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An application to credit risk of a hybrid Monte Carlo-Optimal quantization method

Callegaro, Giorgia; Sagna, Abass - HAL - 2009

In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit defaul, under partial information. We consider the case when the firm's value is a non-observable stochastic process...

Persistent link: https://www.econbiz.de/10008793463

Credit derivatives: instruments of hedging and factors of instability. The example of “Credit Default Swaps” on French reference entities.

Rey, Nathalie - HAL - 2009

Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability. After describing the operating principles...

Persistent link: https://www.econbiz.de/10008793681

Dynamic analysis of bankruptcy and economic waves

Peaucelle, Irina - HAL - 2005

The procedures presented in this paper provide a dynamic apparatus of crediting the industrial operating systems with the assignment to avoid their correlated defaulting, to conserve general safety and soundness and improve its ability to serve as a source for sustainable growth for economy. The...

Persistent link: https://www.econbiz.de/10010739000

An extension of Davis and Lo's contagion model

Rullière, Didier; Dorobantu, Diana; Cousin, Areski - HAL - 2013

The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of n firms which may default directly or may be infected by other defaulting firms (a domino effect being also...

Persistent link: https://www.econbiz.de/10010820749

Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Variance (PRV) Sur Les (Credit Default Swap)

Zgolli, Ghada - HAL - 2012

Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical determinants are variance risk premia, implied volatility and the...

Persistent link: https://www.econbiz.de/10010821297

Inside the credit boom: Competition, Segmentation and Information - evidence from Serbian credit market

Dimitrijevic, Jasna; Najman, Boris - HAL - 2008

lending terms in Serbia. Findings from the survey suggest that the credit market is largely non-homogeneous and segmented, but …, higher transparency of clients and stronger effects of competition on lending interest rates (lower spreads). Another segment … place in the Serbian lending market. The findings from the qualitative survey support this argument as well. …

Persistent link: https://www.econbiz.de/10010750795

Credit Risk with asymmetric information on the default threshold

Hillairet, Caroline; Jiao, Ying - HAL - 2012

We study the impact of asymmetric information in a general credit model where the default is triggered when a fundamental diff usion process of the firm passes below a random threshold. Inspired by some recent technical default events during the fi nancial crisis, we consider the role of the...

Persistent link: https://www.econbiz.de/10010898449

Risk in Islamic Banking

Abedifar, Pejman; Molyneux, Philip; Tarazi, Amine - HAL - 2012

This paper investigates risk and stability features of Islamic banking using a sample of 553 banks from 24 countries between 1999 and 2009. Small Islamic banks that are leveraged or based in countries with predominantly Muslim populations have lower credit risk than conventional banks. In terms...

Persistent link: https://www.econbiz.de/10010899528

Alarm System for Credit Losses Impairment

Salhi, Yahia; Thérond, Pierre-Emmanuel - HAL - 2014

The recent fi nancial crisis has lead the IASB to settle new reporting standards for fi nancial instruments. The extended ability to measure some debt instruments at amortized cost is associated with a new impairment losses mechanism: Expected Credit Losses. In this paper, after a brief...

Persistent link: https://www.econbiz.de/10010899862

Non-Interest Income Activities and Bank Lending

Abedifar, Pejman; Molyneux, Philip; Tarazi, Amine - HAL - 2014

This paper investigates the impact of non-interest income businesses on bank lending. Using quarterly data on 8,287 U … induce managers to behave more prudently in lending because such activities are found to increase banks' franchise value …. Other non-interest income activities that may be thought to have an influence on lending - such as service charges on …

Persistent link: https://www.econbiz.de/10010930225