Home Equity Conversion Mortgages ("HECMs") offer older US homeowners liquidity and implicit home price insurance. If borrowers' homes are worth less than their loan balance when they move or die, their liability is limited to collateral value. The Federal Housing Administration ("FHA") absorbs...

The impact of U.S. bank loan announcements on the stock prices of the corporate borrowers has been decreasing during the two last decades with estimated two-day cumulative abnormal returns slipping from almost 200 basis points in the beginning of the 1980s to close to zero by the turn of the...

Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We address the subportfolio "middle market". Due to their specific lending policy for this market segment it is an important task for banks to systematically identify regional and...

We consider the portfolio decision problem of a risky investor. The investor borrows at a rate higher than his lending rate, and invests in a risky bond whose market price is correlated with the credit quality of the investor. By viewing the concave drift of the wealth process as a continuous...

This study attempts to distinguish, in the impact on credit in France, between the effects of stock market shocks occurred since the mid-1990s and more traditional effects, stemming from the business cycle. To do so, it uses a model focused on two financial assets: loans and equities. According...

This paper derives a bank capital allocation model and applies it in the determinants of securitization. According to Bank for International Settlements (BIS), banks are required to prepare regulatory capital for investment and loans, based on the quality and quantity of assets. Hence, the...