Abstract: Financial integration has been pursued aggressively across the globe in the last ?fty years; however, there is no conclusive evidence on the diversi?cation gains (or losses) of such e?orts. These gains (or losses) are related to the degree of comovements and synchronization among...

Abstract: Financial integration has been pursued aggressively across the globe in the last fifty years; however, there is no conclusive evidence on the diversification gains (or losses) of such efforts. These gains (or losses) are related to the degree of comovements and synchronization among...

Abstract: We design a financial network model that explicitly incorporates linkages across institutions through a direct contagion channel, as well as an indirect common exposure channel. In particular, common exposure is setup so as to link the financial to the real sector. The model is...

Abstract:Asset correlations are of critical importance in quantifying portfolio credit risk and economic capital in financial institutions. Estimation of asset correlation with rating transition data has focused on the point estimation of the correlation without giving any consideration to the...

Purpose – Commodity price volatility and small variations in climate conditions may have an important impact on the creditworthiness of any agricultural project. The evolution of such risk factors is vital for the credit risk analysis of a rural bank. The purpose of this paper is to determine...