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Probabilities of Default and the Market Price of Risk in a Distressed Economy
Basurto, Miguel A. Segoviano; Espinoza, Raphael A. - International Monetary Fund (IMF) - 2011
We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk aversion the CDS-implied probabilities of distress. The method is based, for simplicity, on a one-factor asset pricing model. The market price of risk under stress (the...
Persistent link: https://www.econbiz.de/10009019585
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Credit supply to personal bankruptcy filers: evidence from credit card mailings
Han, Song; Keys, Benjamin J.; Li, Geng - Federal Reserve Board (Board of Governors of the … - 2011
Are consumers who have filed for personal bankruptcy before excluded from the unsecured credit market? Using a unique … default risk--those with a bankruptcy history. On average, over one-fifth of personal bankruptcy filers receive at least one … offer in a given month, with the likelihood being even higher for those who filed for bankruptcy within the previous two …
Persistent link: https://www.econbiz.de/10009024044
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Local governments on the brink (Special Issue)
Mattoon, Rick - In: Chicago Fed Letter (2011) May
This article examines the likelihood of local governments defaulting on their debt or filing for bankruptcy. Despite …
Persistent link: https://www.econbiz.de/10009024090
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Are credit default swaps associated with higher corporate defaults?
Peristiani, Stavros; Savino, Vanessa - Federal Reserve Bank of New York - 2011
proportional hazard model of bankruptcy and Merton’s contingent claims approach, we estimate the probability of default for U …
Persistent link: https://www.econbiz.de/10009131506
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Are Fast Court Proceedings Good or Bad?: Evidence from Japanese Household Panel Data
Horioka, Charles Yuji; Sekita, Shizuka - HAL - 2009
We analyze the effect of the degree of judicial enforcement on the probability of credit constraints, the amount of loan and the probability of default. Contrary to the traditional view on judicial efficiency of credit market, our estimation results show that better judicial enforcement...
Persistent link: https://www.econbiz.de/10008792424
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THE EFFECTS OF THE FINANCIAL CRISIS ON THE METHODS OF BANKS STRAIGHTENING OUT
Tulească, LuminiŃa - In: Romanian Economic Business Review 5 (2010) 1, pp. 76-95
of the bank insolvency status. The present financial systemic crisis enforced some exceptional forms of banks “express …
Persistent link: https://www.econbiz.de/10008835139
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Keeping out Trojan Horses: Auctions and Bankruptcy in the Laboratory
Onderstal, Sander; Veen, Ailko van der - Tinbergen Institute - 2011
If a government auctions the right to market a good, continuity is likely to be of significant importance. In a laboratory experiment, we compare the effects of bidders' limited liability in the first-price sealed-bid auction and the English auction in a common value setting. Our data strongly...
Persistent link: https://www.econbiz.de/10008838652
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The Dynamics of Large and Small Chapter 11 Cases: An Empirical Study
Baird, Douglas; Bris, Arturo; Zhu, Ning - School of Management, Yale University - 2007
This paper shows that the dynamics of Chapter 11 turn dramatically on the size of the business. The vast majority of the assets administered in Chapter 11 are concentrated in a handful of large cases, but most of the businesses in Chapter 11 are small, and the smaller the business, the smaller...
Persistent link: https://www.econbiz.de/10008852950
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The Current Global Financial Crisis 2008-2012
Shala, Albulena; Livoreka, Besnik; Berisha, Vlora; … - In: Acta Universitatis Danubius. OEconomica (2013) 6(6), pp. 106-125
The current global financial crisis is considered as one of the biggest crises after the crisis of the years of 30’s. The global financial crisis has affected all countries including developed and developing ones. It also has affected all the industries. Population with the low-income faced...
Persistent link: https://www.econbiz.de/10011145087
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The Foster-Hart measure of riskiness for general gambles
Hellmann, Tobias; Riedel, Frank - In: Theoretical Economics 10 (2015) 1
Foster and Hart propose a measure of riskiness for discrete random variables. Their defining equation has no solution for many common continuous distributions. We show how to extend consistently the definition of riskiness to continuous random variables. For many continuous random variables, the...
Persistent link: https://www.econbiz.de/10011145589