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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

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

Systemic real and financial risks : measurement, forecasting, and stress testing

De Nicolò, Gianni; Lucchetta, Marcella - 2012

Persistent link: https://www.econbiz.de/10009572513

Nowcasting GDP : a scalable approach using DFM, machine learning and novel data, applied to European economies

Dauphin, Jean-François; Dybczak, Kamil; Maneely, Morgan; … - 2022

This paper describes recent work to strengthen nowcasting capacity at the IMF's European department. It motivates and compiles datasets of standard and nontraditional variables, such as Google search and air quality. It applies standard dynamic factor models (DFMs) and several machine learning...

Persistent link: https://www.econbiz.de/10013169983

Systemic Real and Financial Risks : Measurement, Forecasting, and Stress Testing

Lucchetta, Marcella - 2012

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and … systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) stress-tests as … measures of the dynamics of responses of systemic risk indicators to structural shocks identified by standard macroeconomic and …

Persistent link: https://www.econbiz.de/10014396959

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

Contagion of fear : is the impact of COVID-19 on sovereign risk really indiscriminate?

Cevik, Serhan; Öztürkkal, Belma - 2020

significant impact on market-implied sovereign default risk. This adverse effect appears to be more pronounced in advanced …

Persistent link: https://www.econbiz.de/10012392655

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 …

Persistent link: https://www.econbiz.de/10014403081

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

Chan-Lau, Jorge A. - 2004

This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various pressures that arise in the market. In most countries,...

Persistent link: https://www.econbiz.de/10014404117

Sub-National Credit Risk and Sovereign Bailouts : Who Pays the Premium?

Jenkner, E. - 2014

Studies have shown that markets may underprice sub-national governments’ risk on the implicit assumption that these … a simultaneous increase in sovereign risk premia and decrease in sub-national risk premia—or a de facto transfer of risk … its autonomous regions from January 2010 to June 2013, we find support for our risk transfer hypothesis. We estimate that …

Persistent link: https://www.econbiz.de/10014394330

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