Showing 1 - 10 of 37
This paper looks at some technical issues when using CDS data, and if these are incorporated, the analysis or regression results are likely to benefit. The paper endorses the use of stochastic recovery in CDS models when estimating probability of default (PD) and suggests that stochastic...
Persistent link: https://www.econbiz.de/10013108609
This paper studies the impact of bank regulation and taxation in a dynamic model with banks exposed to credit and liquidity risk. We find an inverted U-shaped relationship between capital requirements and bank lending, efficiency, and welfare, with their benefits turning into costs beyond a...
Persistent link: https://www.econbiz.de/10013108612
industry level, physical asset obsolescence, industry growth, and industry concentration are the most important factors. We …
Persistent link: https://www.econbiz.de/10012782243
examines the factors that determine the high cross-correlation of the probability paths. The term structure of U.S. interest …
Persistent link: https://www.econbiz.de/10012782367
This paper examines whether a tipping point exists for real GDP growth in Italy above which the ratio of non-performing loans (NPLs) to total loans falls significantly. Estimating a heterogeneous dynamic panel-threshold model with data on 17 Italian regions over the period 1997-2014, we provide...
Persistent link: https://www.econbiz.de/10012956486
The structural model in this paper proposes a micro-founded framework that incorporates an active banking sector with an oil-producing sector. The primary goal of adding a banking sector is to examine the role of an interbank market on shocks, introduce a national development fund and study its...
Persistent link: https://www.econbiz.de/10012907946
The modernization of Italy's insolvency framework has been the subject of much interest in recent years, related not least to its role in potentially facilitating an efficient allocation of resources. A unique feature of Italy's insolvency framework is a special regime for large enterprises...
Persistent link: https://www.econbiz.de/10012909405
High household wealth is often cited as a key strength of the Italian economy. Both in absolute terms and relative to income, the Italian household sector is wealthier than most euro area peers. A sizable fraction of this wealth is held by the rich and upper middle classes. This paper documents...
Persistent link: https://www.econbiz.de/10012910351
This paper analyzes the capital structure of private asset managers in which theacquisition of nonperforming loans (NPLs) is funded with Contingent Convertibles(CoCos) placed with investors. The paper develops a model based on NPL transferprices and residual recovery rates to assess capital...
Persistent link: https://www.econbiz.de/10012868458
-financial corporate (NFC) sector changed in the post financial crisis period. The analysis suggests that vulnerabilities have generally … scenario, the share of risky debt would increase to the level observed during the financial crisis, resulting in a significant …
Persistent link: https://www.econbiz.de/10012977757