Results 31 to 40 of about 8,519,632 (410)
Credit Ratings and Credit Risk [PDF]
SSRN Electronic Journal, 2012 This paper investigates the information in corporate credit ratings. If ratings are to be informative indicators of credit risk, they must reflect what a risk-averse investor cares about: both raw default probability and systematic risk. We find that ratings are relatively inaccurate measures of raw default probability—they are dominated as predictors
Jens Hilscher, Mungo Wilson
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How Connected is the Global Sovereign Credit Risk Network?
Journal of Banking & Finance, 2020 We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk.
Gorkem Bostanci, K. Yilmaz
semanticscholar +1 more source
The nature of credit risk information disclosed in the risk and capital reports of the top-5 South African banks [PDF]
Banks and Bank Systems, 2016 This paper used the Credit Risk Disclosure Measurement Tool (CRDMT) constructed on the basis of six main areas, namely, banks own description of credit risk (i.e., as it applies to the banks operations), banks strategy of reducing credit risk exposure (i.
Tankiso Moloi
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Credit Risk and Disaster Risk [PDF]
American Economic Journal: Macroeconomics, 2011 Credit spreads are large, volatile, and countercyclical, and recent empirical work suggests that risk premia, not expected credit losses, are responsible for these features. Building on the idea that corporate debt, while fairly safe in ordinary recessions, is exposed to economic depressions, this paper embeds a trade-off theory of capital structure ...
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RESTRUCTURING COUNTERPARTY CREDIT RISK [PDF]
International Journal of Theoretical and Applied Finance, 2011 We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and DVA).
Albanese, Claudio +2 more
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Mathematical Finance, 2019 AbstractWe provide sharp analytical upper and lower bounds for value‐at‐risk (VaR) and sharp bounds for expected shortfall (ES) of portfolios of any dimension subject to default risk. To do so, the main methodological contribution of the paper consists in analytically finding the convex hull generators for the class of exchangeable Bernoulli variables ...
Patrizia Semeraro +3 more
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Cogent Economics & Finance, 2020 This paper aims to investigate the effect of credit risk, liquidity risk and bank capital on bank profitability over a nine-year period (2010–2018) by examining empirical evidence from an emerging market.
Isam Saleh, Malik Abu Afifa
semanticscholar +1 more source
Types of Credit Risks and Strategies to Improve Risk Identification by Internet of Intelligences [PDF]
Journal of Risk Analysis and Crisis Response (JRACR), 2013 Today, people mainly consider credit risks from view of powerful players. The role of the Internet in the credit risk management is not fully. In this paper, we have a comprehensive look at the credit risks, so that, suggest two concepts: binary credit ...
Chongfu Huang
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Credit Risk in General Equilibrium [PDF]
SSRN Electronic Journal, 2012 This paper contributes to the literature on default in general equilibrium. Borrowing and lending takes place via a clearing house (bank) that monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that is a direct generalization of the standard general equilibrium model with financial markets.
Jürgen Eichberger +2 more
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Dependence of Stock Returns in Bull and Bear Markets
Dependence Modeling, 2013 Despite of its many shortcomings, Pearson’s rho is often used as an association measure for stock returns. A conditional version of Spearman’s rho is suggested as an alternative measure of association. This approach is purely nonparametric and avoids any
Dobric Jadran +2 more
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