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Many a little makes a mickle : macro portfolio stress test for small and medium-sized German banks

Busch, Ramona; Koziol, Philipp; Mitrovic, Marc - 2015

We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model with an income stress test in the form of dynamic panel...

Persistent link: https://www.econbiz.de/10011308474

Determinants of Corporate Default : Systematic Distress, Sectoral Distress and Credit Contagion

Wang, Tao - 2010

This paper studies the effects of systematic distress and sectoral distress in the context of default …-wide systematic distress and sectoral distress based on distance to default, which is a powerful proxy to evaluate a firm's credit … risk. I find that including such distress factors as covariates can improve the intensity model's performance to predict …

Persistent link: https://www.econbiz.de/10013139978

Stress Testing the Financial Macrocosm

Farmer, J. Doyne; Kleinnijenhuis, Alissa M.; Wetzer, Thomas - 2021

What kind of models do we need to guide us through the next crisis? If past crises are any indication, we need to explore new approaches. During the Great Financial Crisis, the models that existed at the time were of little value because they focused on firm-level interactions and did not...

Persistent link: https://www.econbiz.de/10013214169

Dissection of Bitcoin's multiscale bubble history : from January 2012 to February 2018

Gerlach, Jan-Christian; Demos, Guilherme; Sornette, Didier - 2018

We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted market growth (drawups) and regimes of uninterrupted market...

Persistent link: https://www.econbiz.de/10011899669

Macroeconomic fluctuations and corporate financial fragility

Bruneau, Catherine; Bandt, Olivier de; El Amri, Widad - In: Journal of financial stability 8 (2012) 4, pp. 219-235

Persistent link: https://www.econbiz.de/10009655640

Do weak institutions prolong crises? : on the identification, characteristics, and duration of declines during economic slumps

Bluhm, Richard; Crombrugghe, Denis de; Szirmai, Adam - 2014

This paper defines economic slumps as sequences of structural breaks exhibiting a specific pattern. We identify 58 such episodes between 1950 and 2008 among 138 countries, and then examine the phases of decline and their duration. In some countries declines last extremely long, and we put...

Persistent link: https://www.econbiz.de/10010234524

The real costs of industry contagion

Garcia-Appendini, Emilia - 2014 - This draft: June 2014

This paper analyzes whether the financial distress of a firm affects the investment decisions of non …-distressed competitors. On average, firms in distress impose indirect costs to non-distressed competitors by increasing costs of credit in …

Persistent link: https://www.econbiz.de/10010410806

What Has Been the Impact of the 2008 Crisis on Firms’ Default?

Fougère, Denis - 2014

The acceleration of the firm failure rate in France between 2008 and 2010 was preceded by a surge in the number of firms' creations in 2003-2004.Therefore, identifying the impact of the 2008 crisis requires to distinguish, among the failures occurring over the period, those resulting from the...

Persistent link: https://www.econbiz.de/10013061404

Exploring interactions between real activity and the financial stance

Jacobson, Tor; Lindé, Jesper; Roszbach, Kasper - 2005

In this paper we empirically study interactions between real activity and the financial stance. Using aggregate data we examine a number of candidate measures of the financial stance of the economy. We find strong evidence for substantial spillover effects on aggregate activity from our...

Persistent link: https://www.econbiz.de/10011584069

Corporate Financial Distress in the Light of the Financial Crisis : Empirical Evidence from Greek Listed Firms

Charalambakis, Evangelos - 2022

distress in Greece. This model outperforms a univariate model that uses the expected default frequency (EDF) derived from the …

Persistent link: https://www.econbiz.de/10013403198