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Kenyon, Chris - 2013

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...

Persistent link: https://www.econbiz.de/10013087656

Assessing Corporate Credit Risk Transitions and Bankruptcy Prediction on SMEs as a Result of the COVID-19 Pandemic

Altman, Edward I.; Sieradzki, Rafal; Thlon, Michał - 2022

We estimate the impact of the COVID-19 pandemic on credit risk changes on a large sample of Polish SME firms. The Altman Z"-Score model, which has proven to be a powerful and robust bankruptcy prediction model across many industries and countries, is used to assess over 1,000 SMEs from seven...

Persistent link: https://www.econbiz.de/10013298186

Are corporate bond defaults contagious across sectors?

Ellis, Colin - In: International Journal of Financial Studies : open … 8 (2020) 1/1, pp. 1-17

Corporate bond defaults in different sectors often increase suddenly at roughly similar times, although some sectors see default rates jump earlier than others. This could reflect contagion among sectors-specifically, defaults in one sector leading to credit stresses in other sectors of the...

Persistent link: https://www.econbiz.de/10012168967

Ibbotson’s Default Premium : Risky Data

Hallerbach, Winfried G. - 2014

Ibbotson's “Stocks, Bonds, Bills and Inflation” data set is widely used because it provides monthly US financial data series going back to as early as 1926. In this data set, the “default premium” is calculated as the difference between the total returns on long-term corporate bonds and...

Persistent link: https://www.econbiz.de/10013067626

Pricing Default Events : Surprise, Exogeneity and Contagion

Gourieroux, Christian - 2013

In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically price the default intensities, but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the...

Persistent link: https://www.econbiz.de/10013074161

Disastrous Defaults

Gourieroux, Christian - 2020

We define a disastrous default as the default of a systemic entity. Such an event is expected to have a negative effect on the economy and to be contagious. Bringing macroeconomic structure to a noarbitrage asset-pricing framework, we exploit prices of disaster-exposed assets (credit and equity...

Persistent link: https://www.econbiz.de/10012823414

Credit Risk Modelling Under Recessionary and Financial Distressed Conditions

Dendramis, Yiannis - 2017

This papers provides clear cut evidence that recessionary and financial distressed conditions, as well as banning foreclosure laws, often introduced by governments to mitigate the effects of the economic and/or financial distressed conditions on mortgage loans, have adverse effects on the loan...

Persistent link: https://www.econbiz.de/10012969506

Disastrous Defaults

Gourieroux, Christian - 2020

We define a disastrous default as the default of a systemic entity, which has a negative effect on the economy and is contagious. Bringing macroeconomic structure to a no-arbitrage asset pricing framework, we exploit prices of disaster-exposed assets (credit and equity derivatives) to extract...

Persistent link: https://www.econbiz.de/10012852194

A Value at Risk Analysis of Credit Default Swaps

Raunig, Burkhard - 2016

We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at … Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity. Our sample consists of CDS – stock … is usually far larger than the VaR for a position in the same firm's CDS. However, the distance between CDS VaR and …

Persistent link: https://www.econbiz.de/10012989272

What does the CDS market imply for a U.S. default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023 - Revised: May 17, 2023

(CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a … significant increase in U.S. CDS trading activity and positions, accompanied by a spike in CDS premiums. We estimate an increase … in part to the cheapening of deliverable Treasury collateral to CDS contracts. …

Persistent link: https://www.econbiz.de/10014249852

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