Credit rating agencies have been heavily criticized both for providing overly optimistic ratings for structured finance products and the timeliness of their rating changes for financial institutions hit hard by the 2007 to 2009 crisis. While the role of rating agencies in the structured finance...

This article takes a first step in evaluating a commonly used assumption in recent quantitative analyses of unsecured household borrowing -- the temporary exclusion of defaulting borrowers from credit markets. Exclusion from credit markets is an attractive modeling device for tractably modeling...

This article provides a generalized two-firm model of default correlation, based on the structural approach that incorporates interest rate risk. In most structural models default is driven by the firms' asset dynamics. In this article, a two-firm model of default is instead driven by the...

We investigate whether and how business credit information sharing helps to better assess the default risk of private firms. Private firms represent an ideal testing ground because they are smaller, more informationally opaque, riskier, and more dependent on trade credit and bank loans than...

Interconnectedness between economic institution and sectors, already recognised as a trigger of the great financial crisis in 2008-2009, is assuming growing importance in financial systems. In this paper we study contagion effects between corporate sectors using financial network models, in...

The paper quantifies the influence of interest rates and inflation rates on default rates of banks. By expanding the work of Duffee (1998), with the unspanned risks as in the work of Joslin, Priebsch, and Singleton (2014), we estimate a multifactor model with unspanned interest rates and...

Some homeowners might intentionally skip mortgage payments that they can afford to be eligible for mortgage modification programs, such as Home Affordable Mortgage Program (HAMP). We use a natural experiment to investigate such strategic behavior. We find that the modification program not only...

Manipulation of hard information has been at the center of a wave of investigations into fraudulent bank behavior, such as mis-selling of mortgages and rigging of LIBOR and FX rates. Despite these prominent cases, little is known as to why employees manipulate hard information. Using almost a...