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Dari-Mattiacci, Guiseppe; Schäfer, Hans-Bernd - 2006

Should loss of earnings be compensated? The established law and economics wisdom considers pure economic loss as a … do not amount to a social loss and, hence, should not be compensated. We revisit these arguments and show that the social … loss should be calculated by taking into account that: (a) pure economic loss often involves impairment costs resulting …

Persistent link: https://www.econbiz.de/10011349187

Business and default cycles for credit risk

Koopman, Siem Jan; Lucas, André - 2003

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles coincide. Recent papers_new suggest by their empirical research set-up that they do, or at least that defaults and credit...

Persistent link: https://www.econbiz.de/10011333881

A non-Gaussian panel time series model for estimating and decomposing default risk

Koopman, Siem Jan; Lucas, André; Daniels, Robert - 2005

We model 1981-2002 annual US default frequencies for a panel of firms in different rating and age classes. The data is decomposed into a systematic and firm-specific risk component, where the systematic component reflects the general economic conditions and default climate. We have to cope with...

Persistent link: https://www.econbiz.de/10011343953

Nonparametric estimation for non-homogeneous semi-Markov processes : an application to credit risk

Monteiro, André Antonio; Smirnov, Georgi V.; Lucas, André - 2006

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

Persistent link: https://www.econbiz.de/10011348706

A capital adequacy buffer model

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...

Persistent link: https://www.econbiz.de/10010224793

The pricing of bank debt guarantees

Arping, Stefan - 2009

Persistent link: https://www.econbiz.de/10003860987

A Pigovian approach to liquidity regulation

Perotti, Enrico C.; Suárez, Javier - 2011

Persistent link: https://www.econbiz.de/10008907842

Quantile forecasting for credit risk management using possibly mis-specified hidden Markov models

Banachewicz, Konrad; Lucas, André - 2007

Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...

Persistent link: https://www.econbiz.de/10011372502

The pricing of bank debt guarantees

Arping, Stefan - 2009

We analyze the optimal pricing of government-sponsored bank debt guarantees within the context of an asset substitution framework. We show that the desirability of fair pricing of guarantees depends on the degree of transparency of the banking sector: in relatively opaque banking systems, fair...

Persistent link: https://www.econbiz.de/10011378336

Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective

Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2010

We determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry-specific dynamics (including contagion). To quantify the contribution...

Persistent link: https://www.econbiz.de/10011379607

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