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On Financial Frictions and Firm Market Power
Casares, Miguel - 2019
We build a static general-equilibrium model with monopolistically competitive firms that borrow funds from competitive banks in an economy subject to financial frictions. These frictions are due to non verifiability of both ex post firm returns and managerial effort. Market power has opposing...
Persistent link: https://www.econbiz.de/10012864923
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Liquidity hoarding
Gale, Douglas; Yorulmazer, Tanja - 2011
Banks hold liquid and illiquid assets. An illiquid bank that receives a liquidity shock sells assets to liquid banks in …
Persistent link: https://www.econbiz.de/10010287074
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Ratingmodell zur Quantifizierung des Ausfallrisikos von LBO-Finanzierungen
Lang, Michael; Cremers, Heinz; Hentze, Rainald - 2010
Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...
Persistent link: https://www.econbiz.de/10003939552
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Liquidity hoarding
Gale, Douglas; Yorulmazer, Tanja - 2011
Banks hold liquid and illiquid assets. An illiquid bank that receives a liquidity shock sells assets to liquid banks in …
Persistent link: https://www.econbiz.de/10008936422
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Liquidity Hoarding
Gale, Douglas - 2011
an illiquid bank hit by the shock has to sell its asset to liquid banks. When deciding whether to supply liquidity, a … liquid bank takes into account that it may itself receive a liquidity shock in the next period. If a bank gives up its … if the demand for liquidity is high. This may lead the bank to hoard liquidity, rather than lend, due to the …
Persistent link: https://www.econbiz.de/10013128785
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Financial Institution Distress and its Implications for Rating Accuracy
Purda, Lynnette D. - 2011
Credit rating agencies have been heavily criticized both for providing overly optimistic ratings for structured finance products and the timeliness of their rating changes for financial institutions hit hard by the 2007 to 2009 crisis. While the role of rating agencies in the structured finance...
Persistent link: https://www.econbiz.de/10013122764
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The Recursive Partitioning Algorithm (RPA) : A Nonparametric Classification System
Perera, Luiz C. J. - 2012
Leo Breiman (Breiman et al., 1984, 1998) was a statistician who was fond of practical applications, and this led him to develop several original studies. Based on the work begun by Friedman (1977), he developed a very accurate classification system, without the need for statistical assumptions,...
Persistent link: https://www.econbiz.de/10013100691
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Credit Ratings and Bank Monitoring Ability
Nakamura, Leonard I. - 2013
efficiently impounded in the bank ratings: The credit bureau ratings not only predict future movements in the bank ratings but … are consistent with bank loan officers placing too much weight on their private information, a form of overconfidence. To … the extent that overconfidence results in placing too much weight on private information, risk analyses of the bank loan …
Persistent link: https://www.econbiz.de/10013081556
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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
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A Simple and Precise Method for Pricing Convertible Bond with Credit Risk
Xiao, Tim - 2019
This paper presents a new model for valuing hybrid defaultable financial instruments, such as, convertible bonds. In contrast to previous studies, the model relies on the probability distribution of a default jump rather than the default jump itself, as the default jump is usually inaccessible....
Persistent link: https://www.econbiz.de/10012904996