Showing 1 - 10 of 14
Persistent link: https://www.econbiz.de/10014377671
We estimate term structures of default probabilities for private firms using data consisting of 1,759 default events from 29,894 firms between 1999 and 2014. Each firm's default likelihood is characterized by a forward intensity model employing macro risk factors and firm-specific attributes. As...
Persistent link: https://www.econbiz.de/10012940257
This paper develops dynamic measures of the systemic risk of the financial sector as a whole. It defines systemic risk as the conditional probability of failure of a sufficiently large fraction of the total population of financial institutions. This definition recognizes that the cause of...
Persistent link: https://www.econbiz.de/10013116789
Using data on corporate default experience in the U.S. and market rates of CDX index and tranche swaps of various maturities, we estimate reduced-form models of correlated default timing in the CDX High Yield and Investment Grade portfolios under actual and risk-neutral probabilities. The...
Persistent link: https://www.econbiz.de/10012707041
Dynamic, intensity based point process models are widely used to measure and price the correlated default risk in portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool to perform computations in these models. This paper develops,...
Persistent link: https://www.econbiz.de/10013115699
This paper formulates and solves the selection problem for a portfolio of credit swaps. The problem is cast as a goal program that entails a constrained optimization of preference-weighted moments of the portfolio value at the investment horizon. The portfolio value takes account of the exact...
Persistent link: https://www.econbiz.de/10012940733
This paper proposes an integrated risk-management framework that includes 1) measuring the risk of credit portfolios, 2) implementing a (macro) stress test, and 3) setting risk limits using the estimated systematic latent factor specific to capture the housing market cycle. To this end, we...
Persistent link: https://www.econbiz.de/10012034819
Korean Abstract:본 연구는 유럽중앙은행(ECB)에서 금융시장 불안정성 지표로 활용되고 있는 Composite Indicator of Systemic Stress(CISS)를 국내시장에 적용하여 한국형 금융시장 불안정성 지수를 제시하고 지수에 함의된 정보를 분석했다....
Persistent link: https://www.econbiz.de/10014113719
This study proposes a new ranking criterion for constructing momentum portfolios, namely, risk-adjusted cross-sectional momentum. We propose the combination of traditional cross-sectional momentum strategies with different volatility timing strategies in the form of the Sharpe ratio. Then, we...
Persistent link: https://www.econbiz.de/10012969172
This paper proposes an integrated risk-management framework that includes:1) measuring the risk of credit portfolios, 2) implementing a (macro) stress test, and 3) setting risk limits using the estimated systematic latent factor specific to capture the housing market cycle. To this end, we...
Persistent link: https://www.econbiz.de/10012946825