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Risk-On Risk-Off : A Multifaceted Approach to Measuring Global Investor Risk Aversion

Chari, Anusha; Stedman, Karlye Dilts; Lundblad, Christian - National Bureau of Economic Research - 2023

This paper defines risk-on risk-off (RORO), an elusive terminology in pervasive use, as the variation in global investor risk aversion. Our high-frequency RORO index captures time-varying investor risk appetite across multiple dimensions: advanced economy credit risk, equity market volatility,...

Persistent link: https://www.econbiz.de/10014437038

Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements

Carey, Mark - 2000

Now in prospect is a major revision of international bank capital regulations that would embody recent advances in … increase in bank failure rates over time …

Persistent link: https://www.econbiz.de/10012471142

Uncertainty and the Disappearance of International Credit

Aizenman, Joshua - 1999

We show that increased uncertainty about the size of an emerging market's external debt has a nonlinear and potentially large adverse effect on the supply of international credit offered to them. We also show that if international creditors are first- order risk averse, attaching greater weight...

Persistent link: https://www.econbiz.de/10012471396

Reserve Requirements on Sovereign Debt in the Presence of Moral Hazard -- on Debtors or Creditors?

Aizenman, Joshua - 1999

This paper characterizes the effects of reserve requirements on financial loans in the presence of moral hazard on the lender side (i.e., the anticipation that the taxpayer will bailout lending banks if large default will occur) and sovereign risk on the borrower side. The impacts of such...

Persistent link: https://www.econbiz.de/10012471796

Risks to Lenders and Borrowers in International Capital Markets

Hermalin, Benjamin E. - 1999

This paper provides a framework for understanding the risks to borrowers and lenders in capital markets. We begin with a description of a capital markets in a domestic context. This allows us to focus on two key imperfections which lie at the heart of all financial systems: imperfect...

Persistent link: https://www.econbiz.de/10012471925

A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives

Das, Sanjiv R. - 1998

This paper develops a model for the pricing of credit derivatives using observables. The model (i) is arbitrage-free, (ii) accommodates path-dependence, and (iii) handles a range of securities, even with American features. The computer implementation uses a recursive scheme that is convenient...

Persistent link: https://www.econbiz.de/10012472175

Default and Renegotiation : A Dynamic Model of Debt

Hart, Oliver - 1997

We analyze the role of debt in persuading an entrepreneur to pay out cash flows, rather than to divert them. In the first part of the paper we study the optimal debt contract -- specifically, the trade-off between the size of the loan and the repayment -- under the assumption that some debt...

Persistent link: https://www.econbiz.de/10012472921

Personal Bankruptcy and Credit Supply and Demand

Gropp, Reint - 1996

This paper examines how personal bankruptcy and bankruptcy exemptions affect the supply and demand for credit. While generous state-level bankruptcy exemptions are probably viewed by most policymakers as benefitting less-well-off borrowers, our results using data from the 1983 Survey of Consumer...

Persistent link: https://www.econbiz.de/10012473189

Mortgage Default and Low Downpayment Loans : The Costs of Public Subsidy

Deng, Yongheng - 1995

This paper presents a unified model of the default and prepayment behavior of homeowners in a proportional hazard framework. The model uses the option-based approach to analyze default and prepayment and considers these two interdependent hazards as competing risks. The results indicate the...

Persistent link: https://www.econbiz.de/10012473695

Risk-Based Capital Standards and the Riskiness of Bank Portfolios : Credit and Factor Risks

Grenadier, Steven R. - 1995

Bank risk-based capital (RBC) standards require banks to hold differing amounts of capital for different classes of … weights accurately reflect bank asset risk, we find that the weights fail even in their limited goal of correctly quantifying … are considered in the RBC regulations. We also examine other types of bank risk by estimating a simple factor model that …

Persistent link: https://www.econbiz.de/10012473701