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On the Self-Fulfilling Prophecy of Changes in Sovereign Ratings

Schumacher, Ingmar - HAL - 2012

We empirically investigate the dynamic interactions between sovereign ratings and the macroeconomic environment. We use a Panel VAR on annual data for European countries from 1986-2010. Our results provide evidence for a significant two-way interaction between the macroeconomic environment and...

Persistent link: https://www.econbiz.de/10009647502

Multinational Firm Behaviour under Country Risk In the riskiest Countries

Boujedra, Faouzi - HAL - 2011

This paper investigates the nature of the relationship between direct investment and country risk in southern countries, especially developing countries (vertical investment). Using a theoretical model, we show that a necessary condition exists and is sufficient for business risk to determine...

Persistent link: https://www.econbiz.de/10010575560

Non-Interest Income Activities and Bank Lending

Abedifar, Pejman; Molyneux, Philip; Tarazi, Amine - HAL - 2014

This paper investigates the impact of non-interest income businesses on bank lending. Using quarterly data on 8,287 U …

Persistent link: https://www.econbiz.de/10010930225

Inside the credit boom: Competition, Segmentation and Information - evidence from Serbian credit market

Dimitrijevic, Jasna; Najman, Boris - HAL - 2008

intermediation spreads). The sources of segmentation are in our case represented by funding costs and ultimately by bank ownership …. Using the GLS estimator on our panel dataset, we estimate the main determinants of bank interest margins as indicators of … market power on the individual bank level. Then we test the effect of foreign bank presence on overall asset quality. We use …

Persistent link: https://www.econbiz.de/10010750795

Credit Risk with asymmetric information on the default threshold

Hillairet, Caroline; Jiao, Ying - HAL - 2012

We study the impact of asymmetric information in a general credit model where the default is triggered when a fundamental diff usion process of the firm passes below a random threshold. Inspired by some recent technical default events during the fi nancial crisis, we consider the role of the...

Persistent link: https://www.econbiz.de/10010898449

Risk in Islamic Banking

Abedifar, Pejman; Molyneux, Philip; Tarazi, Amine - HAL - 2012

This paper investigates risk and stability features of Islamic banking using a sample of 553 banks from 24 countries between 1999 and 2009. Small Islamic banks that are leveraged or based in countries with predominantly Muslim populations have lower credit risk than conventional banks. In terms...

Persistent link: https://www.econbiz.de/10010899528

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

Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions

Guegan, Dominique; Hassani, Bertrand; Zhao, Xin - HAL - 2013

Assets, debts and other financial products issued by emerging countries are usually considered more speculative than those issued by developed economies. Therefore, relying on traditional rating agencies to invest in these countries is problematic as the information used to assess the economic...

Persistent link: https://www.econbiz.de/10011026098

Dynamic analysis of bankruptcy and economic waves

Peaucelle, Irina - HAL - 2005

The procedures presented in this paper provide a dynamic apparatus of crediting the industrial operating systems with the assignment to avoid their correlated defaulting, to conserve general safety and soundness and improve its ability to serve as a source for sustainable growth for economy. The...

Persistent link: https://www.econbiz.de/10010739000

Recovering portfolio default intensities implied by CDO quotes

Cont, Rama; Minca, Andreea - HAL - 2013

We propose a stable non-parametric algorithm for the calibration of pricing models for portfolio credit derivatives: given a set of observations of market spreads for CDO tranches, we construct a risk-neutral default intensity process for the portfolio underlying the CDO which matches these...

Persistent link: https://www.econbiz.de/10010631315