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Modeling a distribution of mortgage credit losses

Gapko, Petr; Šmíd, Martin - 2010

means of past mortgage deliquency rates. We give a statistical evidence that the non-normal model is much more suitable than …

Persistent link: https://www.econbiz.de/10010322287

Leading indicator properties of corporate bond spreads, excess bond premia and lending spreads in the euro area

Krylova, Elizaveta - 2016

This paper analyses leading indicator properties of a broad set of credit spreads, compiled on the basis of information from both corporate bonds and bank loans for forecasting of real activity, unemployment, inflation and lending volumes in the euro area and in five major European economies. It...

Persistent link: https://www.econbiz.de/10011605956

Determinants of euro-denominated corporate bond spreads

Krylova, Elizaveta - 2016

This paper computes time-varying indicators of the relative importance of different credit spread determinants, including rating, sector and country attribution as well as the coupon rate, maturity and liquidity on the basis of the comprehensive dataset of individual bonds. Additionally, it...

Persistent link: https://www.econbiz.de/10011605957

Discrete versus Continuous State Switching Models for Portfolio Credit Risk

Lucas, André; Klaassen, Pieter - 2003

Dynamic models for credit rating transitions are important ingredients for dynamic credit risk analyses. We compare the properties of two such models that have recently been put forward. The models mainly differ in their treatment of systematic risk, which can be modeled either using discrete...

Persistent link: https://www.econbiz.de/10010324909

Stages of the 2007/2008 Global Financial Crisis Is There a Wandering Asset-Price Bubble?

Orlowski, Lucjan T. - 2008

mortgage market; spillovers into broader credit market; the liquidity crisis epitomized by the fallout of Northern Rock, Bear …

Persistent link: https://www.econbiz.de/10010298579

Stages of the ongoing global financial crisis: Is there a wandering asset-price bubble?

Orlowski, Lucjan T. - 2008

mortgage market, spillovers into broader credit market, the liquidity crisis epitomized by the fallout of Northern Rock, Bear … elevated market, credit and liquidity risks. Since its original outbreak induced by the demise of the subprime mortgage market … and the mortgage-backed securities in the U.S., the crisis has reverberated across other credit areas, structured …

Persistent link: https://www.econbiz.de/10011430817

What determines euro area bank CDS spreads?

Annaert, Jan; De Ceuster, Marc; Van Roy, Patrick; … - 2010

This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...

Persistent link: https://www.econbiz.de/10011506710

Carbon Default Swap - Disentangling the Exposure to Carbon Risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms' credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...

Persistent link: https://www.econbiz.de/10013470275

Does a large loss of bank capital cause ever-greening or flight to quality? Evidence from Japan

Watanabe, Wako - 2004

Constructing a strong and unique instrument for bank capital from the empirical observation of Japanese banks' past behavioral changes, we identify the impact of capital adequacy on the allocation of bank lending supply across low quality and high quality borrowers. We find that, in FY 1997, a...

Persistent link: https://www.econbiz.de/10010332305

The impact of natural disasters on banks' impairment flow: Evidence from Germany

Shala, Iliriana; Schumacher, Benno - 2022

some extent by retail mortgage loans. While results suggest that the profitability of banks is impacted by additional …

Persistent link: https://www.econbiz.de/10013412980

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