downturn LGD, but data constraints do not usually allow for direct estimation of such a dependency. Both default rates and LGD …

-1946. In doing so, a relatively novel data-set in conjunction with the bound testing approach to cointegration and error …

of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored … against the prevalent level or differenced estimation. …

of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored … against the prevalent level or differenced estimation. …

countries, most notably Greece, have experienced desynchronisation of their business cycles with the EU12-wide cycle …

. First, it demonstrates that the bubble was a supply-side phenomenon attributable to an excess of mispriced mortgage finance …: mortgage-finance spreads declined and volume increased, even as risk increased—a confluence attributable only to an oversupply … of mortgage finance. Second, it explains the mortgage-finance supply glut as resulting from the failure of markets to …

conclude that it likely reflects differential treatment of black neighborhoods by the mortgage industry in ways that are …