AbstractThis chapter presents a model of systematic LGD that is simple and effective. It is simple in that it uses only parameters appearing in standard models. It is effective in that it survives statistical testing against more complicated models.

AbstractWe investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit risk, using a unique data set covering more than...

AbstractWe propose a totally new approach toward assessing sovereign risk by examining rigorously the health and aggregate default risk of a nation's private corporate sector. Models such as our new Z-MetricsTMapproach can be utilized to measure the median probability of default of the...

This paper analyzes the causes and consequences of the enforcement actions (sanctions) imposed by supervisory authorities for banks. Focusing on a sample of Italian banks between 2005 and 2012, we found 302 sanctions regarding 3,588 persons (i.e. Board of directors, Top Managers, and Chief...

Using a sample of 2,186 credit default swap (CDS) spreads quoted in the European market during the period 2002-2009, this paper empirically analyzes which model – accounting- or market-based – better explains corporate credit risk. We find that there is little difference in the explanatory...

Purpose–The purpose of this paper is to provide new empirical evidence on the impact of credit risk on China banks' total factor productivity. Design/methodology/approach–The paper employs the Malmquist Productivity Index (MPI) which allows for the examination of five different indices:...

Australian banks are widely considered to have fared far better during the Global Financial Crisis than their global counterparts, continuing to display solid earnings, good capitalization and strong credit ratings. Nonetheless, Australian banks experienced significant deterioration in the...

In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstruc- ture noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the...

The amount and quality of the Australian banking sector’s capital has increased considerably over the past couple of years. As in a number of other countries, this is because the recent global financial crisis has prompted both markets and regulators to reappraise their views on...