Financial globalization has given an impetus to the development and innovation in financial products. However, at the same time, it has complicated banking regulations and its consequent risk management mechanisms. The GFC and consequent Basel III have accentuated the importance of operational...

In this paper we review the pricing and model calibration of Credit Default Swaps referring to both the International Swaps and Derivatives Association (ISDA) CDS contract and credit model standardization guidelines. Furthermore we provide an Excel pricing workbook to supplement the materials...

This paper provides evidence of ratings shopping in the corporate bond market. By estimating systematic differences in agencies' biases about any given firm's bonds, I show that new bonds are more likely to be rated by agencies that are positively biased towards the firm---a pattern that is...

What is a good and effective creditor protection system? Can a creditor protection system, understood as a variety of mechanisms employed jointly or individually to protect the interests of creditors, deliver for all creditors, or are there different systems of creditor protection needed for...

The JOBS Act directly affects access to public equity for emerging growth companies (EGCs) by lowering regulatory requirements to conduct initial public offerings (IPOs). Indirectly, improved access to equity markets may alter how other capital providers engage with EGC firms, which may further...

Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between Merton-type and Black-Cox-type structural default models. Our...

This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing through public credit registries is negatively associated...

We study non-performing loan (NPL) resolution using proprietary data on NPL transactions in China. We find these transactions – driven by tighter financial regulation – are consistent with banks concealing non-performing assets from regulators as (i) transaction prices do not compensate for...

Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance. It is most simply defined as the...

This paper examines the relationship between three government support measures (debt moratorium, credit guarantee programs, and payroll subsidies) and the firm's payment behavior on loans in Colombia. To do so, we take advantage of the COVID-19 pandemic and use it as a case study. Using highly...