Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors" as hedged creditors have less … bank-firm CDS net notional and credit exposures we find that the probability of default for CDS firms drops when the effect … constrained embed the empty creditor effect into their probability of default estimates of affected firms to a larger extent. So …

-chance" offers, where the runner-up bidder pays his own bid price, and they let sellers leave negative feedback on buyers who default … no incentive to exclude bidders, even if they are nearly certain to default; (iii) buyer reputation systems reward …

that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …

interest derivatives have lower impairments in their bond portfolios. In addition, we find that banks' exposures to interest …

In this paper we study the impact of model uncertainty, which occurs when linking a stress scenario to default …

implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ … said, our findings reveal that the conversion of a shock (i.e., stress event) increases the (non-stress) default … probability by 20% to 80% - depending on the stress test model selected. Interestingly, forecasts for non-stress default …