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Updating the option implied probability of default methodology
Vilsmeier, Johannes - 2014
In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...
Persistent link: https://www.econbiz.de/10010471968
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The effect of bank shocks on firm-level and aggregate investment
Amador, João; Nagengast, Arne J. - 2016
one banking relationship as long as they account for only a small share of the total loan volume of their banks. The …
Persistent link: https://www.econbiz.de/10011495499
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What are the real effects of financial market liquidity? : evidence on bank lending from the euro area
Dombret, Andreas R.; Foos, Daniel; Pliszka, Kamil; … - 2018
on net interest income, as well as banks with a high funding liquidity are particularly strongly exposed to market …We analyze the impact of market liquidity on bank lending in the euro area for different segments over the period 2003 … to 2016. Our results on the aggregate level show that market liquidity is positively related to loan volumes and …
Persistent link: https://www.econbiz.de/10011897986
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Redemptions and asset liquidations in corporate bond funds
Dötz, Niko; Weth, Mark - 2019
Mutual funds' exposure to corporate bonds has brought concerns about risks arising from liquidity transformation back … to the fore. With a focus on fund asset liquidity and investors, this paper explores the flow-performance relationship … and the liquidity management of funds in the presence of net redemptions. We highlight the response of fund liquidity …
Persistent link: https://www.econbiz.de/10011995042
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How stressed are banks in the interbank market?
Abbassi, Puriya; Fecht, Falko; Weber, Patrick - 2013
recourse to the LOLR facility (a) to derive banks’ willingness-to-pay for liquidity through a one-week repo and (b) to show … results suggest (i) that banks’ willingness-to-pay for liquidity indeed reflects refinancing conditions in the interbank …We use a unique data set that comprises each bank’s bids in the Eurosystem’s main refinancing operations and its …
Persistent link: https://www.econbiz.de/10010192732
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The optimal mix of business entities : the value of partial limited liability
Kraizberg, Elli - 1989
Persistent link: https://www.econbiz.de/10000769114
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US real interest rates and default risk in emerging economies
Foley-Fisher, Nathan; Guimarães, Bernardo - 2009
We empirically analyse the appropriateness of indexing emerging market sovereign debt to US real interest rates. We find that policy-induced exogenous increases in US rates raise default risk in emerging market economies, as hypothesised in the theoretical literature. However, we also find...
Persistent link: https://www.econbiz.de/10003894416
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Labour contracts with firms subject to debt default penalties
Farrow, Raymond J. - 1986 - Rev.
Persistent link: https://www.econbiz.de/10003532291
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Personal bankcuptcy law, wealth and entrepreneurship : theory and evidence from the introduction of a "fresh start"
Fossen, Frank M. - 2011
entrepreneurship. -- Personal bankruptcy law ; insolvency ; entrepreneurship ; fresh start …
Persistent link: https://www.econbiz.de/10009008042
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Personal bankruptcy law, debt portfolios, and entrepreneurship
Mankart, Jochen; Rodano, Giacomo - 2015
Every year 400,000 entrepreneurs fail and 60,000 file for personal bankruptcy. The option to declare bankruptcy provides entrepreneurs with insurance against the financial consequences of business failures. However, it comes at the cost of worsened credit market conditions. In this paper, we...
Persistent link: https://www.econbiz.de/10011316589