Similar Search Results

Correlation between intensity and recovery in credit risk models

Gaspar, Raquel M.; Slinko, Irina - 2005

We start by presenting a reduced-form multiple default type of model and derive abstract results on the influence of a state variable X on credit spreads, when both the intensity and the loss quota distribution are driven by X. The aim is to apply the results to a concrete real life situation,...

Persistent link: https://www.econbiz.de/10010281231

Euro interest rate swap yields : a GARCH analysis

Akram, Tanweer; Mamun, Khawaja Abdullah al - 2023

This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows that the change in the short-term interest rate has an economically and statistically significant effect on the change in EUR swap yields of different maturity tenors, after...

Persistent link: https://www.econbiz.de/10014438498

On the neutrality of credit-driven asset bubbles

Reicher, Christopher Phillip - 2011

output comes from an unusual regime. -- Bubbles ; fiscal theory of the price level ; collateral constraints ; neutrality …This paper proposes and tests a theory of credit-driven asset bubbles which are neutral in their real effects. When a … lender such as a government, central bank, or banking sector is willing to lend infinitely against collateral, explosive …

Persistent link: https://www.econbiz.de/10008904609

Lending standards and output growth

Kirti, Divya - 2018

While some credit booms are followed by economic underperformance, many are not. Can lending standards help separate good credit booms from bad credit booms contemporaneously? To observe lending standards internationally, I use information from primary debt capital markets. I construct the...

Persistent link: https://www.econbiz.de/10011978753

Contingent Credit Under Stress

Acharya, Viral V.; Jager, Maximilian; Steffen, Sascha - National Bureau of Economic Research - 2023

Over the past two decades, banks have increasingly focused on offering contingent credit in the form of credit lines as a primary means of corporate borrowing. We review the existing body of research regarding the rationales for banks' provision of liquidity insurance in the form of credit...

Persistent link: https://www.econbiz.de/10014437040

Contingent credit under stress

Acharya, Viral V.; Jager, Maximilian; Steffen, Sascha - 2023

Persistent link: https://www.econbiz.de/10014422389

Systemic risk and monetary policy : the haircut gap channel of the lender of last resort

Jasova, Martina; Laeven, Luc; Mendicino, Caterina; … - 2021

Persistent link: https://www.econbiz.de/10012543134

Interest rates or haircuts? : prices versus quantities in the market for collateralized risky loans

Barsky, Robert B.; Bogusz, Theodore; Easton, Matthew - 2016

) and a specification of the amount of collateral per dollar of lending. The latter is summarized by the margin or "haircut …" associated with the loan. Some key models of endogenous collateral constraints imply that the primary equilibrating force will be … the part of borrowers has profound effects on asset prices. Quantitative analysis of a model of collateral equilibrium …

Persistent link: https://www.econbiz.de/10011569701

To ask or not to ask : bank capital requirements and loan collateralization

Degryse, Hans; Karapetyan, Artashes; Karmakar, Sudipto - 2019

Persistent link: https://www.econbiz.de/10011967074

How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches

Scheicher, Martin - 2008

This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...

Persistent link: https://www.econbiz.de/10011604956