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The 2025 U.S. debt limit through the lens of financial markets

Benzoni, Luca; Wernick, Marisa - 2025 - This draft: May 27, 2025

trading activity in the U.S. sovereign CDS market, and we infer a probability of default from CDS premiums. We find that …

Persistent link: https://www.econbiz.de/10015407927

Collateral-Enhanced Default Risk

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

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

Serial Default and Debt Renegotiation

Asonuma, Tamon - 2014

Emerging countries that have defaulted on their debt repayment obligations in the past are more likely to default again in the future than are non-defaulters even with the same debt-to-GDP ratio. This paper explains this stylized fact within a dynamic stochastic general equilibrium framework by...

Persistent link: https://www.econbiz.de/10013056385

What Does the CDS Market Imply for a U.S. Default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023

default swaps (CDS) market, as well as a spike in U.S. CDS premiums. Compared with the periods leading up to the 2011 and 2013 … debt ceiling episodes, we show that elevated CDS spreads in the current environment are partially explained by the … cheapening of deliverable Treasury collateral to CDS contracts. We infer the likelihood of a U.S. default from these CDS premiums …

Persistent link: https://www.econbiz.de/10014355266

Disastrous Defaults

Gouriéroux, 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

Predicting Default Risk under Asymmetric Binary Link Functions

Dendramis, Yiannis - 2019

In this paper we propose the use of an asymmetric binary link function to extend the proportional hazard model for predicting loan default. The rationale behind this approach is that the symmetry assumption, that has been widely used in the literature, could be considered as quite restrictive,...

Persistent link: https://www.econbiz.de/10012892405

Disastrous Defaults

Gouriéroux, 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