Default correlation is a critical concept in risk management for fixed income investment, bank management, and insurance industry, working capital management, among many. We extend the Leland-Toft term structure model into a two-firm environment and predict the default correlation between two...

Stable banks in individual ASEAN countries are essential to the economic stability of the ASEAN region as these countries move towards the goal of greater financial integration in the region. This study comprehensively explores bank risk in Malaysia as compared to the ASEAN region over an...

The Global Financial Crisis had a severe impact on the commodity markets on top of the well-known effects on the worldwide economy. Not only the demand for commodities decreased severely thereby hurting the creditworthiness of participants in the wholesale commodity markets, but also the...

We estimate a Pareto distribution for loan losses, as an alternative to the commonly used Vasicek distribution, using simulated data. A key assumption in the construction of Vasicek distribution is that firm-level risk is idiosyncratic. It also assumes that firm exposure to systemic risk is...

This study explores the impact of credit risk on the performance of UOB Bank of Singapore. The data for this study comes from the annual reports of the bank for five years. This study purpose is to analyse the impact of credit risk of UOB Bank of Singapore towards its financial performance. The...

Do credit ratings affect the information content of corporate disclosure? Using novel data on rating analysts to obtain exogenous variation in rating information, we find that greater uncertainty in credit ratings increases the quality of information disclosed by the firm. This is consistent...

During 2008, the sudden widening of credit spreads led to a rapid decrease in the value of many financial assets, revealing a general shortage of capital for many financial institutions, with some critical peaks that required fund injection and public bailouts.The evidence of a substantial...

We investigate the causal effects of anti-corruption on the credit risk of local financing vehicles (LFVs) and the pricing of Chengtou bonds (CBs) in China. Difference-in-differences estimates show that anti-corruption decreases LFVs' earnings, thereby increasing LFVs' credit risk. This...

If the creditworthiness of a counterparty is a derivative of a commodity price, there is the potential to have right- or wrong-way exposures in respective commodity transaction. Identifying them is important, because otherwise credit costs might be inadequately calculated and wrong incentives...

We explore the design of climate stress tests to assess and manage macro-prudential risks from climate change in the financial sector. We review the climate stress scenarios currently employed by regulators, highlighting the need to (i) consider many transition risks as dynamic policy choices;...