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Hallerbach, Winfried G. - 2014

Ibbotson's “Stocks, Bonds, Bills and Inflation” data set is widely used because it provides monthly US financial data series going back to as early as 1926. In this data set, the “default premium” is calculated as the difference between the total returns on long-term corporate bonds and...

Persistent link: https://www.econbiz.de/10013067626

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

Credit and Liquidity in Interbank Rates : A Quadratic Approach

Dubecq, Simon - 2016

incorporate credit and liquidity risks. Indeed, a bank that lends on the unsecured market requires compensations for facing (a … us to decompose the whole term structure of spreads into credit and liquidity components. Our no-arbitrage econometric … recent easing in the euro interbank market comes from a decrease in liquidity-related risk premia …

Persistent link: https://www.econbiz.de/10013007148

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 Risk and the Macro Economy in an Affine Term Structure Model

Speck, Christian - 2013

In this paper, I develop a joint affine macro-finance model of the term structures of US Treasury yields and US corporate bond yields to study the interrelation between corporate lending conditions and the macro economy. A model with inflation, industrial production growth and three latent...

Persistent link: https://www.econbiz.de/10013093473

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

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

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

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

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