Showing 1 - 10 of 21
This paper presents the Conditional Probability of Default (CoPoD) methodology for modelling the probabilites of loan defaults (PoD) by small and medium enterprises (SMEs) and unlisted firms as functions of identifiable macroeconomic and financial variables. The process of modelling PoDs...
Persistent link: https://www.econbiz.de/10004970492
The estimation of the profit and loss distribution of a loan portfolio requires the modelling of the portfolio's multivariate distribution. This describes the joint likelihood of changes in the credit-risk quality of the loans that make-up the portfolio. A significant problem for portfolio...
Persistent link: https://www.econbiz.de/10005102426
The recent crisis underlined that proper estimation of distress-dependence amongst banks in a global system is essential for financial stability assessment. We present a set of banking stability measures embedding banks’ linear (correlation) and nonlinear distress-dependence, and their changes...
Persistent link: https://www.econbiz.de/10005102441
Over the last two decades, macroeconomic cycles were frequently associated with boom--bust cycles in bank lending and asset prices, often followed by financial instability. In this paper we argue that (i) the new pattern of macroeconomic cycles is partly the result of banking-sector...
Persistent link: https://www.econbiz.de/10005743645
Persistent link: https://www.econbiz.de/10009327293
 
Persistent link: https://www.econbiz.de/10005112966
The economies of the Arab states of the Gulf have gone through considerable changes in the last decade, spurred by high oil prices and ambitious diversification plans. Large-scale immigration provided the labour force while capital inflows and financial development leveraged oil wealth to...
Persistent link: https://www.econbiz.de/10010798776
We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss the effect of risk aversion, and to take into account uncertainty in the size of...
Persistent link: https://www.econbiz.de/10011051875
We investigate the extent of regional financial integration in the member countries of the Gulf Cooperation Council. Interest rate data show that convergence exists and that interest rate differentials are relatively short-lived—especially relative to other unified currency area and comparable...
Persistent link: https://www.econbiz.de/10011057002
GDP growth in the GCC has been considerably higher than in advanced economies or other oil exporters since 1986. The paper shows that the GCC countries have swiftly accumulated large stocks of physical capital but the population increase and the shift away from oil meant that capital intensity...
Persistent link: https://www.econbiz.de/10010575198