Similar Search Results

The Pricing of Sovereign Risk and Contagion during the European Sovereign Debt Crisis

Beirne, John; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2012

The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the sensitivity of financial markets to fundamentals –...

Persistent link: https://www.econbiz.de/10011084109

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 2000-02. Focusing on the intertemporal comovement, we examine weekly and daily lead-lag relationships in a vector autoregressive model and the adjustment between markets caused by...

Persistent link: https://www.econbiz.de/10005662219

Understanding the Recovery Rates on Defaulted Securities

Acharya, Viral V; Bharath, Sreedhar T; Srinivasan, Anand - C.E.P.R. Discussion Papers - 2003

We document empirically the determinants of the observed recovery rates on defaulted securities in the United States over the period 1982–1999. The recovery rates are measured using the prices of defaulted securities at the time of default and at the time of emergence from default or from...

Persistent link: https://www.econbiz.de/10005666480

A Model of Credit Risk, Optimal Policies and Asset Prices

Basak, Suleyman; Shapiro, Alex - C.E.P.R. Discussion Papers - 2002

This Paper studies the optimal policies of borrowers (firms or individuals) who may default subject to default costs, and analyses the asset pricing implications. Borrowers defaulting under adverse economic conditions may, despite incurring default costs, emerge as wealthier than non-borrowers...

Persistent link: https://www.econbiz.de/10005788927

Loan Pricing Under Basel Capital Requirements

Repullo, Rafael; Suarez, Javier - C.E.P.R. Discussion Papers - 2003

consider a perfectly competitive market for business loans where, as in the model underlying the internal ratings based (IRB …

Persistent link: https://www.econbiz.de/10005792161

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

Credit Risk and Dynamic Capital Structure Choice

Dangl, Thomas; Zechner, Josef - C.E.P.R. Discussion Papers - 2003

This Paper analyses the effect of dynamic capital structure adjustments on credit risk. Firms may optimally adjust their leverage in response to stochastic changes in firm value. It is shown that capital structure dynamics lower optimal initial leverage ratios but increase both fair credit...

Persistent link: https://www.econbiz.de/10005123682

Economic and Regulatory Capital: What is the Difference?

Elizalde, Abel; Repullo, Rafael - C.E.P.R. Discussion Papers - 2004

This Paper analyses the determinants of regulatory capital (the minimum required by regulation) and economic capital (the capital that shareholders would choose in absence of regulation) in the context of the single risk factor model that underlies the New Basel Capital Accord (Basel II). The...

Persistent link: https://www.econbiz.de/10005123827

Does Competition Reduce the Risk of Bank Failure?

Martinez-Miera, David; Repullo, Rafael - C.E.P.R. Discussion Papers - 2008

A large theoretical literature shows that competition reduces banks' franchise values and induces them to take more risk. Recent research contradicts this result: When banks charge lower rates, their borrowers have an incentive to choose safer investments, so they will in turn be safer. However,...

Persistent link: https://www.econbiz.de/10005124382

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 … internal credit ratings merit not only a qualitative but also a quantitative analysis. Whereas the eligibility of financial … factors as inputs for credit ratings is widely accepted, the role of non-financial factors remains ambiguous. Analysing credit …

Persistent link: https://www.econbiz.de/10005067587