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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

Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads

Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016

spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages …

Persistent link: https://www.econbiz.de/10011531096

Cyclicality in losses on bank loans

Keijsers, Bart; Diris, Bart; Kole, Erik - 2015

profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the …

Persistent link: https://www.econbiz.de/10010515860

Inertial credit and arrears in transition

Perotti, Enrico C. - 1995

Persistent link: https://www.econbiz.de/10000922224

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

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

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