Browsing Publikasjoner fra CRIStin - BI by Author "Klingler, Sven"

Now showing items 1-3 of 3

    • 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 ...

    • 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 ...