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Acharya, Viral V.; Jager, Maximilian; Steffen, Sascha - National Bureau of Economic Research - 2023

Over the past two decades, banks have increasingly focused on offering contingent credit in the form of credit lines as a primary means of corporate borrowing. We review the existing body of research regarding the rationales for banks' provision of liquidity insurance in the form of credit...

Persistent link: https://www.econbiz.de/10014437040

Credit Default Swaps: A Survey

Augustin, Patrick; Subrahmanyam, Marti G.; Tang, Dragon … - In: Foundations and Trends(R) in Finance 9 (2014) 1-2, pp. 1-196

Credit default swaps (CDS) have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007–2009. We review the extant literature on CDS that has accumulated over the past two...

Persistent link: https://www.econbiz.de/10011103415

Estimating the joint tail risk under the filtered historical simulation : an application to the CCP's default and waterfall fund

Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les - 2015

To ensure that central counterparties (“CCPs”) are safe in all market conditions the European Union (EU) has adopted legislation, commonly known as the European Market Infrastructure Regulation (“EMIR”) that deals with their organisational requirements, including prudential requirements...

Persistent link: https://www.econbiz.de/10011296075

Does ownership affect the efficiency of african banks?

Figueira, Catarina; Nellis, J. G.; Parker, David - In: Journal of Developing Areas 40 (2006) 1, pp. 37-62

In the last few years, there has been an extensive debate as to whether ownership matters for bank performance in less … ownership enhances bank performance. Based on a range of performance ratios as well as parametric and non-parametric estimations …, where private ownership involves foreign ownership then this does seem to have a positive effect on bank performance. Both …

Persistent link: https://www.econbiz.de/10011213058

Aggregation of rating systems for emerging financial markets

Grishunin, Sergei; Dyachkova, Natalia; Karminsky, Alexander - In: Risk assessment and financial regulation in emerging …, (pp. 93-119). 2021

This paper examines the issues of the aggregation and comparison of the credit ratings of various economic agents for risk management purposes in a commercial bank. The empirical results of the study make it possible to increase the assessment of credit risks based on the constructed system of...

Persistent link: https://www.econbiz.de/10012591667

Cyclical default and recovery in stress testing loan losses

Jokivuolle, Esa; Virén, Matti - In: Journal of Financial Stability 9 (2013) 1, pp. 139-149

We present a macro variable-based empirical model for corporate bank loans’ credit risk. The model captures the well-known positive relationship between probability of default (PD) and loss given default (LGD; i.e., the inverse of recovery) and their counter-cyclical movement with the business...

Persistent link: https://www.econbiz.de/10010636145

Differential default risk among traditional and non-traditional mortgage products and capital adequacy standards

Lin, Che-Chun; Prather, Larry J.; Chu, Ting-Heng; Tsay, … - In: International Review of Financial Analysis 27 (2013) C, pp. 115-122

We develop a framework to quantify credit risks of non-traditional mortgage products (NMPs). Ex ante probabilities of default are caused by willingness-to-pay and ability-to-pay problems and the high default rates for NMPs confirm that payment shock is a critical default risk indicator. Monte...

Persistent link: https://www.econbiz.de/10010636494

Rollover Risk and Market Freezes

Acharya, Viral V; Gale, Douglas M; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2009

We consider the debt capacity of a risky asset when debt is being rolled over and there is a liquidation cost in case of default. We show that debt capacity depends on how information about the quality of the asset is revealed. When the information structure is based on “optimistic”...

Persistent link: https://www.econbiz.de/10004980204

Business credit information sharing and default risk of private firms

Dierkes, Maik; Erner, Carsten; Langer, Thomas; Norden, Lars - In: Journal of Banking & Finance 37 (2013) 8, pp. 2867-2878

We investigate whether and how business credit information sharing helps to better assess the default risk of private firms. Private firms represent an ideal testing ground because they are smaller, more informationally opaque, riskier, and more dependent on trade credit and bank loans than...

Persistent link: https://www.econbiz.de/10010679261

Laying off credit risk: Loan sales versus credit default swaps

Parlour, Christine A.; Winton, Andrew - In: Journal of Financial Economics 107 (2013) 1, pp. 25-45

How do markets for debt cash flow rights, with and without accompanying control rights, affect the efficiency of lending? A bank makes a loan, learns if it needs monitoring, and then decides whether to lay off credit risk. The bank can transfer credit risk by either selling the loan or buying a...

Persistent link: https://www.econbiz.de/10010593831

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