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This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during … normal and crisis periods. We find that liquidity risk is more important than credit risk regardless of market conditions …. Moreover, in the period prior to the recent ‘Great Recession’ credit risk plays no role in explaining CDS price changes. The …
Persistent link: https://www.econbiz.de/10010937354
The purpose of this study is to identify important variables that influence on credit risk. Statistical analysis was …. The achieved results indicate the relation between credit risk and independent variables were considered. The major …
Persistent link: https://www.econbiz.de/10010937939
The aim of this paper is to examine the efficiency of two credit risk modeling (CRM) to predict the credit risk of …
Persistent link: https://www.econbiz.de/10010937940
England, the Federal Reserve and the Bank of Japan on credit risk, in nine states belonging mainly to the Central and Eastern … important effect on credit risk in the case of the countries considered in this study. …
Persistent link: https://www.econbiz.de/10010938018
With a sample of twelve US bond indices spanning different maturities, credit ratings and industry sectors, we … the new capital requirements for (a) liquidity risk and credit risk through the so called Incremental Risk Charge, and (b …
Persistent link: https://www.econbiz.de/10010938960
In this paper, we examine the relationship between liquidity, liquidity risk and credit risk in emerging sovereign … bonds after the subprime crisis period. In our study, we concentrate in the effect of liquidity and credit risk in the … outstanding, coupon, age and interest rate, assist to more explain this relationship. To explain the role of liquidity and credit …
Persistent link: https://www.econbiz.de/10010939265
all the credit derivatives products such as Collateralized Debt Obligations (CDO) and Credit Default Swaps (CDS). …We establish the Default Barrier Intensity (DBI) model, based on the conditional survival probability (also called … hazard function barrier), which allows the pricing of credit derivatives with stochastic parameters. Moreover, the DBI is an …
Persistent link: https://www.econbiz.de/10010939470
previously. This evidence is particularly strong for liquidity- and default-risk-related spreads, long-term spreads, and the …
Persistent link: https://www.econbiz.de/10010939538
credit risk have insignificant effects. Nonlinear smooth transition (STR) models show that U.S. financial variables are more … significant reduction of the interbank market risk premium, as are credit provisions by the central bank. …
Persistent link: https://www.econbiz.de/10010939659
credit risk prediction. The results from a simulation study verify the better performance of the SVJ model compared with the …
Persistent link: https://www.econbiz.de/10010939760