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Sharing the risk of settlement failure
Fujiki, Hiroshi; Green, Edward J.; Yamazaki, Akira - 1999
"Two policies toward payments-system risk are common, but superficially appear to be contradictory. One policy is to … restrict the exposure to risk generated by one participant to other participants who are, by one measure or another, directly … by taxes collected from all participants and even from non-participants, to share losses due to "systemic risk." In this …
Persistent link: https://www.econbiz.de/10001372179
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Risk analysis probability of default : a stochastic simulation model
Montesi, Giuseppe; Papiro, Giovanni - In: The journal of credit risk : published quarterly by … 10 (2014) 3, pp. 29-86
Persistent link: https://www.econbiz.de/10010426467
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Reorganization in bankruptcy and the issue of strategic risk
Aivazian, Varouj A.; Callen, Jeffrey L. - In: Journal of banking & finance 7 (1983) 1, pp. 119-133
Persistent link: https://www.econbiz.de/10001815121
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Optimal reinsurance in the presence of counterparty default risk
Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 690-697
Persistent link: https://www.econbiz.de/10010227904
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Optimal reinsurance with regulatory initial capital and default risk
Cai, Jun; Lemieux, Christiane; Liu, Fangda - In: Insurance / Mathematics & economics 57 (2014), pp. 13-24
Persistent link: https://www.econbiz.de/10010402747
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What risks for the profitability of the banking sector
Gargouri, Ilhèm; Boujelben, Younes - In: International journal of economics and finance 6 (2014) 7, pp. 140-156
Persistent link: https://www.econbiz.de/10010384660
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Deep learning for survival and competing risk modelling
Blumenstock, Gabriel; Lessmann, Stefan; Seow, Hsin-Vonn - In: Journal of the Operational Research Society 73 (2022) 1, pp. 26-38
Persistent link: https://www.econbiz.de/10012872880
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Risk Analysis Probability of Default : A Stochastic Simulation Model
Montesi, Giuseppe - 2015
We present a stochastic simulation model for estimating forward-looking corporate probability of default and loss given default. We formulate the model in a discrete time frame, apply capital-budgeting techniques to define the relationships that identify the default condition, and solve the...
Persistent link: https://www.econbiz.de/10013023044
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The impact of different default triggers on CMBS risk evaluation
Christopoulos, Andreas D. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 65-91
Persistent link: https://www.econbiz.de/10011700690
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A limit distribution of credit portfolio losses with low default probabilities
Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi - In: Insurance / Mathematics & economics 73 (2017), pp. 156-167
Persistent link: https://www.econbiz.de/10011702063