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Cash Holdings and Credit Risk [PDF]
SSRN Electronic Journal, 2012 Intuition suggests that rms with higher cash holdings are safer and should have lower credit spreads. Yet empirically the correlation between cash and spreads is robustly positive, and higher for lower credit ratings. This puzzling nding can be explained by the precautionary motive for saving cash.
Sergei A. Davydenko +3 more
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Credit Risk Diversification [PDF]
SSRN Electronic Journal, 2002 We study the role of diversification in reducing the volatility of corporate bond returns induced by changes in credit spreads. Specifically, we look at how credit risk can be diminished when a portfolio is diversified across countries, industry sectors, maturities, seniority types and credit ratings.
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The Insurability of Credit Risks
The Journal of Finance, 1954s of Doctoral Dissertations 307 Certain groups of credit risks have been able to meet the test that the criterion of self-support implies. They include risks insured by private commercial credit insurers, those insured by Federal Housing Administrator, and some of those insured by the Federal Reserve Banks. Judgment must be suspended in the case of the
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2003
To understand the contribution of various risk factors to the overall riskiness of credit-risky portfolios is one of the most challenging tasks in contemporary finance. Recently, the importance of this issue has been highlighted by the decision of the Basel committee to allow sophisticated banks to use their own internal credit portfolio risk.
Kiesel, Rüdiger, Stadtmüller, U.
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To understand the contribution of various risk factors to the overall riskiness of credit-risky portfolios is one of the most challenging tasks in contemporary finance. Recently, the importance of this issue has been highlighted by the decision of the Basel committee to allow sophisticated banks to use their own internal credit portfolio risk.
Kiesel, Rüdiger, Stadtmüller, U.
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Annual Review of Financial Economics, 2009
This paper reviews the literature on credit risk models. Topics included are structural and reduced form models, incomplete information, credit derivatives, and default contagion. It is argued that reduced form models and not structural models are appropriate for the pricing and hedging of credit-risky securities.
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This paper reviews the literature on credit risk models. Topics included are structural and reduced form models, incomplete information, credit derivatives, and default contagion. It is argued that reduced form models and not structural models are appropriate for the pricing and hedging of credit-risky securities.
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The Journal of Derivatives, 1995
This article models the pricing of derivatives on credit risk, instruments proposed in 1992 by the International Swap Dealers Association that have started attracting market attention. The exact structure of the instruments continues to evolve today. We develop a framework to understand the key features of this class of products.
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This article models the pricing of derivatives on credit risk, instruments proposed in 1992 by the International Swap Dealers Association that have started attracting market attention. The exact structure of the instruments continues to evolve today. We develop a framework to understand the key features of this class of products.
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, 1993 The paper evaluates the contribution industrial-sector data on loan losses could make to diversifying and pricing bank risk. It derives the mean, variance and cyclical sensitivity of sectoral provisions and write offs, then assesses implications for loan pricing; standards of capital adequacy; risk borne by sectorally-concentrated banks; and bank risk ...
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2007
Publisher Summary Credit risk is the single most important risk for a large number of financial institutions. This chapter defines credit risk and analyzes how a bank might classify its borrowers, evaluate the expected and unexpected losses that may derive from its credit portfolio, and calculate credit risk value at risk (VaR).
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Publisher Summary Credit risk is the single most important risk for a large number of financial institutions. This chapter defines credit risk and analyzes how a bank might classify its borrowers, evaluate the expected and unexpected losses that may derive from its credit portfolio, and calculate credit risk value at risk (VaR).
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2012
Abstract This chapter discusses the concept of credit risk. Of all the risks that banks are exposed to, credit risk is the most important and the most intuitively obvious. It is important to remember that credit means more than simply loans. At the heart of financial transactions are credit exposures.
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Abstract This chapter discusses the concept of credit risk. Of all the risks that banks are exposed to, credit risk is the most important and the most intuitively obvious. It is important to remember that credit means more than simply loans. At the heart of financial transactions are credit exposures.
openaire +1 more source