Whereas recent studies on revolving lines of credit suggest a positive relationship between exposure at default and … simultaneous analysis of credit line utilization and default probability on a personal loan. We model both financial instruments …. Individuals in the default state use their credit line 59% more than those in the non-default state, and full utilization of the …

asymmetric behavior toward the upside potential of gain versus the downside risk of loss. Using an asymmetric split normal … specification outperforms the symmetric one in matching high levels of historical credit spreads. We then link the residual (non …-default-model-implied) spread to two illiquidity risk factors. The first factor is extracted from several measures of idiosyncratic illiquidity …

contributions in insurance economics since that time. The review begins with the role of utility, risk, and risk aversion in the …

and the lender is the agent. Our model considers structured asset-backed securitization with a credit enhancement … show that the optimal form of retention must be proportional to the pool default loss even in the absence of systemic risk …

://ssrn.com/abstract=2198583The study of risk management began after World War II. Risk management has long been associated with the use of market … insurance to protect individuals and companies from various losses associated with accidents. Other forms of risk management … protection against pure risk. The use of derivatives as risk management instruments arose during the 1970s, and expanded rapidly …

and the lender is the agent. Our model considers structured asset-backed securitization with a credit enhancement … the optimal form of retention must be proportional to the pool default loss even in the absence of systemic risk when the …

and the lender is the agent. Our model considers structured asset-backed securitization with a credit enhancement … show that the optimal form of retention must be proportional to the pool default loss even in the absence of systemic risk …

because it imposes the same rules on all banks. This seems particularly unsuitable when applied to credit risk which is the … major source of a bank's risk (about 70%). Moreover, diversification of a bank's credit-risk portfolio is not taken into … preventing bank runs. Pricing deposit insurance according to the individual bank's risk seems to be the most appropriate strategy …