Pricing and hedging structured credit products poses major challenges to financial institutions. This has become very clear during the recent credit crisis. This paper puts several valuation approaches through a crucial test: How did these models perform in one of the worst periods of economic...

This paper explores the impact of the European debt crisis on the valuation of sovereign debt in the euro area in a structural model that merges a sovereign country's stock market, CDS market, and its national finances. By estimating the model over the period from July 2007 to April 2012 using...

Credit risk models have played a key part in the global credit crisis. The main shortcomings of these models are examined and a new causal framework is proposed to build deductive credit default models that have predictive capabilities

This paper evaluates the impact of accounting and market-driven information on the prediction of bankruptcy for Greek firms using the discrete hazard approach. The findings show that a hazard model that incorporates three accounting ratio components of Z-score and three market-driven variables...

In this paper we apply the Contingent Claims Analysis (CCA) to the banking sector in Greece with a particular focus on the years of the Greek debt crisis. Greece was selected primarily because its banking sector was hit hard due to the country's government debt default and its large exposure to...

We propose an explanation for default contagion based on a Lucas model with two independent debt-financed trees. The transmission mechanism is that variations in the size of one tree impact the level of risk premium and the default decision for all borrowers. If a negative shock hits one tree,...

I show that disruptions to personal sources of financing, aside from commercial lending supply shocks, impair the survival and growth of small businesses. Entrepreneurs holding deposit accounts at retail banking institutions that defaulted following the financial crisis reduce personal borrowing...

Utilising a unique data set with annual accounts from around 37,000 Danish non-financial firms spanning one and a half decade or so, we offer microeconometric evidence on bankfirm relationships and the performance of non-financial firms during the financial crisis 2008-09. Two major conclusions...

This paper examines the implications that alternative regulatory structures may have for resolving failed banking institutions. We place our emphasis on the European Union (EU), which is both economically and financially large and has several features relating to cross-border banking in the form...

This paper examines the negative externalities that may occur when a large bank fails, describes the nature of those externalities, and explores whether they may be greater in a case involving a large cross-border banking organization. The analysis suggests that the chief negative externalities...