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Is a public regulation of food price volatility feasible in Africa? An arch approach in Kenya

D'Hôtel, Elodie Maître; Cotty, Tristan Le; Jayne, Thomas - HAL - 2012

institutional conditions of its implementation. Kenya is a particularly interesting case as it is characterized by a rather long … prices and prices volatility are jointly estimated, using monthly data over the 1994-2009 period in Kenya. …

Persistent link: https://www.econbiz.de/10010821035

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

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

An extension of Davis and Lo's contagion model

Rullière, Didier; Dorobantu, Diana; Cousin, Areski - HAL - 2013

The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of n firms which may default directly or may be infected by other defaulting firms (a domino effect being also...

Persistent link: https://www.econbiz.de/10010820749

Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Variance (PRV) Sur Les (Credit Default Swap)

Zgolli, Ghada - HAL - 2012

Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical determinants are variance risk premia, implied volatility and the...

Persistent link: https://www.econbiz.de/10010821297

An application to credit risk of a hybrid Monte Carlo-Optimal quantization method

Callegaro, Giorgia; Sagna, Abass - HAL - 2009

In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit defaul, under partial information. We consider the case when the firm's value is a non-observable stochastic process...

Persistent link: https://www.econbiz.de/10008793463

Credit derivatives: instruments of hedging and factors of instability. The example of “Credit Default Swaps” on French reference entities.

Rey, Nathalie - HAL - 2009

Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability. After describing the operating principles...

Persistent link: https://www.econbiz.de/10008793681

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