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A Model of Credit Risk, Optimal Policies and Asset Prices
Basak, Suleyman; Shapiro, Alex - C.E.P.R. Discussion Papers - 2002
and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider … attenuated (amplified) market volatility and risk premium, but the market value is always higher in economic downturns, and lower …
Persistent link: https://www.econbiz.de/10005788927
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Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis
Rose, Andrew K; Spiegel, Mark - C.E.P.R. Discussion Papers - 2011
transparency or illiquidity. However, several of the important announcements concerning the international swap programs …
Persistent link: https://www.econbiz.de/10009293988
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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
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Modeling default correlation in a US retail loan portfolio
Bams, Dennis; Pisa, Magdalena; Wolff, Christian C - C.E.P.R. Discussion Papers - 2012
This paper generalizes the existing asymptotic single-factor model to address issues related to industry heterogeneity, default clustering and parameter uncertainty of capital requirement in US retail loan portfolios. We argue that the Basel II capital requirement overstates the riskiness of...
Persistent link: https://www.econbiz.de/10011083415
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Sovereign credit ratings in the European Union: a model-based fiscal analysis
Polito, Vito; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2013
We propose a model-based measure of sovereign credit ratings derived solely from the fiscal position of a country: a forecast of its future debt liabilities, and its potential to use tax policy to repay these. We use this measure to calculate credit ratings for fourteen European countries over...
Persistent link: https://www.econbiz.de/10011083470
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Modelling the U.S. sovereign credit rating
Polito, Vito; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2012
A methodology for generating sovereign credit ratings based on macroeconomic theory is proposed. This is applied to quarterly U.S. data from 1970 to 2011. Over this period the official credit rating of U.S. Treasury securities has been of the highest quality. In contrast, the model-based measure...
Persistent link: https://www.econbiz.de/10011084723
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Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area
Fratzscher, Marcel; Rieth, Malte - C.E.P.R. Discussion Papers - 2015
The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using … risk and bank risk, with the former being overall more important in explaining bank risk, than vice versa. The paper … focuses specifically on the impact of non-standard monetary policy measures by the European Central Bank and on the effects of …
Persistent link: https://www.econbiz.de/10011145437
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The Role of Non-financial Factors in Internal Credit Ratings
Grunert, Jens; Norden, Lars; Weber, Martin - C.E.P.R. Discussion Papers - 2002
Internal credit ratings are expected to gain in importance because of their potential use for determining regulatory capital adequacy and banks’ increasing focus on the risk-return profile in commercial lending. Therefore, the components of internal credit ratings merit not only a qualitative...
Persistent link: https://www.econbiz.de/10005067587
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Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk?
Jiménez, Gabriel; Ongena, Steven; Peydró, José Luis; … - C.E.P.R. Discussion Papers - 2007
We investigate the impact of the stance and path of monetary policy on the level of credit risk of individual bank … loans and on lending standards. We employ the Credit Register of the Bank of Spain that contains detailed monthly … – generating almost twenty-three million bank loan records in total. Spanish monetary conditions were exogenously determined during …
Persistent link: https://www.econbiz.de/10005661943
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The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis
Norden, Lars; Weber, Martin - C.E.P.R. Discussion Papers - 2004
This Paper analyses the empirical relationship between credit default swap, bond and stock markets during the period … autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond … spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa …
Persistent link: https://www.econbiz.de/10005662219