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Systemic Liquidity Crisis with Dynamic Haircuts
Sever, Can - Volkswirtschaftliche Fakultät, … - 2014
In this paper, using network tools, I analyse systemic impacts of liquidity shocks in interbank market in case of … endogenous haircuts. Gai, Haldane and Kapadia (2011) introduce a benchmark for liquidity crisis following haircut shocks, and … liquidity level and distribution on crisis. As well as aggregate and idiosyncratic shocks, by considering possible correlations …
Persistent link: https://www.econbiz.de/10011111629
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The Valuation of Credit Default Swap with Counterparty Risk and Collateralization
Xiao, Tim - 2019
This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most...
Persistent link: https://www.econbiz.de/10012864846
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Financial Crises, Financing Sources, and Default Risks
Chiu, Wan-Chien - 2014
Persistent link: https://www.econbiz.de/10013045203
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The Effect of Rollover Risk on Default Risk : Evidence from Bank Financing
Chiu, Wan-Chien - 2015
We study the effect of rollover risk on the risk of default using a comprehensive database of U.S. industrial firms during 1986–2013 This article is the most thoroughgoing empirical research to date to support the existence of a rollover risk effect on the risk of default. A one standard...
Persistent link: https://www.econbiz.de/10013033588
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The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
Xiao, Tim - 2015
This article presents a comprehensive framework for valuing financial instruments subject to credit risk and collateralization. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats to financial markets. Some...
Persistent link: https://www.econbiz.de/10013035565
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Financial Crises, Financing Sources, and Default Risks
Chiu, Wan-Chien - 2014
We examine the mechanism through which a financial crisis affects the default risk of real economy firms. Specifically, firms with strong dependence on bank financing suffer higher increases in default risk than firms with no such dependence. Conversely, firms relying solely on financing from...
Persistent link: https://www.econbiz.de/10013062942
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THE CONCEPTUAL FOUNDATIONS, PRINCIPLES AND CRITERIA FOR STABILITY OF BANKS IN THE CONTEXT OF THEIR FINANCIAL SECURITY
MĂRGINEANU, Dina - In: ECONOMY AND SOCIOLOGY: Theoretical and Scientifical Journal (2014) 1, pp. 148-154
Financial systems in our contemporary stage undergo significant changes, but in fact as economy in general, due to a number of factors among which we can mention: technological and financial innovations, intense liberalization of both the real and financial flows, intensification of the process...
Persistent link: https://www.econbiz.de/10011007640
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The Effect of Rollover Risk on Default Risk : Evidence from Bank Financing
Chiu, Wan-Chien - 2015
This empirical examination of the effect of rollover risk on default risk uses a database of U.S. industrial firms during 1986-2011. This article represents the most comprehensive empirical study to date to support the existence of a rollover risk effect on default risk. This paper investigates...
Persistent link: https://www.econbiz.de/10013028447
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How Can Economic Stochasticity Promote or Prevent Corporate Defaults?
Parnes, Dror - 2011
This study theoretically examines under what circumstances economic cycles advance or deter corporate defaults. We find that an ongoing catastrophe dominates other macroeconomic conditions and forces corporate failures. In contrast, when a catastrophe is unlikely, a constant economy permits...
Persistent link: https://www.econbiz.de/10013133440