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A Causal Framework for Credit Default Theory

Sy, Wilson N. - 2014

Most existing credit default theories do not link causes directly to the effect of default and are unable to evaluate … theories of credit default are needed to understand lending risk systematically and ultimately to measure and manage credit … risk dynamically for financial system stability. Unlike existing theories, credit default is treated in this paper by a …

Persistent link: https://www.econbiz.de/10013059630

Identifying empty creditors with a shock and micro-data

Degryse, Hans; Gündüz, Yalın; O'Flynn, Kuchulain; … - 2021

Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors" as hedged creditors have less … bank-firm CDS net notional and credit exposures we find that the probability of default for CDS firms drops when the effect … constrained embed the empty creditor effect into their probability of default estimates of affected firms to a larger extent. So …

Persistent link: https://www.econbiz.de/10012697959

Identifying empty creditors with a shock and micro-data

Degryse, Hans; Gündüz, Yalın; O'Flynn, Kuchulain; … - 2020

Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors'' as hedged creditors have less … bank-firm CDS net notional and credit exposures we find that the probability of default for firms with CDS traded on them …

Persistent link: https://www.econbiz.de/10012181510

Credit risk interconnectedness : what does the market really know?

Abbassi, Puriya; Brownlees, Christian; Hans, Christina; … - 2016

We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank...

Persistent link: https://www.econbiz.de/10011456511

What determines euro area bank CDS spreads?

Annaert, Jan; De Ceuster, Marc J.; Van Roy, Patrick; … - 2010

This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...

Persistent link: https://www.econbiz.de/10011596544