Narrow search
Showing 1 - 10 of 373
Cover Image
Macroprudential Regulation and Sector-Specific Default Risk
Belkhir, Mohamed - 2022
This paper studies the transmission of macroprudential policies across both financial and non financial sectors of the economy. It first documents that tighter macroprudential regulations implemented in Europe over the period 2008-2017 lowered default risk not only in the financial, but also in...
Persistent link: https://www.econbiz.de/10015060258
Cover Image
Transmission of Liquidity Shocks
Hesse, Heiko - 2008
The recent credit crisis started as a credit shock and then rapidly promulgated in the form of market and funding illiquidity before inducing solvency problems at some financial institutions. This column presents empirical evidence mapping the transmission channels of the crisis
Persistent link: https://www.econbiz.de/10012678160
Cover Image
Transmission of Liquidity Shocks : Evidence from the 2007 Subprime Crisis
Hesse, Heiko - 2008
We examine the linkages between market and funding liquidity pressures, as well as their interaction with solvency … order to test for the transmission of liquidity shocks across U.S. financial markets. It is found that the interaction …
Persistent link: https://www.econbiz.de/10014409053
Cover Image
ECB Euro Liquidity Lines
Albrizio, Silvia - 2023
Central bank liquidity lines have gained momentum since the global financial crisis as a crosscurrency liquidity … management tool. We provide a complete timeline of the ECB liquidity line announcements and study their signalling and spillback … effects. The announcement of an ECB euro liquidity line decreases the premium paid by foreign agents to borrow euros in FX …
Persistent link: https://www.econbiz.de/10015059508
Cover Image
Systemwide Liquidity Stress Testing Tool
Oura, Hiroko - 2022
Developing a systemic liquidity stress testing tool is challenging due to data constraints and hard-to-model behavioral … factors. There has yet to be a uniformly accepted model partly because the nature of systemic liquidity risks differs … significantly across countries. This paper offers a simple Excel-based tool to assess the high-level impact of aggregate liquidity …
Persistent link: https://www.econbiz.de/10015059893
Cover Image
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
Cover Image
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
Cover Image
The Use (and Abuse) of CDS Spreads During Distress
Spackman, Carolyne - 2009
Credit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted from CDS spreads, but during distress it is important to take account of the stochastic nature of recovery value. The recent episodes of Landbanski, WAMU and Lehman illustrate...
Persistent link: https://www.econbiz.de/10012677752
Cover Image
What Drives Mortgage Default Risk in Europe and the U.S.?
Gross, Marco - 2022
We present an analysis of the sensitivity of household mortgage probabilities of default (PDs) and loss given default (LGDs) on unemployment rates, house price growth, interest rates, and other drivers. A structural micro-macro simulation model is used to that end. It is anchored in the balance...
Persistent link: https://www.econbiz.de/10015060521
Cover Image
Monitoring Privately-held Firms' Default Risk in Real Time: A Signal-Knowledge Transfer Learning Model
Chan-Lau, Jorge - 2024
We develop a mixed-frequency, tree-based, gradient-boosting model designed to assess the default risk of privately held firms in real time. The model uses data from publicly-traded companies to construct a probability of default (PD) function. This function integrates high-frequency,...
Persistent link: https://www.econbiz.de/10015080331