Search Results - subject:"Default Probability"

Probabilidad de incumplimiento en inversiones de infraestructura : análisis a partir de modelos estructurales de riesgo de crédito

Zapata Quimbayo, Carlos Andrés - In: Revista de métodos cuantitativos para la economía y … 30 (2020), pp. 327-345

The purpose of this paper is to estimate the default probabilities in infrastructure projects. For that, we analyze the exposure of the lenders to a state of default. This application is made by assuming the debt service coverage ratio (DSCR) dynamic itself and the payment profile determined by...

Persistent link: https://www.econbiz.de/10012437413

Financial sector and macroeconomics links in MEAM

Skufi, Lorena - 2020

Persistent link: https://www.econbiz.de/10012493819

Efficacité de la règlementation prudentielle bancaire : le retour du ratio de levier

Durand, Pierre - 2020

Persistent link: https://www.econbiz.de/10013270671

Model and estimation risk in credit risk stress tests

Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019

said, our findings reveal that the conversion of a shock (i.e., stress event) increases the (non-stress) default … probability by 20% to 80% - depending on the stress test model selected. Interestingly, forecasts for non-stress default …

Persistent link: https://www.econbiz.de/10011984936

The impact of lending standards on default rates of residential real estate loans

Gaudêncio, João; Mazany, Agnieszka; Schwarz, Claudia - 2019

This paper analyses the impact of lending standards for residential real estate (RRE) loans on default rates, using a novel loan-level dataset from the European DataWarehouse (EDW) that covers eight euro area countries. To the best of the authors' knowledge, this paper is the first to use, for...

Persistent link: https://www.econbiz.de/10012141417