This paper examines the relationship between mortgage default decisions andrelevant observable variables under the light of a random utility model. The focusof the study is the Colombian mortgage market between 1997 and 2004 using twoseparate data sets that are matched using simulation...

This paper presents two versions of a spatial competition model for the banking sector. The first version, describes a framework that follows closely Salop’s spatial competition model. This version is modified in the second part by introducing the loan market and default risk probabilities for...

This paper presents two versions of a spatial competition model forthe banking sector. The first version, describes a framework that fol-lows closely Salop´s spatial competition model. This version is modi-fied in the second part by introducing the loan market and default riskprobabilities for...

We examine the validity of a macroeconomic version of the Modigliani-Miller theorem. For this purpose, we develop a general equilibrium model with two production sectors, risk-averse households and financial intermediation by banks. Banks are funded by deposits and (outside) equity and monitor...

We examine the validity of a macroeconomic version of the Modigliani–Miller theorem. By this, we mean that different capital structures can occur in equilibrium and that all of them are associated with the same allocation of commodities and the same welfare. We develop a general equilibrium...

In this paper we examine the impact of a large number of factors at the bank level (liquidity and credit risks, asset size, income diversification and market power), at the industry level (banking concentration) and macro-level (real GDP growth) on bank financial distress using an unbalanced...

In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic Factor model, DF, to a large dataset of default rates proxies and macrovariables for Italy. Multi step ahead density and probability forecasts are obtained by employing both...

In this paper, using industry sector stock returns as proxies of firm asset values, we obtain bank capital requirements (through the cycle). This is achieved by Montecarlo simulation of a bank loan portfolio loss density. We depart from the Basel 2 analytical formula developed by Gordy (2003)...