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A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
Koopman, Siem Jan; Lucas, André; Daniels, Robert - 2005
We model 1981–2002 annual US default frequencies for a panel of firms in different rating and age classes. The data is decomposed into a systematic and firm-specific risk component, where the systematic component reflects the general economic conditions and default climate. We have to cope...
Persistent link: https://www.econbiz.de/10010325605
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Short-Selling, Leverage and Systemic Risk
Pais, Amelia; Stork, Philip A. - 2013
During the Global Financial Crisis, regulators imposed short-selling bans to protect financial institutions. The rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of financial institutions, especially for institutions with...
Persistent link: https://www.econbiz.de/10010328324
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Do information contagion and business model similarities explain bank credit risk commonalities?
Wang, Dieter; van Lelyveld, Iman; Schaumburg, Julia - 2018
This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The puzzle, first detected in corporate bonds, consists of two stylized facts: Structural determinants of credit risk not only have low explanatory power but also fail to capture...
Persistent link: https://www.econbiz.de/10012114752
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A Capital Adequacy Buffer Model
Allen, David; McAleer, Michael - 2013
In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...
Persistent link: https://www.econbiz.de/10010326171
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Cyclicality in Losses on Bank Loans
Keijsers, Bart; Diris, Bart; Kole, Erik - 2015
Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...
Persistent link: https://www.econbiz.de/10011288399
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Business and Default Cycles for Credit Risk
Koopman, Siem Jan; Lucas, André - 2003
Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles coincide. Recent papers_new suggest by their empirical research set-up that they do, or at least that defaults and credit...
Persistent link: https://www.econbiz.de/10010324897
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Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002
We model 1927-1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default...
Persistent link: https://www.econbiz.de/10010325004
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A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
sets a series of non-parametric based tests utilising entropy based metrics. These suggest that the PDFs and CDFs of these … two return distributions change shape in various subsample periods. The entropy and MI statistics suggest that the degree … most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the two distributions …
Persistent link: https://www.econbiz.de/10010326508
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Systemic Risk Diagnostics
Schwaab, Bernd; Lucas, Andre; Koopman, Siem Jan - 2010
A macro-prudential policy maker can manage risks to financial stability only if currentand future risks can be reliably assessed. We propose a novel framework to assessfinancial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and credit...
Persistent link: https://www.econbiz.de/10010325790
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A General Framework for Observation Driven Time-Varying Parameter Models
Creal, Drew - 2008
We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...
Persistent link: https://www.econbiz.de/10012722680