Search Results - subject:"Probability of default"

Loan price modelling for local governments using risk premium analysis

Navarro Galera, Andrés; Rayo-Cantón, Salvador; … - In: Applied economics 47 (2015) 58/60, pp. 6257-6276

Persistent link: https://www.econbiz.de/10011411925

IFRS 9: betrifft alle IFRS-Anwender

Mannigel, Gesa; Wüest, Stefan - In: IRZ : Zeitschrift für internationale Rechnungslegung 10 (2015) 12, pp. 477-481

Persistent link: https://www.econbiz.de/10011460063

Credit Risk Assessment Considering Variations in Exposure: Application to Commitment Lines

Fujiwara, Shigeaki - Institute for Monetary and Economic Studies, Bank of Japan - 2008

default, probability of default, loss given default, expected loss, and unexpected loss. The paper also prepares a simple …

Persistent link: https://www.econbiz.de/10004975769

O Spread de Incumprimento dos Emprestimos Bancarios

Horta, Paulo - Centro de Estudos e Formação Avançada em Gestão e … - 2008

In this paper we propose a discrete time model to measure the default spread for Bank loans. The model provides a closed-form solution for the short and medium term default spread, which we assume to be dependent on the default probabilities, the losses given default, the risk grades transition...

Persistent link: https://www.econbiz.de/10005687814

The Costs of Sovereign Default

Borensztein, Eduardo; Panizza, Ugo - International Monetary Fund (IMF) - 2008

This paper evaluates empirically four types of cost that may result from an international sovereign default: reputational costs, international trade exclusion costs, costs to the domestic economy through the financial system, and political costs to the authorities. It finds that the economic...

Persistent link: https://www.econbiz.de/10005769045

Banks' Precautionary Capital and Credit Crunches

Valencia, Fabian - International Monetary Fund (IMF) - 2008

Periods of banking distress are often followed by sizable and long-lasting contractions in bank credit. They may be explained by a declined demand by financially impaired borrowers (the conventional financial accelerator) or by lower supply by capital-constrained banks, a "credit crunch". This...

Persistent link: https://www.econbiz.de/10005769120

Stress Testing of Probability of Default of Individuals

Kadeřábek, Petr; Slabý, Aleš; Vodička, Josef - Institut ekonomických studií, Univerzita Karlova v Praze - 2008

This paper introduces a model for stress testing of probability of default of individuals. The model rests on … assumption that the individual defaults if his savings fall below zero. The probability of default is then described as a … applying exogenous stress scenarios for development of these indicators. The model implies that sensitivity of probability of …

Persistent link: https://www.econbiz.de/10005808661

Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans

Rosch, Daniel; Scheule, Harald - Hong Kong Institute for Monetary Research (HKIMR), … - 2008

Recent studies find a positive correlation between default and loss given default rates of credit portfolios. In response, financial regulators require financial institutions to base their capital on the 'Downturn' loss rate given default which is also known as Downturn LGD. This article...

Persistent link: https://www.econbiz.de/10005357488

Stress testing of probability of default of individuals

Kadeřábek, Petr; Slabý, Aleš; Vodička, Josef - In: Prague Economic Papers 2008 (2008) 4, pp. 340-355

Persistent link: https://www.econbiz.de/10005256889

Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System

Gray, Dale F.; Walsh, James P - International Monetary Fund (IMF) - 2008

This paper derives risk indicators for the major Chilean banks based on contingent claims analysis, an extension of Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomic and financial developments in Chile and outside, but bank responses are highly...

Persistent link: https://www.econbiz.de/10005264053