This paper identifies the main bank specific determinants of bank failure during the financial crisis in Colombia using duration analysis. Using partial likelihood estimation, it shows that the process of failure of financial institutions during that period can be explained by differences in...

Lenders use rating and scoring models to rank credit applicants on their expected performance. The models and approaches are numerous. We explore the possibility that estimates generated by models developed with data drawn solely from extended loans are less valuable than they should be because...

The measurement of credit quality is at the heart of the models designed to assess the reserves and capital needed to support the risks of both individual credits and portfolios of credit instruments. A popular specificatio for credit-rating transitions is the simple, time-homogeneous Markov...

This paper considers issues relating to the segmentation or grouping of credit exposures and the potential impact upon economic capital allocation and attribution. When discussing capital allocation, we refer to the assessment of total capital at the portfolio level, while our discussion of...

The measurement of credit quality is at the heart of the models designed to assess the reserves and capital needed to support the risks of both individual credits and portfolios of credit instruments. A popular specification for credit rating transitions is the simple, time-homogeneous Markov...

Most data used to study the durations of unemployment spells come from the Current Population Survey, which is a point-in-time survey and gives an incomplete picture of the underlying duration distribution. We introduce a new sample of completed unemployment spells obtained from panel data and...

This paper investigates whether differences in information- based trading can explain observed differences in spreads for active and infrequently traded stocks. Using a new empirical technique, we estimate the risk of information- based trading for a sample of NYSE listed stocks. We use the...

Emergence of new financial markets has led to fragmentation of order flows, leading to reduced liquidity in any particular market. Some markets are alleged to compete by focusing on quot;cream-skimmingquot; of uninformed trades, leaving informed trades to established markets. We develop a test...

Infrequently traded stocks tend to have higher bid-askspreads than frequently traded stocks. We use a new empirical technique to investigate the risk of information- based trading in active versus inactive stocks. We estimate the stochastic process of trades by maximum likelihood. Using a sample...

Most data used to study the durations of unemployment spells come from the Current Population Survey, which is a point-in-time survey and gives an incomplete picture of the underlying duration distribution. We introduce a new sample of completed unemployment spells obtained from panel data and...