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Credit Risk Modelling Under Recessionary and Financial Distressed Conditions

Dendramis, Yiannis - 2017

This papers provides clear cut evidence that recessionary and financial distressed conditions, as well as banning foreclosure laws, often introduced by governments to mitigate the effects of the economic and/or financial distressed conditions on mortgage loans, have adverse effects on the loan...

Persistent link: https://www.econbiz.de/10012969506

Disastrous Defaults

Gouriéroux, Christian - 2020

We define a disastrous default as the default of a systemic entity, which has a negative effect on the economy and is contagious. Bringing macroeconomic structure to a no-arbitrage asset pricing framework, we exploit prices of disaster-exposed assets (credit and equity derivatives) to extract...

Persistent link: https://www.econbiz.de/10012852194

Predicting Default Risk under Asymmetric Binary Link Functions

Dendramis, Yiannis - 2019

In this paper we propose the use of an asymmetric binary link function to extend the proportional hazard model for predicting loan default. The rationale behind this approach is that the symmetry assumption, that has been widely used in the literature, could be considered as quite restrictive,...

Persistent link: https://www.econbiz.de/10012892405

Disastrous Defaults

Gouriéroux, Christian - 2020

We define a disastrous default as the default of a systemic entity. Such an event is expected to have a negative effect on the economy and to be contagious. Bringing macroeconomic structure to a noarbitrage asset-pricing framework, we exploit prices of disaster-exposed assets (credit and equity...

Persistent link: https://www.econbiz.de/10012823414

The term structure of interbank risk

Filipović, Damir; Trolle, Anders B. - In: Journal of financial economics 109 (2013) 3, pp. 707-733

Persistent link: https://www.econbiz.de/10010205349

The strategic determination of the supply of liquid assets

Geromichalos, Athanasios; Herrenbrueck, Lucas - 2016

determine asset liquidity. In our model, two asset suppliers try to profit from the liquidity services their assets confer …. Asset liquidity is indirect in the sense that assets can be sold for money in over-the-counter (OTC) secondary markets … liquidity of two assets. Asset demand curves can slope upward for evenmodest degrees of increasing returns in the matching …

Persistent link: https://www.econbiz.de/10011478980

Credit Bubbles in Arbitrage Markets : The Geometric Arbitrage Approach to Credit Risk

Farinelli, Simone - 2019

We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given defaults characterizing the...

Persistent link: https://www.econbiz.de/10012904838

Unsecured Credit Supply Risk and Bond Prices

Mabille, Pierre - 2021

Changes in credit supply induce large and frequent variations in households' access to unsecured debt. They generate a novel financial precautionary motive, which compounds the classical motive associated with idiosyncratic income risk, as borrowers accumulate risk-free bonds to hedge against...

Persistent link: https://www.econbiz.de/10013239541

Regime Switching and Bond Pricing

Gouriéroux, Christian - 2013

This article proposes an overview of the usefulness of the regime switching approach for building various kinds of bond pricing models and of the roles played by the regimes in these models. Both default-free and defaultable bonds are considered. The regimes can be used to capture stochastic...

Persistent link: https://www.econbiz.de/10013074171

Aggregate Risk in the Term Structure of Corporate Credit

Poeschl, Johannes; Yamarthy, Ram - 2022

Recent crises have emphasized the tail risks present in corporate credit markets. Using credit default swap (CDS) data across maturities, we document two patterns. First, while the CDS term structure is generally upward sloping, financially constrained firms exhibit a negative slope. Second,...

Persistent link: https://www.econbiz.de/10014239690