Narrow search
Showing 1 - 10 of 165
Cover Image
On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities
Renault, Olivier; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
n this paper we analyse recovery rates on defaulted bonds using the Standard and Poors / PMD database for the years 1981-1999. Due to the specific nature of the data (observations lie within 0 and 1), we must rely on nonstandard econometric techniques. The recovery rate density is estimated...
Persistent link: https://www.econbiz.de/10005858909
Cover Image
Optimal Portfolio Policies of Levered Investor in Presence of Default Risk
Saliasi, Entela - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper presents a utility-based approach to value the borrower optimal behavior in presence of credit risk. The paper solves for the dynamic portfolio choices of a borrower. We thereby show that the presence of debt leads to a substantial modification in the borrower's behavior across states...
Persistent link: https://www.econbiz.de/10005858580
Cover Image
A Simple Model of Credit Contagion
Eglo, Daniel; Leippold, Markus; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
We propose a simple and implementable model of credit contagion where we in-clude macro- and microstructural dependencies among the debtors within a creditportfolio. We show that, even for diversified portfolios, moderate microstructuraldependencies have already a significant impact on the tails...
Persistent link: https://www.econbiz.de/10005858362
Cover Image
Credit markets in transition : proceedings
1992
Persistent link: https://www.econbiz.de/10000860987
Cover Image
Game plans for the '90s : proceedings
1990
Persistent link: https://www.econbiz.de/10000861363
Cover Image
Proceedings of a Conference on Bank Structure and Competition
Conference on Bank Structure and Competition; Federal … - Chicago, Ill. : Bank - 11.1975-25.1989
Persistent link: https://www.econbiz.de/10000478796
Cover Image
Deregulation and the relationship between bank CEO compensation and risk-taking
Brewer, Elijah (contributor);  … - 2003 - [Elektronische Ressource]
-based component of bank CEO compensation contracts. We also examine the relationships between equity- based compensation and risk …, the equity- based component of bank CEO compensation increases significantly on average for the industry. Additionally, we … these relationships become more powerful in our post- deregulation period"--Federal Reserve Bank of Chicago web site …
Persistent link: https://www.econbiz.de/10001909521
Cover Image
Does bank concentration lead to concentration in industrial sectors?
Cetorelli, Nicola (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001658347