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Paskolos gavėjo kreditingumo įvertinimas
Aleknevičienė, Vilijatestas; Jatkūnaitė, Dalia - 2005
Rendering of the loans is one of the main activities of commercial banks, giving the largest income, but at the same … time raising the highest risk. Trying to avoid the risk of non-repayment of the loans, to insure the redemption of the loan … in time and to gain a profit as more as possible commercial banks should give the loans only to the reliable clients …
Persistent link: https://www.econbiz.de/10009478970
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The Transmission of Liquidity Shocks: The Role of Internal Capital Markets and Bank Funding Strategies
Karam, Philippe D; Merrouche, Ouarda; Souissi, Moez; … - International Monetary Fund (IMF) - 2014
We analyze the transmission of bank-specific liquidity shocks triggered by a credit rating downgrade through the lending channel. Using bank-level data for US Bank Holding Companies, we find that a credit rating downgrade is associated with an immediate and persistent decline in access to...
Persistent link: https://www.econbiz.de/10011105397
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A simple model of the financial crisis of 2007-9 with implications for the design of a stimulus package
Basu, Kaushik - 2009
The financial crisis of 2007-09 began as a local problem in the mortgage finance market in the United States and Europe but, within months, escalated into a general global financial crisis, resulting in collapsing investment not just in developed nations but also in Shanghai, Rio and Mumbai, and...
Persistent link: https://www.econbiz.de/10010292053
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Credit Risk Factor Modeling and the Basel II IRB Approach
Hamerle, Alfred; Liebig, Thilo; Rösch, Daniel - 2003
Default probabilities (PDs) and correlations play a crucial role in the New Basel Capital Accord. In commercial credit risk models they are an important constituent. Yet, modeling and estimation of PDs and correlations is still under active discussion. We show how the Basel II one factor model...
Persistent link: https://www.econbiz.de/10010295887
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Arbitraging the Basel securitization framework: Evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...
Persistent link: https://www.econbiz.de/10011390948
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CDOs and the Financial Crisis: Credit Ratings and Fair Premia
Wojtowicz, Marcin - 2011
This paper uses the market-standard Gaussian copula model to show that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. It implies that credit ratings are not sufficient for pricing, which is surprising given their central role in structured...
Persistent link: https://www.econbiz.de/10010326077
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Assessing the impact of credit ratings and economic performance on firm default
Bottazzi, Giulio; Grazzi, Marco; Secchi, Angelo; … - 2007
The study of firms' default has attracted wide interest among both practitioners and scholars. However, attention has often been limited to a relatively small set of financial variables. In this work, we try to increase the scope of analysis extending the investigation to other possible...
Persistent link: https://www.econbiz.de/10010328637
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The demise of bank-centered economy and increasing roles of credit rating in Japan
Yamori, Nobuyoshi; Asai, Yoshihiro - 2006
After the burst of the bubble economy, Japanese economy has been changed drastically. Traditionally, Japanese economy was characterized as a bank-centered economy, but the banking system did not function well in the 1990's. Responding to banking problems, the Japanese government initiated the...
Persistent link: https://www.econbiz.de/10010332333
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Credit ratings in the Japanese bond market
Yamori, Nobuyoshi; Nishigaki, Narunto; Asai, Yoshihiro - 2006
Recently, credit ratings have been enhancing the influence on issuers as well as the national economy. This paper explains the historical development and several current features of the Japanese bond market, and discusses why credit ratings gained a significant role in the 1990s. We also present...
Persistent link: https://www.econbiz.de/10010332394
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The signaling role of fiscal austerity
Gibert, Anna - 2016
I build a model where creditworthy countries may use fiscal austerity to communicate their ability to repay sovereign debt and show that the signaling channel is active only for high levels of asymmetric information. The model generates a negative association between the amount of public...
Persistent link: https://www.econbiz.de/10011567643