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This paper looks at some technical issues when using CDS data, and if these are incorporated, the analysis or regression results are likely to benefit. The paper endorses the use of stochastic recovery in CDS models when estimating probability of default (PD) and suggests that stochastic...
Persistent link: https://www.econbiz.de/10013108609
We compared the predictive performance of a series of machine learning and traditional methods for monthly CDS spreads, using firms' accounting-based, market-based and macroeconomics variables for a time period of 2006 to 2016. We find that ensemble machine learning methods (Bagging, Gradient...
Persistent link: https://www.econbiz.de/10012843303
securitization activity on loans' relative credit quality employing a uniquely detailed dataset from the euro-denominated syndicated … securitization, however, the credit quality of borrowers whose loans are securitized deteriorates by more than those in the control …
Persistent link: https://www.econbiz.de/10012966551
sheets to non-banks via increased securitization activity. As such, higher interest rates have the potential for unintended … sectors. In the past, this increased securitization activity was driven primarily byb private-label securitization. On the … cutting back on their securitization activity but expanding loans to the Federal Home Loan Bank system …
Persistent link: https://www.econbiz.de/10012982433
This paper examines the financial stability implications arising from securitization markets, with one eye on the past … industry developments in the years before the crisis. Emphasis is placed on the various ways in which securitization markets … securitization markets are then discussed, including a treatment of various regulatory initiatives, the operational infrastructure of …
Persistent link: https://www.econbiz.de/10013060543
. We then investigate whether this effect is influenced by two key bank characteristics: securitization and bank capital … competition at the industry level lead to higher realized systemic risk. The results suggest that the use of securitization …
Persistent link: https://www.econbiz.de/10012865123
We analyze the effects of dividend taxation in a general equilibrium business cycle model with an occasionally-binding investment credit limit. Permanent dividend tax reforms distort capital investment decisions in the binding long-run equilibrium, but are neutral otherwise. Temporary unexpected...
Persistent link: https://www.econbiz.de/10014079906
We introduce a new comprehensive announcement-level database tracking the extraordinary fiscal, monetary, prudential, and other policies that countries adopted in response to Covid-19. The database provides detailed information, including sizes where available, for 28 granular policies adopted...
Persistent link: https://www.econbiz.de/10014082213
A lack of timely financing for purchases of vaccines and other health products impeded the global response to the COVID-19 pandemic. Based on analysis of contract signature and delivery dates in COVID-19 vaccine advance purchase agreements, this paper finds that 60-75 percent of the delay in...
Persistent link: https://www.econbiz.de/10014082663
This paper examines the efficacy of macroprudential policies in addressing housing prices in a developing country while underscoring the importance of fundamental factors. The estimated models using city-level data for India suggest a strong influence of fundamental factors in driving housing...
Persistent link: https://www.econbiz.de/10013250071