We derive the effects of credit risk transfer (CRT) markets on real sector productivity and on the volume of financial intermediation in a model where banks choose their optimal degree of CRT and monitoring. We find that CRT increases productivity in the up-market real sector but decreases it in...

Diese Arbeit präsentiert einen systematischen Zugang zu der Worst-Case-Analyse des Kreditrisikos eines Portfolios aus Finanzderivaten wie Optionen und Swaps...

This study provides a rigorous empirical comparison of structural and reduced-formcredit risk frameworks. As major difference we focus on the discriminative modelingof the default time. In contrast to the previous literature, we calibrate both approaches to the same data set, apply comparable...

We analyze the connections between the credit spreads that the same credit risk commands in different currencies. We show that the empirically observed differences in these credit spreads are mostly driven by the dependency between the default risk of the obligor and the exchange rate. In our...