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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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International Integration of Equity Markets and Contagion Effects
Cashin, Paul - 1995
regions in the long run; and second, the strength of cross-country “contagion” effects. The paper’s findings suggest that both …, using impulse response functions, the paper shows that cross-country contagion effects of country-specific shocks dissipate … in a matter of weeks while contagion effects of global shocks take several months to unwind themselves …
Persistent link: https://www.econbiz.de/10014397857
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Portfolio Diversification, Leverage, and Financial Contagion
Smith, T. Todd - 1999
Models of “contagion” rely on market imperfections to explain why adverse shocks in one asset market might be … associated with asset sales in many unrelated markets. This paper demonstrates that contagion can be explained with basic … do not have significantly different consequences for portfolio rebalancing and contagion than other rules. The paper …
Persistent link: https://www.econbiz.de/10014400415
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Country insurance using financial instruments
Zhang, Yuanyan Sophia; Chamon, Marcos; Ricci, Luca Antonio - 2011
Persistent link: https://www.econbiz.de/10009424862
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Sovereigns and financial intermediaries spillovers
Tabarraei, Hamid Reza; Rouabah, Abdelaziz; Pierrard, Olivier - 2019
We examine the spillover effects between sovereigns and banks in a model with a heterogeneous banking system. An increase in sovereign's default risk affects financial intermediaries through two channels in this model. First, banks' funding costs might increase, inducing higher interest rates on...
Persistent link: https://www.econbiz.de/10012009433
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Interconnectedness and contagion analysis : a practical framework
Bricco, Jana; Xu, TengTeng - 2019
The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of … analysis of interconnectedness and contagion for a country's financial system under various circumstances. We survey current …
Persistent link: https://www.econbiz.de/10012122482
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Additions to market indices and the comovement of stock returns around the world
Claessens, Stijn; Yāfe, Yišay - 2011
Persistent link: https://www.econbiz.de/10009487130
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Pricing protest : the response of financial markets to social unrest
Barrett, Philip; Bondar, Mariia; Chen, Sophia; … - 2021
Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....
Persistent link: https://www.econbiz.de/10012518928
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Additions to Market Indices and the Comovement of Stock Returns Around the World
Yafeh, Yishay - 2011
Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms’ returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock...
Persistent link: https://www.econbiz.de/10014402208
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Firm-Level Evidenceon International Stock Market Comovement
Brooks, Robin - 2003
We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...
Persistent link: https://www.econbiz.de/10014403861