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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

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

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

Pricing of Counterparty Risk and Funding With CSA Discounting, Portfolio Effects and Initial Margin

Biagini, Francesca; Oliva, Immacolata - 2020

In this paper we extend the existing literature on xVA along three directions. First, we extend existing BSDE-based xVA frameworks to include initial margin by following the approach of Crépey (2015a) and Crépey (2015b). Next, we solve the consistency problem that arises when the front- office...

Persistent link: https://www.econbiz.de/10012849115

Government Debt Maturity and Term Structure of Credit Spreads

Gao, Xiang - 2020

causality. Additional tests suggest that our findings are because the safety, rather than the liquidity, attribute of government …

Persistent link: https://www.econbiz.de/10012834762

Inside the Emerging Markets Risky Spreads and Credit Default Swap - Sovereign Bonds Basis

Yordanov, Vilimir - 2018

The paper considers a no-arbitrage setting for pricing and relative value analysis of risky sovereign bonds. The typical case of an emerging market country (EM) that has bonds outstanding both in foreign hard currency (Eurobonds) and local soft currency (treasuries) is inspected. The resulting...

Persistent link: https://www.econbiz.de/10012937615

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