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CORPORATE CREDIT RISK MODELING: QUANTITATIVE RATING SYSTEM AND PROBABILITY OF DEFAULT ESTIMATION

Fernandes, João - EconWPA - 2005

The literature on corporate credit risk modeling for privately-held firms is scarce. Although firms with unlisted equity or debt represent a significant fraction of the corporate sector worldwide, research in this area has been hampered by the unavailability of public data. This study is an...

Persistent link: https://www.econbiz.de/10005413176

Basel II's New Standardized Approach: Possible Effects of Implementation

Wyatt, Katherine - EconWPA - 2003

bank to 83% of minimum required capital for a specialty bank. In this paper, we present a breakdown of the effects of the …

Persistent link: https://www.econbiz.de/10005413198

The impact of the 1988 Basel Accord on banks' capital ratios and credit risk-taking: an international study

Roy, Patrick Van - EconWPA - 2005

inclusion of a variable measuring the role of market discipline in influencing bank capital and risk choices. All in all, the …

Persistent link: https://www.econbiz.de/10005134754

INDIAN VENTURE CAPITALISTS (VCs) INVESTMENT EVALUATION CRITERIA

Mishra, Asim - EconWPA - 2005

The Venture capital (VC) industry in India is of recent origin. However, the average investment value of each deal in India have grown from $3.85 million in 2000 to $7.89 million in 2001.These developments together with the recent steps taken by government to promote venture capitalism in India...

Persistent link: https://www.econbiz.de/10005134795

Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes

Raviv, Alon - EconWPA - 2004

fixed income unless the value of the bank’s assets falls below a predetermined threshold. In such an event, the debt … obligation is automatically converted to the bank’s common equities. By using a contingent claims valuation approach we present … bank that includes DES or alternatively subordinated debt in its capital structure. We compare and evaluate quantitatively …

Persistent link: https://www.econbiz.de/10005413031

Equilibrium in financial markets with adverse selection

Takalo, Tuomas; Toivanen, Otto - EconWPA - 2004

We study a financial market adverse selection model where all agents are endowed with initial wealth and choose to invest as entrepreneurs or financiers, or not to invest. We show that often a lack of outside finance leads to the emergence of financial markets where availability of outside...

Persistent link: https://www.econbiz.de/10005134723

MODIS: A Market-Oriented Deposit Insurance Scheme

Vaez-Zadeh, Reza; Xie, Danyang; Zoli, Edda - EconWPA - 2002

This paper argues that an optimal deposit insurance scheme would allow the level of insurance coverage to be determined by the market. Based on this principle, the paper proposes an insurance scheme that minimizes distortions and embodies fairness and credibility, two essential characteristics...

Persistent link: https://www.econbiz.de/10005413124

Risk in Financial Conglomerates: Management and Supervision

Lelyveld, Iman van; Schilder, Arnold - EconWPA - 2003

Financial conglomerates, combining banking, securities trading, and insurance, have become an important part of the financial landscape in many countries. Cross-sector consolidation has been fostered by trends such as disintermediation, globalization, and deregulation creating new challenges for...

Persistent link: https://www.econbiz.de/10005413195

Capital Regulation and Credit Risk Taking : Empirical Evidence from Banks in Emerging Market Economies

Godlewski, Christophe - EconWPA - 2004

The primary purpose of this article is to investigate the relationship between bank capital and credit risk taking in … and legal environment in driving bank capitalization and credit risk taking behavior in emerging market economies. …

Persistent link: https://www.econbiz.de/10005076943

Le Rôle de l'Environnement Réglementaire, Légal et Institutionnel dans la Défaillance des Banques : Le Cas des Pays Emergents

Godlewski, Christophe - EconWPA - 2004

Cet article étudie l’impact des facteurs institutionnels et réglementaires sur la défaillance des banques des pays émergents. Peu de travaux se sont intéressés à la défaillance bancaire dans ces pays. Or, la qualité des institutions telles que les commissions de régulation et de...

Persistent link: https://www.econbiz.de/10005077004