endogenous default
Bargaining in standing committees with an endogenous default
... This paper has identified a class of pure strategy (stationary Markov perfect) equilibria for pie-division bargaining games with an endogenous default, nonunanimity committees and patient enough players, ...
84
Default cycles
... with endogenous default of het- erogeneous firms and analyze the dynamics of credit ...that default incentives do not depend on expected credit ...
47
Predictions of Default Probabilities in Structural Models of Debt
... and endogenous default models. Section 5 shows how cumulative default probabilities (DPs) at different horizons are related to default boundaries and asset value ...the default ...
28
Default Risk and Risk Averse International Investors
... and default for small open economies that interact with risk averse international ...of endogenous default risk to the case in which international investors are risk averse agents with decreasing ...
49
On the Determinants of the Implied Default Barrier
... ex-ante default barrier with volatility is consistent with endogenous barrier models like that of Leland and Toft ...ex-ante default barrier level, probably for informational reasons and bargaining ...
45
Mortgage Amortization and Welfare
... Our starting point is a model with patient and impatient households that consume non-durable goods and housing services and work. There is idiosyncratic housing risk so that endogenous default on mortgages ...
43
Debt Dilution and Maturity Structure of Sovereign Bonds
... the default risk and analyzes the role of long-term bor- ...with default risk and both of them affect ex ante maturity ...the endogenous default probability and debt recovery ...
31
A Quantitative Model of Sovereign Debt, Bailouts and Conditionality
... with endogenous default risk and endogenous fiscal policy to rationalize the empirical fact that fiscal policy tends to move procyclically in emerging ...sovereign default risk where the ...
29
On the Determinants of the Implied Default Barrier
... the endogenous default ...liquidity default, when the firm defaults due to insufficient cash flows, strategic default happens when equity holders decide to forgo debt payment even if they have ...
47
Fiscal policy and the output costs of sovereign default
... with endogenous default costs and examines the implications for the determination of the output costs of ...of default, and their dependence on primitives such as the elasticity of labor supply, are ...
21
Sendlane - API Reference
... track_opens No String ‘Yes’, ‘No’ (by default ‘No’) track_clicks No String ‘Yes’, ‘No’ (by default ‘No’) track_plain_text_clicks No String ‘Yes’, ‘No’ (by default ‘No’). attac[r] ...
14
Are Credit Default Swaps Credit Default Insurances?
... CDS spreads (the premium) should reflect the expectations of the protection buyer and seller on the probability of the credit event and the size of the payment (loss-given default). 28 Both can be abbreviated as ...
12
Distance to default and probability of default: an experimental study
... The distance to default (DD) and the probability of default (PD) are the essential credit risks in the finance world. It provides an estimate of the likelihood that a borrower will be unable to meet its ...
12
Contagion of Sovereign Default Risk: the Role of Two Financial Frictions
... the endogenous credit limits for each ...of default associated with the lack of enforcement in sovereign debt, a sovereign government pays higher interest rates, which reflect the likelihood of its future ...
37
A normalization strategy for comparing tag count data
... The successful removal of DEGs in the data normali- zation step generally increases both the sensitivity and specificity of the subsequent differential expression ana- lysis. Indeed, when an exact test implemented in the ...
13
Delayed Default Dependency and Default Contagion
... associated with the dominant economic variables and factor ordered similarly for all the names. In a one-factor model, hazard rate jumps are zero for ν > 2 to the leading order of our approx- imation. A possible ...
14
Can a Default Option Reduce Default Rates?
... the default rate can be traced to just ten for- profit institutions and those same institutions are suffering from the negative publicity related to increased default rates, there is a unique opportunity to ...
38
Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model Without Additional Correlation
... in default probability is smaller if each guarantor is contracted for one of the loans compared to when one guarantor is chosen to guarantee both ...double default effects within the IRB ...
24
Costly default and asymetric real business cycles
... from default lowers the amount of productive capital ob- tained from each unit of savings, which exactly mirrors the effect of negative investment efficiency ...triggering default induces at the same time a ...
48
Default probabilities and default correlations
... between default probabilities and default ...higher default probabilities will not only have higher variances but also higher correlations with other ...loan default probabilities ...different ...
47