Browsing BI Open by Author "Klingler, Sven"

Now showing items 1-5 of 5

    • Active Loan Trading 

      Fabozzi, Frank J.; Klingler, Sven; Mølgaard, Pia; Nielsen, Mads Stenbo (Journal article; Peer reviewed, 2020)
      Using a novel dataset of leveraged loan trades executed by managers of collateralized loan obligations (CLOs), we document the importance of “active loan trades” – trades executed at a manager’s discretion. More active ...

    • An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans 

      Klingler, Sven; Sundaresan, Suresh M. (Journal article; Peer reviewed, 2019)
      The 30‐year U.S. swap spreads have been negative since September 2008. We offer a novel explanation for this persistent anomaly. Through an illustrative model, we show that underfunded pension plans optimally use swaps for ...

    • Diminishing Treasury Convenience Premiums: Effects of Dealers' Excess Demand In Auctions 

      Klingler, Sven; Sundaresan, Suresh M. (Peer reviewed; Journal article, 2023)
      After the global financial crisis, the yields of U.S. Treasury bills frequently exceed other risk-free rate benchmarks, thereby pointing to a diminishing convenience premium. Constructing a new measure of dealers' balance ...

    • High Funding Risk and Low Hedge Fund Returns 

      Klingler, Sven (Journal article; Peer reviewed, 2022)
      I show that hedge funds with a high exposure to market-wide funding shocks—measured by changes in Libor-OIS spreads—subsequently underperform funds with a low exposure to market-wide funding shocks by 5.76% annually on a ...

    • Safe Haven CDS Premiums 

      Klingler, Sven; Lando, David (Journal article; Peer reviewed, 2018)
      Credit default swaps can be used to lower the capital requirements of dealer banks entering into uncollateralized derivatives positions with sovereigns. We show in a model that the regulatory incentive to obtain capital ...