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Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market

Houweling, Patrick; Mentink, Albert; Vorst, Ton - EconWPA - 2002

We test whether liquidity is priced in the euro-denominated corporate bond market. We use the Arbitrage Pricing Theory … to control for other sources of risk. Yields are used to measure the bonds' expected returns and liquidity is … significant pricing anomalies due to liquidity exist for euro- denominated bonds. We find that the yield premium between liquid …

Persistent link: https://www.econbiz.de/10005413035

Zum Zusammenhang zwischen Bond-Credit Spreads und Ratings

Mergner, Sascha - EconWPA - 2005

Ziel der vorliegenden Arbeit ist eine empirische Analyse des Zusammenhangs zwischen Bond-Credit Spreads und Ratings. Anhand US- amerikanischer Unternehmensanleihen soll untersucht werden, welche Zusammenhänge an den Maerkten zu beobachten sind, welchen Veränderungen diese im Zeitablauf...

Persistent link: https://www.econbiz.de/10005077011

Spillovers across High Yield Markets

Moschitz, Julius - EconWPA - 2004

This paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly correlated. Therefore, investing in these different assets...

Persistent link: https://www.econbiz.de/10005413232

Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality

Benos, Alexandros; Papanastasopoulos, George - EconWPA - 2005

In this paper we have combined fundamental analysis and contingent claim analysis into a hybrid model of credit risk measurement. We have extended the standard Merton approach to estimate a new risk neutral distance to default metric, assuming a more complex capital structure, adjusting for...

Persistent link: https://www.econbiz.de/10005134687

Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation

Hayette, Gatfaoui - EconWPA - 2004

We extend the credit risk valuation framework introduced by Gatfaoui (2003) to stochastic volatility models. We state a general setting for valuing risky debt in the light of systematic risk and idiosyncratic risk, which are known to affect each risky asset in the financial market. The option...

Persistent link: https://www.econbiz.de/10005134708

Modeling the Credit Risk in Agricultural Mortgages: A Critical Review of the Farm Credit Administration’s Credit Risk Model for Farmer Mac

Kelly, Austin - EconWPA - 2004

Farmer Mac is the GSE charged with creating a secondary market in loans backed by agricultural real estate. The Farm Credit Administration (FCA) has estimated a credit risk model for agricultural mortgages. This model is a key determinant of Farmer Mac’s risk based capital (RBC) requirement....

Persistent link: https://www.econbiz.de/10005134719

Collateral-Based Lending in Emerging Markets: Evidence from Thailand

Menkhoff, Lukas; Neuberger, Doris; Suwanaporn, Chodechai - EconWPA - 2005

This paper examines the role and determinants of collateral in emerging markets compared to mature ones. Analyzing a data set of 560 credit files of Thai commercial banks, we find that both the incidence and degree of collateralization are higher there than in developed markets. Thai banks use...

Persistent link: https://www.econbiz.de/10005134744

The impact of the 1988 Basel Accord on banks' capital ratios and credit risk-taking: an international study

Roy, Patrick Van - EconWPA - 2005

The purpose of this paper is to see whether and how G-10 banks have complied with the 1988 Basel Accord. The interest of this study lies in the fact that the standardized approach to credit risk in the New Basel Accord is conceptually similar to the 1988 agreement. However, very little is known...

Persistent link: https://www.econbiz.de/10005134754

Credit Risk Modeling and the Term Structure of Credit Spreads

Chen, Li; Poor, H. Vincent - EconWPA - 2003

In this paper, by applying the potential approach to characterizing default risk, a class of simple affine and quadratic models is presented to provide a unifying framework of valuing both risk-free and defaultable bonds. It has been shown that the established models can accommodate the existing...

Persistent link: https://www.econbiz.de/10005134803

From Fault Tree to Credit Risk Assessment: A Case Study

GATFAOUI, Hayette - EconWPA - 2005

Reliability has been largely applied to industrial systems in order to study the various possibilities of systems’ failure. The goal is to establish the chain of events leading to any system’s failure, namely the top event. Looking for the minimal paths leading to any system’s fault allows...

Persistent link: https://www.econbiz.de/10005407916