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Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector
Souto, Marcos - 2009
The credit risk measures we develop in this paper are used to investigate macrofinancial linkages in the Mexican banking system. Domestic and external macro-financial variables are found to be closely associated with banking soundness. At the aggregate level, high external volatility and...
Persistent link: https://www.econbiz.de/10012677777
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The Determinants of Commercial Bank Profitability in Sub-Saharan Africa
Flamini, Valentina - 2009
Bank profits are high in Sub-Saharan Africa (SSA) compared to other regions. This paper uses a sample of 389 banks in … 41 SSA countries to study the determinants of bank profitability. We find that apart from credit risk, higher returns on … assets are associated with larger bank size, activity diversification, and private ownership. Bank returns are affected by …
Persistent link: https://www.econbiz.de/10012677708
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Stressing to Breaking Point : Interpreting Stress Test Results
Worrell, Rupert - 2008
This paper illustrates how stress tests of banking systems may be designed to evaluate banks' reaction to shocks of increasing intensity, up to the point where regulatory norms are breached, or banks become insolvent. This approach offers useful insight and guidance for regulatory policy and...
Persistent link: https://www.econbiz.de/10014409038
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Default, Credit Growth, and Asset Prices.
Segoviano Basurto, Miguel A - 2006
Intro -- Contents -- I. INTRODUCTION -- II. BANK CREDIT AND PROPERTY PRICES -- III. DEFAULT, CREDIT GROWTH, AND ASSET …
Persistent link: https://www.econbiz.de/10012691020
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Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions.
Ong, Li L - 2006
Intro -- Contents -- I. INTRODUCTION -- II. CREDIT RISK TRANSFER INSTRUMENTS: STRUCTURED CREDIT PRODUCTS AND CREDIT DERIVATIVES -- III. INTERLINKAGES ACROSS FINANCIAL INSTITUTIONS -- IV. EXPOSURE OF U. K. FINANCIAL INSTITUTIONS TO CREDIT DERIVATIVES -- V. REGULATORY AND SUPERVISORY INITIATIVES...
Persistent link: https://www.econbiz.de/10012691054
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Fundamentals-Based Estimation of Default Probabilities : A Survey
Chan-Lau, Jorge A - 2006
Intro -- Contents -- I. INTRODUCTION -- II. MACROECONOMIC-BASED MODELS -- III. CREDIT SCORING (OR ACCOUNTING-BASED) MODELS -- IV. RATINGS-BASED MODELS -- V. HYBRID MODELS -- VI. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691085
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Market-Based Estimation of Default Probabilities and Its Application to Financial Market Surveillance.
Chan-Lau, Jorge A - 2006
Intro -- Contents -- I. MARKET-BASED DEFAULT PROBABILITIES AND FINANCIAL SURVEILLANCE -- II. CREDIT DEFAULT SWAPS -- III. BONDS -- IV. EQUITY PRICES -- V. FROM RISK-NEUTRAL PROBABILITIES TO REAL-WORLD PROBABILITIES -- VI. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691108
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New Risk Indicator and Stress Testing Tool : A Multifactor Nth-to-Default CDS Basket
Garcia Pascual, Antonio - 2006
Intro -- Contents -- I. INTRODUCTION -- II. DESCRIPTION OF THE INDICATOR -- III. MODEL DESCRIPTION -- IV. DATA DESCRIPTION -- V. FACTOR ANALYSIS: ESTIMATION RESULTS -- VI. COMPUTATION OF THE PROBABILITIES OF DEFAULT -- VII. SENSITIVITY ANALYSIS -- VIII. STRESS TESTING -- IX. CONCLUDING REMARKS...
Persistent link: https://www.econbiz.de/10012691123
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Pricing of Credit Default Swaps During Distress.
Andritzky, Jochen R - 2006
Intro -- Contents -- I. INTRODUCTION -- II. CDS VALUATION AND THE BASIS -- III. THE ROLE OF RECOVERY -- IV. DATA ANALYSIS -- V. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE -- VI. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE WITH CTD -- VII. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691130
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Credit Risk Spreads in Local and Foreign Currencies
Wiener, Zvi - 2009
The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the...
Persistent link: https://www.econbiz.de/10012677782