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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 Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions
Podpiera, Jiri - 2010
- that is, Capital Adequacy, Asset Quality, Management Quality, Earnings Potential, Liquidity, and Sensitivity to Market Risk …
Persistent link: https://www.econbiz.de/10014402795
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Restructuring and insolvency in Europe : policy options in the implementation of the EU directive
Garrido, José María; DeLong, Chanda; Rasekh, Amira; … - 2021
restructuring models in Europe. These options reveal different policy approaches to the regulation of restructuring and insolvency …
Persistent link: https://www.econbiz.de/10012612340
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Mitigating long-term unemployment in Europe
Miyamoto, Hiroaki; Suphaphiphat, Nujin - 2020
While unemployment rates in Europe declined after the global financial crisis until 2018/19, the incidence of long …
Persistent link: https://www.econbiz.de/10012301932
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Stock Market Liquidity and the Macroeconomy : Evidence From Japan
Choi, Woon Gyu - 2005
price. We document a steep drop in the liquidity of the Japanese stock market in the post-bubble period and a steep rise in … liquidity risk. We find that, during Japan''s deflationary period, firms with more liquid balance sheets were less exposed to … stock market liquidity risk, while slowly growing firms were highly exposed to liquidity shocks. Also, aggregate liquidity …
Persistent link: https://www.econbiz.de/10014401145
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Stock market liquidity in Chile
Brandao Marques, Luis - 2016
in advanced economies are key cyclical determinants of liquidity in Chilean equities. Evidence from a cross-section of …
Persistent link: https://www.econbiz.de/10011715648
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Inflation and Financial Depth
Khan, Mohsin S. - 2001
There is now a substantial theoretical literature arguing that inflation impedes financial deepening. Furthermore, it has been hypothesized that the relationship is a nonlinear one, in that there is a threshold level of inflation below which inflation has a positive effect on financial depth,...
Persistent link: https://www.econbiz.de/10014403632
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Oil prices and GCC stock markets : new evidence from smooth transition models
Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10011852573
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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
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Financial Integration : A New Methodology and An Illustration
Rose, Andrew K. - 2004
This paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free rates across assets. Expected risk-free rates are allowed to vary freely over time, constrained...
Persistent link: https://www.econbiz.de/10014404174