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The Pricing of Interest Rate and Credit Risks in Equity Returns : An Empirical Cross-Country Comparison

Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

In this study, we examine whether changes in the investment opportunityset stemming from interest rate and credit risks are priced in the US, theUK and the Swiss equity premia by estimating both two-factor and three-factor versions of Mertons ICAPM. The systematic pricing of credit riskis...

Persistent link: https://www.econbiz.de/10005857973

Dependent Credit Migrations

Wendin, Jonathan; McNeil, Alexander J. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2005

This paper examines latent risk factors in models for migration risk. We employ thestandard statistical framework for ordered categorical variables and induce dependencebetween migrations by means of latent risk factors. By assuming a Markov process forthe dynamics of the latent factors, the...

Persistent link: https://www.econbiz.de/10005857974

Credit Risk and Substainable Debt: A Model and Estimationsof Why the Euro is Stable in the Long-Run

Semmler, Willi; Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

Sustainable debt has become a key issue in rating of private as well as sovereign debtors. The problem of how to estimate sustainable debt has also been at the center of debate over theAsian 1997-1998 financial crisis. If the external value of the currency depends on the external debt of a...

Persistent link: https://www.econbiz.de/10005858002

An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios

Burkhard, Jürg; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

mortgage servicing data set and compare the resulting loss distributions to a well-known benchmark, i.e. the loss distribution … mortgage portfolio are shown to be greatly sensitive to the prevailing socio-economic scenario. We present evidence that … aggregated res-idential mortgage default risk is not only driven by the rating but also by variables such as the loan …

Persistent link: https://www.econbiz.de/10005858102

Default-Risky Bond Prices with Jumps, Liquidity Risk and Heterogeneous Investors

Jeanblanc, Monique; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper develops a default-risky bond pricing model, which assumes that the default intensity is driven by a Markov chain and which accounts for default and liquidity risk. A representation of the bond price dynamics, which separates three different types of risk, was obtained. Introducing...

Persistent link: https://www.econbiz.de/10005858310

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

Partial Information and Default Hazard Process

Jeanblanc, Monique; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper studies in some examples the role of information in a default-risk framework. In a ﬁrst-passage model, we assume that investors obtain two types of information about the ﬁrms unlevered asset value at a discrete sequence of dates. The effects of information on the distributional...

Persistent link: https://www.econbiz.de/10005858364

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

Stock Market Performance andthe Term Structure of Credit Spreads

Demchuk, Andriy; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We build a two-factor structural model of default where the stock market index is one of the stochastic factors. In the model, we allow the firm to adjust its leverage in response to changes in the firm value and changes in the business climate, for which the return of the stock market index...

Persistent link: https://www.econbiz.de/10005858716

Spread term structure and and default correlation

Gagliardini, Patrick; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

The aim of this paper is to extend the results of Jarrow, Yu (2001) onthe spread term structures of corporate bonds. We first consider differentcharacterisations of these term structures, when the available informationcorresponds to the default histories of the firms. The approach is then...

Persistent link: https://www.econbiz.de/10005858852