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AEA Papers and Proceedings, 2022 China's lending boom to developing countries is morphing into defaults and debt distress. Given the secrecy surrounding China's loans, the associated defaults remain “hidden,” as missed payments and restructuring details are not disclosed. We construct an encompassing dataset of sovereign debt restructurings with Chinese lenders and find that these ...
Horn, Sebastian +2 more
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Default Probabilities and Default Correlations [PDF]
SSRN Electronic Journal, 2001 Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans.
Erlenmaier, Ulrich, Gersbach, Hans
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SHAP and LIME: An Evaluation of Discriminative Power in Credit Risk
Frontiers in Artificial Intelligence, 2021 In credit risk estimation, the most important element is obtaining a probability of default as close as possible to the effective risk. This effort quickly prompted new, powerful algorithms that reach a far higher accuracy, but at the cost of losing ...
Alex Gramegna, Paolo Giudici
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Journal of Monetary Economics, 2011 We incorporate house price risk and mortgages into a standard incomplete market (SIM) model. We calibrate the model to match U.S. data, and we show that the model also accounts for non-targeted features of the data such as the distribution of down payments, the life-cycle prole of homeownership, and the mortgage default rate.
Hatchondo, Juan Carlos +2 more
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THE SIGNIFICANCE OF AGREEMENTS THAT ARE QUALIFIED AS FRAUD CRIME
Cepalo, 2021 An agreement is a legal act in which a person promises to another person or more or in which two people promise to carry out something, as is also stated in Article 1313 of the Civil Code.
Joko Sriwidodo
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Risks, 2019 This paper discusses ambiguity in the context of single-name credit risk. We focus on uncertainty in the default intensity but also discuss uncertainty in the recovery in a fractional recovery of the market value. This approach is a first step towards integrating uncertainty in credit-risky term structure models and can profit from its simplicity.
Tolulope Fadina, Thorsten Schmidt
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IMF Working Papers, 2015 We re-assess the view that sovereigns with a history of default are charged only a small and/or short-lived premium on the interest rate warranted by observed fundamentals. Our reassessment uses a metric of such a “default premium” (DP) that is consistent with asymmetric information models and nests previous metrics, and applies it to a much broader ...
Luis Catão, Rui Mano
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Default Dependence: The Equity Default Relationship [PDF]
SSRN Electronic Journal, 2008 Les auteurs étudient la relation non linéaire entre les prix des actions et les primes de swaps sur défaillance dans le cadre de trois modèles structurels qui formalisent le processus d'évolution du prix des actions et qui se différencient par leur spécification du seuil de défaillance.
Turnbull, Stuart M., Yang, Jun
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Indonesian Journal of Advocacy and Legal Services, 2021 This article aimed to analyze the problem of legal cases accumulation, especially default on credit contracts in court. It also analyzes the effectiveness of implementing a small claim court in contract default and the independence of a single judge in ...
Pujiyono Pujiyono +3 more
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El discurso zapatista después de Marcos: de la ficción a la realidad o al revés
Kamchatka: Revista de Análisis Cultural, 2018 Este artículo quiere analizar uno de los últimos comunicados que el Subcomandante Insurgente Galeano, antes Marcos, ha hecho público a fines de diciembre del 2017 durante la celebración del II encuentro “ConCiencias por la Humanidad” titulado “Trump, la ...
Elena Ansotegui
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