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Mathematical Finance, 2000
We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We finally discuss some examples.
Elliott, R. J., Jeanblanc, M., Yor, M.
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We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We finally discuss some examples.
Elliott, R. J., Jeanblanc, M., Yor, M.
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2014
This book is a vital text for understanding the interaction between enterprise risk management with corporate valuation and corporate default.
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This book is a vital text for understanding the interaction between enterprise risk management with corporate valuation and corporate default.
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1997
One of the things which makes the analysis of convertible bonds more difficult relates to the whole question of default risk inherent in the instruments. Strictly, shares do not have default risk — they do not promise a particular set of cashflows in the future.
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One of the things which makes the analysis of convertible bonds more difficult relates to the whole question of default risk inherent in the instruments. Strictly, shares do not have default risk — they do not promise a particular set of cashflows in the future.
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, 2014 High sovereign debt in advanced economies has recently revived the debate about the role of coordination problems and self-fulfilling beliefs as drivers of sovereign default risk. I show how default risk can be decomposed in a solvency-risk component and a coordination-risk component. I then study how fiscal policy can be effective in managing the risk
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Mortgages: Estimating Default Correlation and Forecasting Default Risk
SSRN Electronic Journal, 2018Default correlation is a key driver of credit risk. In the Basel regulatory framework it is measured by the asset value correlation parameter. Though past studies suggest that the parameter is over-calibrated for mortgages — generally the largest asset class on banks’ balance sheets — they do not take into account bias arising from small samples or non-
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Sovereign default risk premia: Evidence from the default swap market
Journal of Empirical Finance, 2009This study explores the risk premia embedded in sovereign default swaps using a term structure model. The risk premia remunerate investors for unexpected changes in the default intensity. A number of interesting results emerge from the analysis. First, the risk premia contribution to the spreads decreases over the sample, 2003-2007, and rebounds at the
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2013
We evaluate the impact of commonly used indicators of bank distress on broad (i.e. sector and country) risks. This issue deserves special attention in the banking industry where there is a strong degree of interconnectedness among institutions and the default of a single bank may cause a cascading failure, which could potentially bankrupt the entire ...
FIORDELISI, FRANCO, Marques Ibanez D.
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We evaluate the impact of commonly used indicators of bank distress on broad (i.e. sector and country) risks. This issue deserves special attention in the banking industry where there is a strong degree of interconnectedness among institutions and the default of a single bank may cause a cascading failure, which could potentially bankrupt the entire ...
FIORDELISI, FRANCO, Marques Ibanez D.
openaire +1 more source
Cancer risk among World Trade Center rescue and recovery workers: A review
Ca-A Cancer Journal for Clinicians, 2022Paolo Boffetta +2 more
exaly