Similar Search Results

Assessing the Risk-Return Trade-Off in Loans Portfolios

Mencia, Javier - 2009

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

Persistent link: https://www.econbiz.de/10013158964

Essays in behavioral finance

Jaroszek, Lena - 2015

Persistent link: https://www.econbiz.de/10011391300

Measuring the covariance risk of consumer debt portfolios

Madeira, Carlos - In: Journal of economic dynamics & control 104 (2019), pp. 21-38

Persistent link: https://www.econbiz.de/10012131094

Risk and Return Prediction for Pricing Portfolios of Non-performing Consumer Credit

Wang, Siyi; Yan, Xing; Zheng, Bangqi; Wang, Hu; Xu, Wangli - 2022

We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid … of risk transferring. However, the problem is nontrivial technically and related research is absent. We tackle the …

Persistent link: https://www.econbiz.de/10013492285

Social Networks and Exchange : Self-Confirming Dynamics in Hollywood

Sorenson, Olav; Waguespack, David - 2005

Studies have consistently found that social structure influences who transacts with whom, and that actors appear to benefit when exchange occurs embedded within these relations rather than in an unstructured market. This paper argues that the apparent benefits of embedded exchange can arise from...

Persistent link: https://www.econbiz.de/10014029618

Leisure, Consumption and Long Run Risk : An Empirical Evaluation

Zhang, Xiang - 2020

I study a long-run risk model with non-separable leisure and consumption in the Epstein-Zin preferences to price a … (small) stocks do. Here leisure acts as an 'insurance' and decreases the price of long run risk. Expected returns on stocks …

Persistent link: https://www.econbiz.de/10012857084

Mortgage Rates, Household Balance Sheets, and the Real Economy

Keys, Benjamin J. - 2014

This paper investigates the impact of lower mortgage rates on household balance sheets and other economic outcomes during the housing crisis. We use proprietary loan-level panel data matched to consumer credit records using borrowers' Social Security numbers, which allows for accurate...

Persistent link: https://www.econbiz.de/10013046195

Consumer loan rate dispersion and the role of competition : evidence from Turkish banking industry

Baziki, Selva Bahar; Kılıç, Yavuz; Yılmaz, Muhammed … - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 1, pp. 27-47

This paper investigates the degree of dispersion in the loan pricing of commercial banks and its association with competitive conditions in the banking industry of a large emerging economy. To quantify the lending rate variability in consumer loans, we utilize a new indexation mechanism...

Persistent link: https://www.econbiz.de/10013269368

Delinquency and default in usa student debt as a proportional response to unemployment and average debt per borrower

Fuinhas, José Alberto; Moutinho, Victor Ferreira; … - In: Economies : open access journal 7 (2019) 4/100, pp. 1-16

We research the response of the proportion of student borrowers with ninety or more days of delinquency or in default to variables such as unemployment and the average debt per borrower after the financial crisis of 2007-2008, in the United States, using panel data of 50 states from 2008 to...

Persistent link: https://www.econbiz.de/10012132485

Does leverage predict delinquency in consumer lending? : evidence from Peru

Cuba, Walter - 2020

credit risk assessment and control. …

Persistent link: https://www.econbiz.de/10012171272

1
2
3
4
5
6
7
8
9
10
Next
Last