This thesis studies the role of banks in the transmission of nominal shocks into credit markets in emerging countries. It builds on the lending channel hypothesis, which states that, due to imperfections in capital markets, banks may not be able to completely offset a negative shock to deposits...

Over the last two decades, default rates and market risk have increased substantially. A consequence of the growing global interlacing is a strong dependence between both individual stock returns and credit events. Risk management (especially risk diversification) is much more challenging,...

Financial bubbles have been present in the history of financial markets from the early days up to the modern age. An asset is said to exhibit a bubble when its market value exceeds its fundamental valuation. Although this phenomenon has been thoroughly studied in the economic literature, a...

Ziel dieser Arbeit ist die Untersuchung der Bedeutung der Spezifikation für Ratingmodelle zur Prognose von Kreditausfallwahrscheinlichkeiten. Ausgehend von dem in der Bankenpraxis etablierten Logit-Modell werden verschiedene Modellerweiterungen diskutiert und hinsichtlich ihrer Eigenschaften...

This work undertakes the first comprehensive theoretical assessment of syndicated loans. It is shown that syndicated and bilateral (single lender) loans should be good substitutes in meeting a borrower's financing requirements, but that syndicated loans are more complex and impose additional...

Many analysts believe that problems in the United States housing market initiated the 2007-2009global financial crisis. In this regard, the subprime mortgage crisis (SMC) shook the foundationsof the financial industry by causing the failure of many iconic Wall Street investment banks...

Credit risk has been identified as the main risk that can result in the failure of a bankdue to ineffective credit decisions. It is, therefore, critical for the banks to conduct creditrisk assessment on new applicants and existing customers in order to determine thelevel of affordability and...

The aim of this thesis is to thoroughly study structural default models based on jump-diffusion processes. Jump-diffusion models were first proposed by Zhou (2001), who also showed that these models have several desirable properties, most important, positive short-term spreads. On the other...

University of Minnesota Ph.D. dissertation. June 2011. Major: Business Administration. Advisor: Robert S. Goldstein. 1 computer file (PDF); ix, 117 pages, appendices p. 110-117.