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Alarm System for Credit Losses Impairment

Salhi, Yahia; Thérond, Pierre-Emmanuel - HAL - 2014

The recent fi nancial crisis has lead the IASB to settle new reporting standards for fi nancial instruments. The extended ability to measure some debt instruments at amortized cost is associated with a new impairment losses mechanism: Expected Credit Losses. In this paper, after a brief...

Persistent link: https://www.econbiz.de/10010899862

Financial crashes versus liquidity trap : the dilemma of monetary policy

Giraud, Gaël - HAL - 2010

This paper considers a two-period monetary double auction with incomplete markets of securities and derivatives. Players may share heterogenous beliefs. Short positions in derivatives are constrained by collateral requirements. A central Bank stands ready to lend money or engage in...

Persistent link: https://www.econbiz.de/10010635211

Debt-Deflation versus the Liquidity Trap : the Dilemma of Nonconventional Monetary Policy

Giraud, Gaël; Pottier, Antonin - HAL - 2012

backed by collateral, the value of which depends on monetary policy. The decision to default is endogenous and depends on the … of monetary policy highlights the default channel affecting trades and production, and provides a rigorous foundation to …

Persistent link: https://www.econbiz.de/10011025794

Goodhart, Charles A.E. and Tsomocos, Dimitros P.: The challenge of financial stability: a new model and its applications

Chatelain, Jean-Bernard - HAL - 2013

Tsomocos D.P. highlights the potential of the framework of strategic partial default of banks with credit chain on the …

Persistent link: https://www.econbiz.de/10011025863

Oil prices and government bond risk premiums

Alexandre, Herve; De, Benoist Antonin - HAL - 2010

This article analyses the impact of oil price on bond risk premiums issued by emerging economies. No empirical study has yet focussed on the effects of the oil price on government bond risk premiums. We develop a model of credit spread with data from the EMBIG index of seventeen countries, from...

Persistent link: https://www.econbiz.de/10010935037

The sovereign default puzzle: Modelling issues and lessons for Europe

Cohen, Daniel; Villemot, Sébastien - HAL - 2012

Why do countries default? this seemingly simple question has yet to be adequately answered in the literature. Indeed …, prevailing modelling strategies compel the to choose between two enappealing model features: depending on the cost of default … selected by the modeler, either the debt ratios are too high and the probability of default is toot low or the opposite is true …

Persistent link: https://www.econbiz.de/10010738843