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The Optimal Regulation of Credit Rating Agencies

Forster, Josef - 2008

Credit rating agencies (CRAs) very often have been criticized for announcing inaccurate credit ratings and are suspected of being exposed to conflicts of interest. Despite these objections CRAs remained largely unregulated. Based on Pagano & Immordino (2007), we study the optimal regulation of...

Persistent link: https://www.econbiz.de/10010427528

The optimal regulation of credit rating agencies

Forster, Josef - 2008

Persistent link: https://www.econbiz.de/10003951560

Slippery Slopes of Stress : Ordered Failure Events in German Banking

Kick, Thomas K. - 2016

Outright bank failures without prior indication of financial instability are very rare. Supervisory authorities monitor banks constantly. Thus, they usually obtain early warning signals that precede ultimate failure and, in fact, banks can be regarded as troubled to varying degrees before...

Persistent link: https://www.econbiz.de/10012989299

The Information in Systemic Risk Rankings

Nucera, Federico - 2016

components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … implied ranking from the principal components is less volatile than most individual risk rankings and leads to less turnover … systemic risk ranking by relating it to credit default swap premia …

Persistent link: https://www.econbiz.de/10013001189

Uncertainty in Systemic Risks Rankings : Bayesian and Frequentist Analysis

Goldman, Elena - 2023

We propose efficient Bayesian Hamiltonian Monte Carlo method for estimation of systemic risk measures, LRMES, SRISK and ∆CoVaR, and apply it for thirty global systemically important banks and for eighteen largest US financial institutions over the period of 2000-2020. The advantage of the...

Persistent link: https://www.econbiz.de/10014256984

Optimal Portfolio Liquidation for CARA Investors

Schied, Alexander - 2015

We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...

Persistent link: https://www.econbiz.de/10012707787

Bank Loans and Bond Prices

Weston, James - 2020

We test whether bank loans change public bond yields. A 10% increase in bank debt raises bond yields by 15bps, reflecting a trade-off between the benefits of bank cross-monitoring and higher bond risk. This effect is smaller for firms with no CDS and junk debt, where bank monitoring is most...

Persistent link: https://www.econbiz.de/10012851286

Simultaneous Debt-Equity Holdings and The Resolution of Financial Distress

Chu, Yongqiang - 2020

Constructing a comprehensive data set of financially distressed firms that restructured their debts from 2000-2014, we find that firms with financial institutions' debt-equity simultaneous holdings are more likely to restructure out of court than to file for bankruptcy. The effect is stronger...

Persistent link: https://www.econbiz.de/10012851833

Bank Loan Renegotiation and Credit Default Swaps

Clark, Brian J. - 2020

Using Roberts (2015) loan-level data from 2000 to 2011, we find that the inception of CDS trading on reference firms' debt is associated with a decreased number and lower probability of amendments, restatements, and rollovers to existing lenders of bank loans. Reference firms are also less...

Persistent link: https://www.econbiz.de/10012853623

Stressed Distance to Default and Default Risk

Guo, Nan - 2020

Distance to default (DTD) is a strong predictor of default risk derived from structural models. This paper specifies a stressed version of DTD ("stressed DTD'') to measure time-varying corporate default risk in the event that a systematic stress scenario occurs. Compared with the ordinary DTD,...

Persistent link: https://www.econbiz.de/10012842858

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