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Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk
Chan-Lau, Jorge A. - 2021
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...
Persistent link: https://www.econbiz.de/10012613371
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The COVID-19 impact on corporate leverage and financial fragility
Haque, Sharjil Muktafi; Varghese, Richard - 2021
increased moderately. This de-leveraging effect is stronger for firms exposed to significant rollover risk, while firms whose …
Persistent link: https://www.econbiz.de/10012796218
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A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns
Del Negro, Marco - 2005
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by...
Persistent link: https://www.econbiz.de/10014400963
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Predicting downside risks to house prices and macro-financial stability
Deghi, Andrea; Katagiri, Mitsuru; Shahid, Sohaib; … - 2020
This paper predicts downside risks to future real house price growth (house-prices-at-risk or HaR) in 32 advanced and … overvaluation, excessive credit growth, and tighter financial conditions jointly forecast higher house-prices-at-risk up to three … years ahead. House-prices-at-risk help predict future growth at-risk and financial crises. We also investigate and propose …
Persistent link: https://www.econbiz.de/10012252738
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Liquidity at risk : joint stress testing of solvency and liquidity
Cont, Rama; Kotlicki, Artur; Valderrama, Laura - 2020
relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …. We define the concept of 'Liquidity at Risk', which quantifies the liquidity resources required for a financial …
Persistent link: https://www.econbiz.de/10012251907
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Crossing the credit channel : credit spreads and firm heterogeneity
Anderson, Gareth; Cesa-Bianchi, Ambrogio - 2020
Credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting information from a panel of corporate bonds matched with balance sheet data for U.S. non-financial firms, we document that firms with high leverage experience a more pronounced...
Persistent link: https://www.econbiz.de/10012485947
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Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk
Christoffersen, Peter F. - 1999
unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the …
Persistent link: https://www.econbiz.de/10014400299
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Model-based globally-consistent risk assessment
Andrle, Michal; Hunt, Benjamin F. - 2020
This paper outlines an approach to assess uncertainty around a forecast baseline as well as the impact of alternative policy rules on macro variability. The approach allows for non-Gaussian shock distributions and non-linear underlying macroeconomic models. Consequently, the resulting...
Persistent link: https://www.econbiz.de/10012251371
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Predicting recessions : a new approach for identifying leading indicators and forecast combinations
Baba, Chikako; Kıṣınbay, Turgut - 2011
Persistent link: https://www.econbiz.de/10009422676
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Predicting Recessions : A New Approach for Identifying Leading Indicators and Forecast Combinations
Kisinbay, Turgut - 2011
This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and combines the forecasts. An application to U.S. data...
Persistent link: https://www.econbiz.de/10014398165