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Brož, Václav; Kočenda, Evžen - 2019

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U …

Persistent link: https://www.econbiz.de/10012061369

Arrears on Mortgages : Differences Across Countries and Their Effect on the Pricing of the Loan

Magri, Silvia - 2009

highest percentage of households in arrears in Italy and Spain. The probability of being late in repaying mortgage is lower … second part of the paper, we assess how much the price of the mortgage is linked to the household specific credit risk, as … measured by its predicted probability of being in arrears on mortgage. This analysis regards only Italian households for which …

Persistent link: https://www.econbiz.de/10013156811

The "Celtic crisis" : guarantees, transparency, and systemic liquidity risk ; conference paper

König, Philipp Johann; Anand, Kartik; Heinemann, Frank - 2013

Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and stave off bank runs. However, as the experience of some European countries, most notably Ireland, has demonstrated, the credibility and effectiveness of these guarantees is...

Persistent link: https://www.econbiz.de/10010344594

Default Risk of Advanced Economies : An Empirical Analysis of Credit Default Swaps during the Financial Crisis

Dieckmann, Stephan - 2011

What determines the price of insurance against default of advanced economies? Our laboratory to answer this question is the credit default swap (CDS) market on government debt of 18 advanced economies. The price of credit protection on these countries shows a strong degree of co-movement, has...

Persistent link: https://www.econbiz.de/10013133790

Global credit risk : world, country and industry factors

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2015

This paper investigates the dynamic properties of systematic default risk conditions for firms from different countries, industries, and rating groups. We use a high-dimensional nonlinear non-Gaussian state space model to estimate common components in corporate defaults in a 41 country sample...

Persistent link: https://www.econbiz.de/10010484886

Two Sides of the Same Coin Insolvency Risk Measurement and Capital Adequacy Rules for Basel III

Gan, Vincent B.Y. - 2017

This paper studies the economic and theoretical foundations of insolvency risk measurement and capital adequacy rules … measuring insolvency risk and capital adequacy in Basel III. We show how insolvency risk measurement, capital adequacy and … integrated measure of risk and capital by disentangling assets, debt and equity; the Firm Insolvency Risk Index (FIRI) that is …

Persistent link: https://www.econbiz.de/10012959099

Circular Economy and Default Risk

Zara, Claudio; Ramkumar, Shyaam - 2021

By decoupling economic growth from the exploitation of virgin raw materials and environmental degradation, as well as by developing practices more resilient to the economic cycle, Circular Economy (CE) offers effective hedging of linear risks and shields from that of stranded values. We tested...

Persistent link: https://www.econbiz.de/10013312098

Destroying collateral : asset security and the financing of firms

Rubin, Janet; Wagner, Rodrigo - In: Applied economics letters 22 (2015) 7/9, pp. 704-709

Persistent link: https://www.econbiz.de/10010530080

Private debt in Sweden in 1900-2013 and the risk of financial crisis

Ahnland, Lars - In: Scandinavian economic history review 63 (2015) 3, pp. 302-323

Persistent link: https://www.econbiz.de/10011416828

Brož, Václav; Kočenda, Evžen - 2020

Persistent link: https://www.econbiz.de/10012545601

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