This paper investigates whether three microeconomic loan characteristics are sources of loan default clustering in the Mexican banking sector by employing survival analysis with frailty. Using a large sample of bank loan level data granted to micro, small and medium sized firms from January 2010...

This paper examines the link between bank competition measures and risk indicators using quarterly interbank exposures data for all banks in Mexico during 2008Q1-2019Q1. The classical literature focuses on disentangling the link between competition and individual bank solvency risk. In this...

In the context of Merton [1974] and Vasicek [1987, 2002] Gaussian single-factor credit risk models, the authors examine the impact of neglected non-normality of the underlying asset return process on the shape of the derived credit loss distribution and the resulting Basel capital requirements....

Wegeneralize existing structural credit riskmodels that account for contagion effects across economic sectors, to capture the impact of neglected skewness and excess kurtosis in the asset return process, on the shape of the credit loss distribution. We specify Skew-Normal and Skew-Student t...

We examine the determinants of an initial public offering (IPO) firm's choice to trade on a when-issued market and find that better quality firms are more likely to trade on this market. Our ‘what-if' analysis shows that for companies choosing when-issued trading, the actual offer price is...

We examine the determinants of an IPO firm's choice to trade on a when-issued market and if the decision to trade on this market has any impact on the pricing of IPO shares. We find that companies that are larger, less risky, have higher future growth opportunities and are underwritten by...