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Macroeconomic dynamics and credit risk : a global perspective
Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - 2003
We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...
Persistent link: https://www.econbiz.de/10011508097
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Global business cycles and credit risk
Pesaran, M. Hashem (contributor);  … - 2005
risk factors. Using a global vector autoregressive macroeconometric model accounting for about 80% of world output, we …. We find that full firm-level parameter heterogeneity along with credit rating information matters a great deal for …
Persistent link: https://www.econbiz.de/10003201686
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Credit risk in general equilibrium
Eichberger, Jürgen; Rheinberger, Klaus; Summer, Martin - 2014
This paper contributes to the literature on default in general equilibrium. Borrowing and lending takes place via a clearing house (bank) which monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that is a direct generalization of the standard general...
Persistent link: https://www.econbiz.de/10010235825
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Optimal risk-sharing in mortgage contracts : the effects of potential prepayment and default
Brueckner, Jan K.; Lee, Kangoh - 2014
Much of the literature on the economics of mortgage markets has studied the FRM-ARM choice made by individual borrowers. However, to decide if the outcome of such a choice is efficient or approximately so, it is necessary to explore the question of optimal risk-sharing in mortgage contracts. But...
Persistent link: https://www.econbiz.de/10010412302
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A welfare analysis on start-up decisions under default risk
Comincioli, Nicola; Panteghini, Paolo; Vergalli, Sergio - 2021
This short article studies the tax effects on a start-up investment decision under uncertainty. Since the representative firm can decide both when to invest and how much to borrow, the distortive effects are twofold. We thus show that the deadweight loss (namely, the ratio between the welfare...
Persistent link: https://www.econbiz.de/10012698792
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Business tax policy under default risk
Comincioli, Nicola; Vergalli, Sergio; Panteghini, Paolo - 2019
In this article we use a stochastic model with one representative firm to study business tax policy under default risk. We will show that, for a given tax rate, the government has an incentive to reduce (increase) financial instability and default costs if its objective function is welfare (tax...
Persistent link: https://www.econbiz.de/10012024508
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Strategic complementarity, fragility, and regulation
Vives, Xavier - 2011 - Rev. May 2011
intermediary, parameters of the information structure (precisions of public and private information), and the level of stress … liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … fund managers are more conservative the liquidity requirement has to be strengthened while the solvency one relaxed. Higher …
Persistent link: https://www.econbiz.de/10009230899
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Country default risk : an empirical assessment
Stein, Jerome L.; Paladino, Giovanna - 2001
We provide benchmarks to evaluate what is an optimal foreign debt and a maximal foreign debt (debt-max), when risk is explicitly considered. When the actual debt exceeds debt-max, then the economy will default when a bad shock occurs. This paper is an application of the stochastic optimal...
Persistent link: https://www.econbiz.de/10011398652
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Analysing the determinants of credit risk for General Insurance firms in the UK
Caporale, Guglielmo Maria; Cerrato, Mario; Zhang, Xuan - 2016
This paper estimates a reduced-form model to assess the credit risk of General Insurance (GI) non-life firms in the UK. Compared to earlier studies, it uses a much larger sample including 30 years of data for 515 firms, and also considers a much wider set of possible determinants of credit risk....
Persistent link: https://www.econbiz.de/10011497884
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Firm heterogeneity and credit risk diversification
Hanson, Samuel G. (contributor);  … - 2005
This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...
Persistent link: https://www.econbiz.de/10003120648