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Financial literacy and subprime mortgage delinquency: Evidence from a survey matched to administrative data
Gerardi, Kristopher; Goette, Lorenz; Meier, Stephan - 2010
measures of delinquency and default. Foreclosure starts are approximately two-thirds lower in the group with the highest …
Persistent link: https://www.econbiz.de/10010292257
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Investment in financial literacy and saving decisions
Jappelli, Tullio; Padula, Mario - 2011
We present an intertemporal consumption model of consumer investment in financial literacy. Consumers benefit from such investment because their stock of financial literacy allows them to increase the returns on their wealth. Since literacy depreciates over time and has a cost in terms of...
Persistent link: https://www.econbiz.de/10010308561
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Financial investments, information flows, and caste affiliation: Empirical evidence from India
Bönte, Werner; Filipiak, Ute - 2011
This paper empirically investigates the relevance of social interaction and caste affiliation for individual awareness of financial instruments and investment behavior in India. The results of our empirical analysis, which is based on a large scale survey on saving patterns of Indians, suggest a...
Persistent link: https://www.econbiz.de/10010291106
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Increasing the effectiveness of financial education in the workplace
Lusardi, Annamaria - 2008
Persistent link: https://www.econbiz.de/10010298401
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Loss, default and loss given default modeling
Witzany, Jiří - 2009
is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss … given default parameter. This simplification leads to a surprising phenomenon when the resulting regulatory capital depends … on the definition of default that plays the role of a frontier between the unexpected default rate estimate and the LGD …
Persistent link: https://www.econbiz.de/10010322310
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Macro stress testing with sector specific bankruptcy models
Valentiny-Endrész, Marianna; Vásáry, Zoltán - 2008
This paper employs the methodology of Wilson (1997) on Hungarian data to conduct a macro stress test in relation to banks' corporate loan portfolio. First, sector specific models of bankruptcy are estimated, where the bankruptcy frequency is linked to the general health of the economy. Data on...
Persistent link: https://www.econbiz.de/10010322432
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Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002
movements in default probabilities and default correlations. Our findings have important implications for portfolio credit risk … evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term … analysis. First, a static analysis of portfolio credit risk can underestimate credit risk significantly by not accounting for …
Persistent link: https://www.econbiz.de/10010325004
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Hunting the Living Dead A “Peso Problem” in Corporate Liabilities Data
Manera, Matteo; Cherubini, Umberto - 2005
credit risk models to fit corporate bond data. It is well known in fact that these models lead to a strong understatement of … the credit spread terms structure, particularly on the short maturity end. Possible explanations stem from strategic debt …
Persistent link: https://www.econbiz.de/10010312533
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Corporate Distress and Restructuring with Macroeconomic Fluctuations: The Cases of GM and Ford
Oxelheim, Lars; Wihlborg, Clas - 2009
Traditional methods for evaluating corporate credit risk rarely consider the impact of the macro economy on corporate … to restructuring by decomposing default predictions into intrinsic and macroeconomic factors. We apply a method … previously used for measuring macroeconomic exposures on default predictions in order to filter out macroeconomic factors. In …
Persistent link: https://www.econbiz.de/10010320364
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Net flow rates versus roll rates as non-performing consumer loans forecasting methodologies
De Ribera Martin, Francisco de Asis - In: Revista de Métodos Cuantitativos para la Economía y … 34 (2022), pp. 37-59
Roll rates and net flow rates can be seen as the evolution of ageing of accounts receivable and Markov chains. They are accepted methodologies to model the behavior of non-performing consumer loans by buckets and to predict losses, but we find that quite often they are wrongly used as...
Persistent link: https://www.econbiz.de/10014494480