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Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk

Chan-Lau, Jorge A. - 2021

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...

Persistent link: https://www.econbiz.de/10012613371

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Severo, Tiago - 2012

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …

Persistent link: https://www.econbiz.de/10014395690

Liquidity at risk : joint stress testing of solvency and liquidity

Cont, Rama; Kotlicki, Artur; Valderrama, Laura - 2020

. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …

Persistent link: https://www.econbiz.de/10012251907

The COVID-19 impact on corporate leverage and financial fragility

Haque, Sharjil Muktafi; Varghese, Richard - 2021

We study the impact of the COVID-19 recession on capital structure of publicly listed U.S. firms. Our estimates suggest leverage (Net Debt/Asset) decreased by 5.3 percentage points from the pre-shock mean of 19.6 percent, while debt maturity increased moderately. This de-leveraging effect is...

Persistent link: https://www.econbiz.de/10012796218

The Composition Matters : Capital Inflows and Liquidity Crunch During a Global Economic Crisis

Tong, Hui - 2009

non-FDI capital inflows worsens the credit crunch, while exposure to FDI alleviates the liquidity constraint. Similar …

Persistent link: https://www.econbiz.de/10014402471

International Integration of Equity Markets and Contagion Effects

Cashin, Paul A. - 1995

This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of...

Persistent link: https://www.econbiz.de/10014397857

Informational Efficiency in Developing Equity Markets

McDermott, C. John - 1995

The issue of informational efficiency in the evolution of asset prices is examined using data on equity markets in Jordan, Turkey and Pakistan over the period 1986–93. The analysis is carried out in two steps. The parameters of agents’ dynamic consumption and investment decisions are first...

Persistent link: https://www.econbiz.de/10014397956

Volatility and Predictability in National Stock Markets : How Do Emerging and Mature Markets Differ?

Richards, Anthony J. - 1996

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased as a result of the liberalization of markets. A range of measures suggests that there has been no generalized increase in volatility in recent years; indeed, it appears that...

Persistent link: https://www.econbiz.de/10014398639

Pricing protest : the response of financial markets to social unrest

Barrett, Philip; Bondar, Mariia; Chen, Sophia; … - 2021

Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....

Persistent link: https://www.econbiz.de/10012518928

Stock Markets and Real Exchange Rate : An Intertemporal Approach

Mercereau, Benoît - 2003

The paper presents an N-country model with stock markets, in which a closed-form solution for the real exchange rate is derived. Risky asset prices and allocation of risky assets among countries are determined endogenously. Such a framework allows an analysis of how fundamental parameters, such...

Persistent link: https://www.econbiz.de/10014400145