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In this paper, we apply information theory measures and Markov processes in order to analyse the inequality in the distribution of the financial risk in a pool of countries. The considered financial variables are sovereign credit ratings and interest rates of sovereign government bonds of...
Persistent link: https://www.econbiz.de/10011884177
Persistent link: https://www.econbiz.de/10011600353
The traditional loans pricing methods are usually based on risk measures of individual loan's characteristics without considering the correlation between the defaults of different loans and the contribution of individual loans to the entire loan portfolio. In this study, using account-level...
Persistent link: https://www.econbiz.de/10012175768
(Netherlands) and a high-debt country (Italy). These applications illustrate the use of the model in informing diverse policy …
Persistent link: https://www.econbiz.de/10012847069
high-debt (Italy) country, and document the significance of the stock-flow tradeoff for debt sustainability, identify …
Persistent link: https://www.econbiz.de/10012851344
We consider convertible bonds that contractually stipulate payment standstill, contingent on a market indicator of a sovereign's creditworthiness breaching a distress threshold. This financial innovation limits ex-ante the likelihood of debt crises and imposes ex-post risk sharing between...
Persistent link: https://www.econbiz.de/10012855874
The recent evolution of prudential regulation establishes a new requirement for banks and supervisors to perform reverse stress test exercises in their risk assessment processes, aimed at detecting default or near-default scenarios. We propose a reverse stress test methodology based on a...
Persistent link: https://www.econbiz.de/10012322078
Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario optimization for risk management in restructuring sovereign debt. The...
Persistent link: https://www.econbiz.de/10013006075
Predicting default probabilities is at the core of credit risk management and is becoming more and more important for banks in order to measure their client's degree of risk, and for firms to operate successfully. The SVM with evolutionary feature selection is applied to the CreditReform...
Persistent link: https://www.econbiz.de/10012966306
Predicting default probabilities is at the core of credit risk management and is becoming more and more important for banks in order to measure their client's degree of risk, and for firms to operate successfully. The SVM with evolutionary feature selection is applied to the CreditReform...
Persistent link: https://www.econbiz.de/10009526609