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The impact of the Federal Reserve's Large-Scale Asset Purchase programs on corporate credit risk
Gilchrist, Simon; Zakrajšek, Egon - In: Journal of money, credit and banking : JMCB 45 (2013), pp. 29-57
Persistent link: https://www.econbiz.de/10010344557
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A dynamic network model of the unsecured interbank lending
Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van - 2015
Persistent link: https://www.econbiz.de/10010488940
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A dynamic network model of the unsecured interbank lending market
Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van - 2015
Persistent link: https://www.econbiz.de/10010496224
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Volatility morphology of asset value and credit spread puzzle
Hu, Xiao; Tian, Xinming; Wang, Kuitai - In: International journal of financial engineering 8 (2021) 3, pp. 1-16
Persistent link: https://www.econbiz.de/10012655039
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The impact of macroeconomic and monetary policy shocks on the default risk of the euro-area corporate sector
Lo Duca, Marco; Moccero, Diego; Parlapiano, Fabio - 2024
Persistent link: https://www.econbiz.de/10014633813
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The impact of macroeconomic and monetary policy shocks on credit risk in the euro area corporate sector
Lo Duca, Marco; Moccero, Diego; Parlapiano, Fabio - 2024
We analyse the impact of macroeconomic and monetary policy shocks on corporate credit risk as measured by firms' probabilities of default (PDs) for the four largest euro area countries. We estimate the impact of shocks on one-year PDs using local projections (LP). For the period 2014-19, we find...
Persistent link: https://www.econbiz.de/10014484468
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Inertial credit and arrears in transition
Perotti, Enrico C. - 1996
Persistent link: https://www.econbiz.de/10000610568
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Investigating the role of systematic and firm-specific factors in default risk : lessons from empirically evaluating credit risk models
Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank Xiaoling - In: Credit risk : models, derivatives, and management, (pp. 155-180). 2008
Persistent link: https://www.econbiz.de/10003718458
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Annual default rates are probably less then long-run average annual default rates
Kiefer, Nicholas Maximilian (contributor) - 2008
Banks using either the Foundation or Advanced option of the Internal Ratings Based approach to credit risk under Basel II must estimate long-run annual average default probabilities for buckets of homogeneous assets. The one-factor model underlying the capital calculations in Basel II has...
Persistent link: https://www.econbiz.de/10003728251
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Firm heterogeneity and credit risk diversification
Hanson, Samuel G.; Pesaran, M. Hashem; Schuermann, Til - In: Journal of empirical finance 15 (2008) 4, pp. 583-612
Persistent link: https://www.econbiz.de/10003759687