default risk
Econometrics of default risk
... for risk management operational ...corporate default phenomenon is not always supported by similar analyses in the econometric ...corporate default rates using various macroeconomic variables, ...
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Measuring Default Risk Premia from Default Swap Rates and EDFs
... of default rates on average over their in-sample ...conditional default probabilities are high, and biased upward when true conditional default prob- abilities are ...the default intensities ...
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Cross-border mergers and acquisitions and default risk
... The dependent variable is PHI, defined as the change in distance to default probability. EMERGING is a dummy variable if a target nation is an emerging country. UK is a dummy variable if a target nation is the ...
37
Default risk and risk averse international investors
... and default for small open economies that interact with risk averse international investors whose preferences exhibit decreasing absolute risk aversion ...incorporating risk averse investors ...
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Default Risk Premia and Asset Returns
... CDS-based default risk premia factor by the portion that is associated with jump- to-default risk premia, confirming our findings that most of the explanatory power of CDRP is due to CDRP J tD ...
62
Valuation of Credit Default Swap with Counterparty Default Risk by Structural Model
... credit default swap with counterparty default ...a default event is supposed to occur at most one time, which means either reference entity or counterparty may default ...the default ...
12
Sovereign default risk with heterogenous borrowers
... sovereign default, but we assume that govern- ments with different discount factors alternate in ...the default probability observed in the data, and consequently it generates higher spreads than the ...
26
Default risk premium in credit and equity markets
... early default risk, and they proxy the value of the asset by adding the equity value to the book value of the ...the default boundary above the nominal value of the ...the default is estimated ...
47
Optimal insurance with counterparty default risk
... between default risk and basis risk for a primary insurer deciding between reinsurance and hedging ...consider default as being endogenously determined by the efficient contract and the ...
48
Default Risk in the European Automotive Industry
... credit risk has been raised by the Bank of England (2008), who make makes the point that not only do asset values fall in times of uncertainty, but rising probabilities of default make it more likely that ...
16
Country Default Risk: An Empirical Assessment
... when risk is explicitly ...will default when a "bad shock" ...high- risk countries during the period 1978-99: a subset of 21 countries that defaulted on the debt, and another set of 13 ...
36
Transmission of Government Default Risk in the Eurozone
... Section 3 applies our new test to the eurozone government bond spreads over the German government bond during the years 2005–2010. The countries included to the analysis are Ireland, Greece, Spain, Italy, and Portugal. ...
31
Optimal Insurance with Counterparty Default Risk
... background risk. Moreover, optimal risk retention schedules can be nondecreasing, giving rise to a tent-shaped pat- tern in the fraction I ∗ (x)/x of exposure ...
42
Default Risk and Risk Averse International Investors
... and default for small open economies that interact with risk averse international ...endogenous default risk to the case in which international investors are risk averse agents with ...
49
Pricing Default Risk: The Good, The Bad, and The Anomaly
... Figure 1 summarizes the results. In Panel A, we plot the monthly aggregate Merton and CHS measures for firms in the overall sample (defined as simple averages of the values of all firms). The two PD measures have a very ...
43
Optimal reinsurance in the presence of counterparty default risk
... To illustrate our results, let us consider a plausible parameters setting, β = γ = 99.5%, as it is the case if both insurance players operate in the European market, where Solvency II Regime is currently implemented. It ...
18
Default Risk in Corporate Yield Spreads
... to default risk for a maturity of ten years climbs to 71% for Baa rated bonds during the 1987-1991 period, with a 95% approximate interval of 56% and 86% when the recovery rate is 49% (Table ...
47
LDC Borrowing with Default Risk
... such as terms—of--trade or output fluctuations, so that a sequence of short—term loans (rather than a long—term loan) might provide a useful hedge... Once default risk is introduced, tho[r] ...
56
Default Risk and Risk Averse International Investors
... the default in 2001 in Argentina and its results are compared to the results of a similar model of endogenous sovereign default risk with risk neutral ...with risk averse investors ...
42
On infectious models for dependent default risk
... There has been considerable concerns and interest in modeling dependent defaults of credit entities. To model dependent default processes, Copula is one of the major tools. They have been used to specify dependent ...
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