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Modeling portfolio defaults using hidden Markov models with covariates
Banachewicz, Konrad; Vaart, Aad W. van der; Lucas, André - 2006
We extend the Hidden Markov Model for defaults of Crowder, Davis, and Giampieri (2005) to include covariates. The covariates enhance the prediction of transition probabilities from high to low default regimes. To estimate the model, we extend the EM estimating equations to account for the time...
Persistent link: https://www.econbiz.de/10011349709
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Global credit risk : world, country and industry factors
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2015
This paper investigates the dynamic properties of systematic default risk conditions for firms from different countries, industries, and rating groups. We use a high-dimensional nonlinear non-Gaussian state space model to estimate common components in corporate defaults in a 41 country sample...
Persistent link: https://www.econbiz.de/10010484886
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Inertial credit and arrears in transition
Perotti, Enrico C. - 1995
Persistent link: https://www.econbiz.de/10000922224
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Credit protection and lending relationships
Arping, Stefan - 2012
Persistent link: https://www.econbiz.de/10010190981
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A macro-financial perspective to analyse maturity mismatch and default
Wang, Xuan - 2020
The Basel Committee proposed the Net Stable Funding Ratio (NSFR) to curb excessive maturity mismatch of the banking … featuring banks' maturity mismatch and the moral hazard due to costly monitoring. First, I show that a tightening of the NSFR to … move loan maturity towards the long-run capital investment cycle would only increase real investment if it sufficiently …
Persistent link: https://www.econbiz.de/10012427585
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Cyclicality in losses on bank loans
Keijsers, Bart; Diris, Bart; Kole, Erik - 2015
Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...
Persistent link: https://www.econbiz.de/10010515860
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The forward premium puzzle only emerges gradually
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2007
of forwards to complete the maturity spectrum at the (multi-) day level. We find that the correlation only slowly turns … negative as the number of days to maturity is increased to the monthly level. The typical shape of the premium correlation with … regard to the forward maturity length appears to be V-shaped. …
Persistent link: https://www.econbiz.de/10011372514
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Forecasting cross-sections of frailty-correlated default
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2008
We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by using dynamic factors from a large panel of...
Persistent link: https://www.econbiz.de/10011374412
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Pro-cyclicality, empirical credit cycles, and capital buffer formation
Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002
Persistent link: https://www.econbiz.de/10001718549
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Sukuk defaults : on distress resolution is Islamic finance
Wijnbergen, Sweder van; Zaheer, Sajjad - 2013
Persistent link: https://www.econbiz.de/10010191389