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Martinez, Leonardo; Hatchondo, Juan Carlos; Sanchez, Juan M. - International Monetary Fund (IMF) - 2012

This paper incorporates house price risk and mortgages into a standard incomplete market (SIM) model. The model is calibrated to match U.S. data and accounts for non-targeted features of the data such as the distribution of down payments, the life-cycle profile of home ownership, and the...

Persistent link: https://www.econbiz.de/10009650640

Balance-Sheet Shocks and Recapitalizations

Sandri, Damiano; Valencia, Fabian - International Monetary Fund (IMF) - 2012

We develop a dynamic stochastic general equilibrium model with financial frictions on both financial intermediaries and goods-producing firms. In this context, due to high leverage of financial intermediaries, balance sheet disruptions in the financial sector are particularly detrimental for...

Persistent link: https://www.econbiz.de/10009654148

Bankruptcy and Firm Dynamics; The Case of the Missing Firms

Rodríguez-Delgado, Jose Daniel - International Monetary Fund (IMF) - 2010

Financial frictions have been documented as an important determinant of firm dynamics. In this paper I model bankruptcy … a model of firm dynamics that generate endogenous borrowing limits and I find that a) inefficient bankruptcy procedures …

Persistent link: https://www.econbiz.de/10008519503

Bank Competition, Risk and Asset Allocations

Boyd, John H.; Nicoló, Gianni De; Jalal, Abu M. - International Monetary Fund (IMF) - 2009

We study a banking model in which banks invest in a riskless asset and compete in both deposit and risky loan markets. The model predicts that as competition increases, both loans and assets increase; however, the effect on the loans-to-assets ratio is ambiguous. Similarly, as competition...

Persistent link: https://www.econbiz.de/10008528611

Recent Advances in Credit Risk Modeling

Gasha, Jose Giancarlo; Santos, Andre; Chan-Lau, Jorge A.; … - International Monetary Fund (IMF) - 2009

As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for...

Persistent link: https://www.econbiz.de/10008528651

Macroprudential Regulation Under Repo Funding

Valderrama, Laura - International Monetary Fund (IMF) - 2010

may lead to the bankruptcy of its repo counterparties triggering contagion across asset classes. To buttress the …

Persistent link: https://www.econbiz.de/10008671292

The Impact of Legislationon Credit Risk; Comparative Evidence From the United States, the United Kingdom and Germany

Schmieder, Philipp; Schmieder, Christian - International Monetary Fund (IMF) - 2011

This study investigates the link between bankruptcy and security legislation and potential credit losses faced by banks …

Persistent link: https://www.econbiz.de/10008876595

Probabilities of Default and the Market Price of Risk in a Distressed Economy

Basurto, Miguel A. Segoviano; Espinoza, Raphael A. - International Monetary Fund (IMF) - 2011

We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk aversion the CDS-implied probabilities of distress. The method is based, for simplicity, on a one-factor asset pricing model. The market price of risk under stress (the...

Persistent link: https://www.econbiz.de/10009019585

Costly contracts and consumer credit

Livshits, Igor; MacGee, James; Tertilt, Michèle - 2011

Financial innovations are a common explanation of the rise in consumer credit and bankruptcies. To evaluate this story, we develop a simple model that incorporates two key frictions: asymmetric information about borrowers' risk of default and a fixed cost to create each contract offered by...

Persistent link: https://www.econbiz.de/10010291903

Financial Risks, Bankruptcy Probabilities, and the Investment Behaviour of Enterprises

Kirchesch, Kai - 2004

decisions of enterprises, or whether bankruptcy probabilities better account for these potential financial risks. … is assumed to be appropriate to proxy for these constraints. However, enterprises that rely on external funds do not only … repayment obligations and thus the risk of bankruptcy. If the risk of bankruptcy enters the profit maximization of the firm, the …

Persistent link: https://www.econbiz.de/10010295432

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