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Discrete versus continuous state switching models for portfolio credit risk

Lucas, André; Klaassen, Pieter - 2003

Dynamic models for credit rating transitions are important ingredients for dynamic credit risk analyses. We compare the properties of two such models that have recently been put forward. The models mainly differ in their treatment of systematic risk, which can be modeled either using discrete...

Persistent link: https://www.econbiz.de/10011334358

COVID-19, credit risk and macro fundamentals

Dubinova, Anna; Lucas, André; Telg, Sean - 2021

COVID-19, credit risk, macro fundamentals, frailty factors, dynamic latent factorsWe investigate the relationship between macro fundamentals and credit risk, rating migrations and defaults during the start of the COVID-19 pandemic. We find that credit risk models that use macro fundamentals as...

Persistent link: https://www.econbiz.de/10012591539

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

Testing for parameter instability in competing modeling frameworks

Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - 2014

We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...

Persistent link: https://www.econbiz.de/10010229896

House prices, second mortgages and household savings : an empirical investigation for the Netherlands, 1987 - 1994

Rouwendal, Jan; Alessie, Rob - 2002

!reased demand for mortgage loans is caused by substitution from other forms of consumercredit. Contrary to results reported in the …

Persistent link: https://www.econbiz.de/10011327548

State-aided price coordination in the dutch mortgage market

Dijkstra, Mark A.; Schinkel, Maarten-Pieter - 2019 - Revision: July 2019

mortgage providers but the largest bank shifted the Dutch mortgage market from a competitive to a collusive price leadership … equilibrium. In May 2009, mortgage rates in The Netherlands suddenly rose against the decreasing funding cost trend to almost a …, and estimate response adjustments in cointegrating equations on a large data set of daily mortgage rates 2004 …

Persistent link: https://www.econbiz.de/10011979609

Till debt do us part : strategic divorces and a test of moral hazard

Kim, Yeorim; Mastrogiacomo, Mauro; Hochgürtel, Stefan; … - 2022

debt. We study the Dutch context, where qualifying homeowners can buy into a mortgage guarantee scheme that insures the … administrative data, we find a significant, 44% increase in the probability to divorce for households with an underwater mortgage … mortgage. Their home equity averages to about €-50.000. Couples with similar characteristics just above the qualification …

Persistent link: https://www.econbiz.de/10013332708

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

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

Pro-cyclicality, empirical credit cycles, and capital buffer formation

Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002 - This version: October 15, 2002

We model 1927-1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default...

Persistent link: https://www.econbiz.de/10011327840