Similar Search Results

A yield spread perspective on the great financial crisis: Break-point test evidence

Guidolin, Massimo; Tam, Yu Man - In: International Review of Financial Analysis 26 (2013) C, pp. 18-39

We use a simple partial adjustment econometric framework to investigate the effects of financial crises on the dynamic properties of yield spreads. We find that crises manifest themselves in the form of substantial disruptions revealed by changes in the persistence of the shocks to spreads as...

Persistent link: https://www.econbiz.de/10010617259

Structural model of credit migration

Chan, Ngai Hang; Wong, Hoi Ying; Zhao, Jing - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3477-3490

Credit migrations constitute the building blocks of modern risk management. A firm-specific structural model of credit migration that incorporates the firm’s capital structure and the risk perception of rating agencies is proposed. The proposed model employs the notion of distance-to-default,...

Persistent link: https://www.econbiz.de/10010617667

PRACTICAL APPROACH TO THE VISION OVER CREDIT RISK AT THE LEVEL OF A COMMERCIAL BANK IN ROMANIA.IDENTIFICATION OF CREDIT RISK IN A CREDIT PORTFOLIO GRANTED FOR AGRICULTURE

Sbârcea, Ioana Raluca - In: Romanian Economic Business Review 6 (2011) 3, pp. 84-101

The activity of the commercial banks in Romania, in terms of managing credit risk is guided by rules and regulations imposed by the National Bank of Romania, but is also customized through the existence of some personal risk management policies, determined by the nature and scale of each bank....

Persistent link: https://www.econbiz.de/10010618209

State Debt of the Republic of Moldova as Essential Factor of the Country Risk

HINCU, Rodica; SUHOVICI, Ana; BUNU, Mariana; GUMOVSCHI, Ana - In: Economics and Applied Informatics (2010) 2, pp. 191-198

This paper discusses issues concerning of the state debt risk related to the Republic of Moldova and the determinants of the state debt in the context of the country risk. Special attention is devoted to analyzing the dynamics and structure of Moldova's foreign debt by currency and sector, in...

Persistent link: https://www.econbiz.de/10010625568

Analysing Interconnectivity among Economies

Wong, Alfred; Fong, Tom - Hong Kong Monetary Authority - 2010

As international financial integration gathers pace, interconnectivity has increased tremendously among financial institutions, financial markets and financial systems, a phenomenon to which the recent global financial crisis perhaps provided the best testimony. The interconnectivity among...

Persistent link: https://www.econbiz.de/10010628208

Recovering portfolio default intensities implied by CDO quotes

Cont, Rama; Minca, Andreea - HAL - 2013

the portfolio underlying the CDO which matches these observations, by looking for the risk neutral loss process 'closest …' to a prior loss process, verifying the calibration constraints. We formalize the problem in terms of minimization of … reveal strong evidence for the dependence of loss transitions rates on the past number of defaults, thus offering …

Persistent link: https://www.econbiz.de/10010631315

Regulation of Pension Fund Credit Risk: Lessons from the Banking Sector

Herbst, Pedro Americo; Júnior, Antonio Marcos Duarte - In: Brazilian Business Review 4 (2007) 2, pp. 132-148

This article examines the regulatory framework for managing the credit risk of pension funds in Brazil. We believe that the current framework is not very effective at controlling credit risk, and also overly limits the investment possibilities of pension fund managers. We consider the regulatory...

Persistent link: https://www.econbiz.de/10010631419

Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk

Subrahmanyam, Marti G.; Tang, Dragon Yongjun; Wang, … - Hong Kong Institute for Monetary Research (HKIMR), … - 2012

Credit default swaps (CDS) are derivative contracts that are widely used as tools for credit risk management. However, in recent years, concerns have been raised about whether CDS trading itself affects the credit risk of the reference entities. We use a unique, comprehensive sample covering CDS...

Persistent link: https://www.econbiz.de/10010631753

Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach

Jin, Xisong; Simone, Francisco Nadal De - Central Bank of Luxembourg - 2013

This study proposes a novel framework which combines marginal probabilities of default estimated from a structural credit risk model with the consistent information multivariate density optimization (CIMDO) methodology of Segoviano, and the generalized dynamic factor model (GDFM) supplemented by...

Persistent link: https://www.econbiz.de/10010631759

The Performance Analysis

Andreea, Trandafir Raluca; Denisa, Truicã Luiza; … - In: Ovidius University Annals, Economic Sciences Series XII (2012) 1, pp. 697-700

The notion of performance has multiple meanings and sometimes it is paradoxical as each company must define performance for its internal and external communication. As we are trying to find a definition of performance based upon the features that a company should have, we find that every day...

Persistent link: https://www.econbiz.de/10010632024