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Corporate credit risk premia
Berndt, Antje; Douglas, Rohan; Duffie, Darrell; … - 2017
We measure credit risk premia---prices for bearing corporate default risk in excess of expected default losses---using Markit CDS and Moody's Analytics EDF data. We find dramatic variation over time in credit risk premia, with peaks in 2002, during the global financial crisis of 2008-09, and in...
Persistent link: https://www.econbiz.de/10011873159
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Monetary policy under subjective beliefs of banks: optimal central bank collateral requirements
Böser, Florian - 2021 - This version: June 29, 2021
bank's choice of collateral standards in its lending facilities. Optimism on the side of banks, entailing a higher … collateral value of bank loans, can lead to excessive lending and bank default. Pessimism, though, can entail insufficient … lending and productivity losses. With an appropriate haircut on collateral, the central bank can perfectly neutralize the …
Persistent link: https://www.econbiz.de/10012585474
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Much ado about nothing : a study of differential pricing and liquidity of short and long term bonds
Driessen, Joost; Nijman, Theodore E.; Simon, Zorka - 2018
Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the differential pricing and liquidity of short and long maturity...
Persistent link: https://www.econbiz.de/10011940016
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CDO pricing with copulae
Choroś, Barbara; Härdle, Wolfgang Karl; Okhrin, Ostap - 2009
Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The presented method is used...
Persistent link: https://www.econbiz.de/10010274153
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Credit rating downgrade risk on equity returns
Brakatsoulas, Periklis; Kukacka, Jiri - 2020
across several estimation methods. Panel Granger causality test results indicate that there indeed is a Granger …
Persistent link: https://www.econbiz.de/10012242861
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The short-run effect of monetary policy shocks on credit risk : an analysis of the euro area
Kim, Chi Hyun; Other, Lars - 2019
We examine the credit channel of monetary policy from 2000 to 2015 in the Euro Area using daily monetary policy shock and credit risk measures in an autoregressive distributed lag model. We find that an expansionary monetary policy shock leads to a short-run increase in the credit risk of...
Persistent link: https://www.econbiz.de/10011963607
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Credit risk assessment considering variations in exposure : application to commitment lines
Fujiwara, Shigeaki - 2008
Persistent link: https://www.econbiz.de/10003650951
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Collateralized debt networks with lender default
Chang, Jin Wook - 2019
collateral for that lending was tied up in the bankruptcy process. I study the implications of such lender default using a … contagion through endogenous collateral price. Borrowers diversify their lenders because of the counterparty risk, but they have …
Persistent link: https://www.econbiz.de/10012388117
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To ask or not to ask? : bank capital requirements and loan collateralization
Degryse, Hans; Karapetyan, Artashes; Karmakar, Sudipto - 2018
Persistent link: https://www.econbiz.de/10012098837