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Iranzo, Silvia - Banco de España - 2008

Since the Latin American debt crisis of the early 80s, country risk analysis has accounted for a significant part of the work of research and risk management departments of banks, insurance companies, rating agencies, financial market regulators, and multinational companies. Country risk is a...

Persistent link: https://www.econbiz.de/10005022307

Recent episodes of sovereign debt restructurings. A case-study approach

Díaz-Cassou, Javier; Erce-Domínguez, Aitor; … - Banco de España - 2008

Sovereign debt restructurings do constitute a recurrent phenomenon in emerging and developing economies. Consequently, the international community has repeatedly explored options to increase the predictability and orderliness of debt workouts, of which the debate on the Sovereign Debt...

Persistent link: https://www.econbiz.de/10005163314

The role of the IMF in recent sovereign debt restructurings: Implications for the policy of lending into arrears

Díaz-Cassou, Javier; Erce-Domínguez, Aitor; … - Banco de España - 2008

This paper analyzes the role played by the IMF in eight recent sovereign debt restructurings from a comparative perspective: Argentina (2001-2005), the Dominican Republic (2004-2005), Ecuador (1999-2000), Pakistan (1998-2001), the Russian Federation (1998-2001), Serbia (2000-2004), Ukraine...

Persistent link: https://www.econbiz.de/10005590736

Disentangling contagion among sovereign cds spreads during the european debt crisis

Broto, Carmen; Perez-Quiros, Gabriel - Banco de España - 2013

During the last crisis, developed economies’ sovereign Credit Default Swap (hereafter CDS) premia have gained in …

Persistent link: https://www.econbiz.de/10010862250

Estimation of Regulatory Credit Risk Models

Montes, Carlos Pérez - Banco de España - 2013

effect of GDP growth and interbank rates on loan default rates. The estimated default correlation is low across … specifications. The model is also used to calculate the impact on the probabilities of default of stressed economic scenarios. …

Persistent link: https://www.econbiz.de/10010862283

Collateral, type of lender and relationship banking as determinants of credit risk

Jiménez, Gabriel; Saurina, Jesús - Banco de España - 2004

This paper analyses the determinants of the probability of default (PD) of bank loans. We focus the discussion on the …

Persistent link: https://www.econbiz.de/10005022225

Credit cycles, credit risk, and prudential regulation

Jiménez, Gabriel; Saurina, Jesús - Banco de España - 2005

This paper finds strong empirical support of a positive, although quite lagged, relationship between rapid credit growth and loan losses. Moreover, it contains empirical evidence of more lenient credit terms during boom periods, both in terms of screening of borrowers and in collateral...

Persistent link: https://www.econbiz.de/10005155236

Modeling the distribution of credit losses with observable and latent factors

Jiménez, Gabriel; Mencía, Javier - Banco de España - 2007

loans in a banking system. We consider a sectorial structure, where default frequencies and the total number of loans are … effects between sectors. In addition, we also model the distributions of the Exposure at Default and the Loss Given Default …. We apply our model to the Spanish credit market, where we find that sectorial default frequencies are affected by a …

Persistent link: https://www.econbiz.de/10005155254

Assessing the risk-return trade-off in loans portfolios

Mencía, Javier - Banco de España - 2009

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...

Persistent link: https://www.econbiz.de/10004969766

A systematic approach to multi-period stress testing of portfolio credit risk

Breuer, Thomas; Jandačka, Martin; Mencía, Javier; … - Banco de España - 2010

We propose a new method for analysing multiperiod stress scenarios for portfolio credit risk more systematically than in the current practice of macro stress testing. Our method quantifies the plausibility of scenarios by considering the distance of the stress scenario from an average scenario....

Persistent link: https://www.econbiz.de/10008471566