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Recovery rates, default probabilities and the credit cycle
Bruche, Max; Gonzalez-Aguado, Carlos - London School of Economics (LSE) - 2006
a model in which this dependence is the result of an unobserved credit cycle: When times are bad, the default … ignoring the dynamic nature of credit risk could lead to a severe underestimation of credit risk (e.g. by a factor of up to 1 ….7 in terms of the 95% VaR). Also, the model indicates that the credit cycle is related to but distinct from the business …
Persistent link: https://www.econbiz.de/10010746498
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A Reflection of History: Fluctuations in Greek Sovereign Risk between 1914 and 1929
Christodoulaki, Olga; Cho, Haeran; Fryzlewicz, Piotr - London School of Economics (LSE) - 2011
Time series of daily data for Greek sovereign risk have been compiled and analysed statistically to shed light on the way that historical events, including political and institutional changes, determined the creditworthiness of the Greek government on the London stock market from the start of...
Persistent link: https://www.econbiz.de/10010686659
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Currency crisis and collapse in interwar Greece: Predicament or Policy Failure?
Christodoulakis, Nicos - London School of Economics (LSE) - 2012
Greece in 1928 viewed the anchoring to the Gold Exchange Standard as the imperative choice of the time in order to implant financial credibility and carry over an ambitious plan of reforms to modernise the economy. But after the pound sterling exited the system in 1931, Greece, instead of...
Persistent link: https://www.econbiz.de/10010686678
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Currency crisis and collapse in interwar Greece: predicament or policy failure?
Christodoulakis, Nicos - London School of Economics (LSE) - 2012
Greece in 1928 viewed the anchoring to the Gold Exchange Standard as the imperative choice of the time in order to implant financial credibility and carry over an ambitious plan of reforms to modernise the economy. But after the pound sterling exited the system in 1931, Greece, instead of...
Persistent link: https://www.econbiz.de/10010745719
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Without purpose and strategy?: a spatio-functional analysis of the regional allocation of public investment in Greece
Monastiriotis, Vassilis; Psycharis, Yiannis - London School of Economics (LSE) - 2011
We utilise a large database on public investment at the prefecture (NUTS-3) level in Greece for the period 1976-2008 to examine the spatial and functional allocation of public investment in the country. We investigate the extent to which expenditures in different types of public investment are...
Persistent link: https://www.econbiz.de/10010745865
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A reflection of history: fluctuations in Greek sovereign risk between 1914 and 1929
Christodoulaki, Olga; Cho, Haeran; Fryzlewicz, Piotr - London School of Economics (LSE) - 2011
Time series of daily data for Greek sovereign risk have been compiled and analysed statistically to shed light on the way that historical events, including political and institutional changes, determined the creditworthiness of the Greek government on the London stock market from the start of...
Persistent link: https://www.econbiz.de/10010746222
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Unrealistic optimism: still a neglected trait
Coelho, Marta - London School of Economics (LSE) - 2010
trend of extending lending to business start-ups, on the grounds that it may create a real road to ruin. Originality …
Persistent link: https://www.econbiz.de/10011128050
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The European rescue of the Washington Consensus? EU and IMF lending to Central and Eastern European countries
Lütz, Susanne; Kranke, Matthias - London School of Economics (LSE) - 2010
preference for austerity in recent crisis lending. Though widely welcomed as overdue, the IMF’s shift away from what John …
Persistent link: https://www.econbiz.de/10011071093
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How to lose money in derivatives: examples from hedge funds and bank trading departments
Ziemba, Bill; Lleo, Sebastien - London School of Economics (LSE) - 2014
What makes futures hedge funds fail? The common ingredient is over betting and not being diversified in some bad scenarios that can lead to disaster. Once troubles arise, it is difficult to take the necessary actions that eliminate the problem. Moreover, many hedge fund operators tend not to...
Persistent link: https://www.econbiz.de/10011201256
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Systems and systemic risk in finance and economics
Zigrand, Jean-Pierre - London School of Economics (LSE) - 2014
This paper examines the concept of systemic risk and provides an intuitive account of the economic thought on systems and the development of the notion of systemic risk. It is illustrated by putting the ideas of system, systemic risk and endogenous risk in a historial perspective.
Persistent link: https://www.econbiz.de/10011201257