The shape of the term structure of credit default swap (CDS) spreads displays large variations over time and across firms. Consistent with the predictions of structural models of credit risk, we find that the slope of CDS spread term structure increases with firm leverage and volatility, but...

In this study, we propose a modelling framework for evaluating companies financed by random liabilities, such as insurance companies or commercial banks. In this approach, earnings and costs are driven by double exponential jump–diffusion processes and bankruptcy is declared when the income...

This paper considers an equilibrium/error correction modelling (ECM) approach to identify determinants of mortgage portfolio default rates at firm level. Using mortgage portfolio data from a UK lender we estimated the lender's portfolio concentration weights in different UK regions to estimate...

This paper mainly studies the measurement of credit risk of Chinese small and medium-sized enterprises in Science and Technology (SMEs in S&T). Starting from the characteristics of the development of S&T enterprises, this paper selects the chinext 12 Chinese small enterprises annual data as...

The paper has three objectives. After a general introduction to some of the concepts and basic techniques of stress testing, the paper gives an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of financial systems. Second, this study provides a basic...

This paper examines empirically U.S. broad money demand emphasizing the role of financial market risk. We find that money demand rises with the liquidity risk of stock markets or the credit risk of corporate bond markets. After controlling for the effect of financial market risk, money demand...

This paper reviews the Mexican experience with the securitization of residential mortgages. It highlights the key legislative and institutional reforms leading to the development of primary and secondary mortgage markets and reports the main features and valuation practices of the RMBS markets....

This paper examines Peru’s 2002 Article IV Consultation, First Review Under the Stand-By Arrangement, and a Request for Modification and Waiver of Performance Criteria. The fiscal policy was tightened in early 2002 from the expansionary stance in the second half of 2001. The baseline...

Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works...

Increased competition and the attempts of European banks to increase their presence in other markets may have affected the efficiency and credit risk. The first of this aspects is based on the incentive to the banks to reduce cost in order to gain in competitiveness. The second is associated to...