois at Urbana-Champaign
Downloads 134 (231,890)
Citation 4

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Credit derivatives, Credit default swaps, Sovereign credit risk, Eurozone, Sovereign debt crisis, Depository Trust and Clearing Corporation (DTCC).

Market Transparency and the Marking Precision of Bond Mutual Fund Managers

Number of pages: 29 Posted: 24 Oct 2013
University of Kansas - School of Business, College of William and Mary - Mason School of Business, Deutsche Bundesbank and Raymond A. Mason School of Business - William & Mary
Downloads 84 (322,934)

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TRACE, CDS, bonds, transparency, marks

Market Transparency and the Marking Precision of Bond Mutual Fund Managers

Bundesbank Discussion Paper No. 09/2014
Number of pages: 33 Posted: 21 Jun 2016
University of Kansas - School of Business, College of William and Mary - Mason School of Business, Deutsche Bundesbank and Raymond A. Mason School of Business - William & Mary
Downloads 35 (490,964)

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TRACE, CDS, bonds, transparency, marks

6.

Lighting up the Dark: Liquidity in the German Corporate Bond Market

SAFE Working Paper No. 230
Number of pages: 61 Posted: 05 Oct 2018
Deutsche Bundesbank, Nova School of Business and Economics, Goethe University Frankfurt - Faculty of Economics and Business Administration, Deutsche Bundesbank and New York University (NYU) - Department of Finance
Downloads 116 (258,530)
Citation 1

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Corporate Bonds, WpHG, Liquidity, Transparency, OTC markets

7.
Downloads 95 (296,327)
Citation 3

Will German Banks Earn Their Cost of Capital?

Bundesbank Discussion Paper No. 01/2017
Posted: 02 Feb 2017
Andreas Dombret, Yalin Gündüz and Jörg Rocholl
Deutsche Bundesbank, Deutsche Bundesbank and ESMT European School of Management and Technology
Downloads 95 (298,526)

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German banking sector, low interest period, profitability, hidden and open reserves

Will German Banks Earn Their Cost of Capital?

Contemporary Economic Policy, Vol. 37, Issue 1, pp. 156-169, 2019
Number of pages: 14 Posted: 30 Nov 2018
Andreas Dombret, Yalin Gündüz and Jörg Rocholl
Deutsche Bundesbank, Deutsche Bundesbank and ESMT European School of Management and Technology
Downloads 0
Citation 2
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8.

Bank Use of Sovereign CDS in the Eurozone Crisis: Hedging and Risk Incentives

Deutsche Bundesbank Discussion Paper No. 26/2018
Number of pages: 53 Posted: 23 Aug 2018 Last Revised: 21 Feb 2019
Viral V. Acharya, Yalin Gündüz and Timothy C. Johnson
Government of India - Reserve Bank of India, Deutsche Bundesbank and University of Illinois at Urbana-Champaign
Downloads 63 (375,679)

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Credit derivatives, Credit default swaps, Sovereign credit risk, Eurozone, Sovereign debt crisis, Depository Trust and Clearing Corporation (DTCC)

9.

The Price Impact of CDS Trading

Bundesbank Discussion Paper No. 20/2013
Number of pages: 40 Posted: 21 Jun 2016
Yalin Gündüz, Julia Nasev and Monika Trapp
Deutsche Bundesbank, Ludwig-Maximilians-University Munich and affiliation not provided to SSRN
Downloads 59 (388,156)

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CDS, frictions, asymmetric information, inventory risk, market power

10.

Identifying Empty Creditors with a Shock and Micro-Data

Swiss Finance Institute Research Paper No. 20-15
Number of pages: 67 Posted: 11 Feb 2020 Last Revised: 24 Mar 2020
KU Leuven, Department Accounting, Finance and Insurance, Deutsche Bundesbank, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 36 (475,171)

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Empty creditors, default, bankruptcy, credit default swaps, micro-data

Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models

Bundesbank Series 2 Discussion Paper No. 2011,05
Number of pages: 64 Posted: 08 Jun 2016
Yalin Gündüz and Marliese Uhrig-Homburg
Deutsche Bundesbank and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 34 (495,995)

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credit risk, structural models, reduced-form models, default intensity, stationary leverage, credit default swaps

Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models

Review of Derivatives Research, Vol. 17, 2014
Posted: 19 Feb 2009 Last Revised: 20 Nov 2015
Yalin Gündüz and Marliese Uhrig-Homburg
Deutsche Bundesbank and Karlsruhe Institute of Technology (KIT) - Institute for Finance

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Credit risk, structural models, reduced-form models, default intensity, stationary leverage, credit default swaps

12.
Downloads 28 (514,705)
Citation 4

The Common Drivers of Default Risk

Bundesbank Discussion Paper No. 36/2012
Number of pages: 36 Posted: 21 Jun 2016
Christoph Memmel, Yalin Gündüz and Peter Raupach
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Research Department
Downloads 28 (529,068)

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credit risk, systematic risk, maturity, stress tests

The Common Drivers of Default Risk

Journal of Financial Stability, Vol. 16, 232-247
Posted: 02 May 2014 Last Revised: 26 Mar 2015
Christoph Memmel, Yalin Gündüz and Peter Raupach
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Research Department

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Credit risk, Systematic risk, Maturity, Stress tests

13.

Estimating Endogenous Liquidity Using Transaction and Order Book Information

Bundesbank Discussion Paper No. 34/2012
Number of pages: 40 Posted: 21 Jun 2016
Philippe Durand, Yalin Gündüz and Isabelle Thomazeau
Banque de France, Deutsche Bundesbank and Banque de France
Downloads 16 (588,119)

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Endogenous Liquidity, Volume Effect, Credit Default Swaps, Order Book

14.

The Market Impact of Systemic Risk Capital Surcharges

Deutsche Bundesbank Discussion Paper No. 09/2020
Number of pages: 37 Posted: 20 Apr 2020
Yalin Gündüz
Deutsche Bundesbank
Downloads 8 (642,587)

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Too-big-to-fail, CDS spreads, systemically important banks, G-SIBs, G-SIB capital surcharges

15.

Impacts of the Financial Crisis on Eurozone Sovereign CDS Spreads

Journal of International Money and Finance, Vol.49 (2014), 425-442.
Posted: 16 Apr 2013 Last Revised: 20 Jul 2016
Yalin Gündüz and Orcun Kaya
Deutsche Bundesbank and ZHAW School of Management and Law

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Credit default swaps, long memory, sovereign risk, eurozone economies, FIGARCH, dynamic conditional correlation

16.

Trading Credit Default Swaps Via Interdealer Brokers

Journal of Financial Services Research, Vol. 32, 2007
Posted: 12 May 2006 Last Revised: 18 Nov 2015
Deutsche Bundesbank, Karlsruhe Institute of Technology (KIT) - Institute for Finance and University of Karlsruhe (TH)

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Credit default swaps, market microstructure, over-the-counter trading, interdealer brokerage, liquidity