This paper attempts to predict the incidence of arrears to the International Monetary Fund (IMF) by modifying and applying two of the major early warning systems for currency crises: the "signals" approach proposed by Kaminsky, Lizondo, and Reinhart (1997) and the probit-based alternative...

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose risk spreads are assumed to be the product of default risk and loss rate, CDS are...

In the recent banking literature on the relationship between credit risk and the business cycle, the presence of asymmetric effects both across credit risk regimes and through the business cycle has been generally neglected. Employing threshold regression models both at the aggregate and the...

The objective of this paper is to model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures. Defaultable bond prices are modeled in an intensity based framework along the lines of Duffie and Singleton (1999) with state variables following an affine...

In this paper I question whether the risk weights in the advanced (IRB) approach of the Basel 2 regulation are appropriate, on a strictly theoretical ground. The major concern is that the model behind the regulation considers defaults only at the end of the time horizon for which capital is to...

In order to analyse the current state of development and use of the information systems for credit risk in the local financial system, a survey was carried out with a sample of banks that voluntarily decided to take part in the exercise. In relation to the degree of advance of their information...

Employing a resampling-based Monte Carlo simulation developed in Carey (2000, 1998) and Majnoni, Miller and Powell (2004), in this paper we estimate conditional and unconditional loss distributions for loan portfolios of argentine banks in the period 1999-2004, controlling by type of borrower...

The main objective of this paper is to estimate a statistical model that incorporates information at different levels: collateral, facility, industry, zone and the macro economy to predict the Recovery Rates which will enable the bank to arrive at the Loss Given Default figure that would help to...

Asymptotic Single Risk Factor (ASRF) model is used to derive the regulatory capital formula of Internal Ratings-Based approach in the new Basel accord (Basel II). One of the important assumptions in ASRF model for credit risk is that the given portfolio is well diversified so that one can easily...