Default risk

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  • Understanding the relationship between credit and interest rate risk is critical to many applications in finance, from valuation of credit and interest rate-sensitive instruments to risk management. This study empirically examines the relationship between interest rates and default risk using firm level corporate default data in the United States between 1982 and 2008. We find significant negative contemporaneous correlations between the changes in short interest rates and aggregate default rates, with a particularly strong relationship around financial crises.

    pdf17p man3172 12-06-2010 136 35   Download

  • In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems.

    pdf256p tieungot 24-01-2013 96 30   Download

  • Fama (1977) and Miller (1977) predict that one minus the corporate tax rate will equate aftertax yields from comparable taxable and taxexempt bonds. Empirical evidence shows that long-term tax-exempt yields are higher than theory predicts. Two popular explanations for this empirical puzzle are that, relative to taxable bonds, municipal bonds bear more default risk and include costly call options. I study U.S. government secured municipal bond yields which are effectively default-free and noncallable. These municipal yields display the same tendency to be too high.

    pdf0p taisaocothedung 12-01-2013 33 2   Download

  • Lecture Money and banking - Lecture 16 include all of the following: Bonds and risk, default risk, inflation risk, interest rate risk, bond ratings, bond ratings and risk, tax effect.

    pdf27p tangtuy20 28-07-2016 32 2   Download

  • Chapter 6 - The structure of interest rates. After studying this chapter you will be able to: Describe and explain the relationship between interest rates and the term-to-maturity of a financial instrument, explain the meaning and the measurement of default risk premiums, describe how tax treatment affects yield differences across different types of securities,...

    ppt17p nomoney12 04-05-2017 25 1   Download

  • (BQ) Continued part 1, the document Principles and practice in Derivatives (Second edition): Part 2 has contents: Convertible bonds, real options, equity swaps, currency and commodity swaps, estimating the yield curve, credit derivative products, structural models of default risk, modeling correlated default,... and other contents. Invite you to refer.

    pdf543p thuongdanguyetan04 25-07-2019 14 2   Download

  • This paper explores correlation between growth of stock market and economic growth in Vietnam by examining causal relationship between VN-Index and the GDP. The results show that there is no evidence of a causal relation between VN-Index and economic growth. This finding allows several implications of restructuring of the Vietnamese economy.

    pdf18p danhnguyentuongvi 18-12-2018 14 0   Download

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  • In banking, especially in risk management, portfolio management, and structured finance, solid quantitative know-how becomes more and more important. We had a two-fold intention when writing this book: First, this book is designed to help mathematicians and physicists leaving the academic world and starting a profession as risk or portfolio managers to get quick access to the world of credit risk management. Second, our book is aimed at being helpful to risk managers looking for a more quantitative approach to credit risk. ...

    pdf285p vigro23 24-08-2012 130 56   Download

  • Banks operating in the main developed countries have been exposed, since the Seventies, to four significant drivers of change, mutually interconnected and mutually reinforcing. The first one is a stronger integration among national financial markets (such as stock markets and markets for interest rates and FX rates) which made it easier, for economic shocks, to spread across national boundaries.

    pdf0p taurus23 25-09-2012 81 26   Download

  • From the privacy perspective therefore it would be a far better position for users if there were no default settings upon sign-up. A user then would be asked via a process what their broad preferences are with settings that reflect such broad preferences and a consequent ability for the user to refine those settings all of which should be available from one place. This Office has no difficulty with FB-I expressing its position as to what it believes a person should select to gain the greatest experience from the site but we do...

    pdf29p tay_thi_le 19-02-2013 35 3   Download

  • This paper studies the maturity composition and the term structure of interest rate spreads of government debt in emerging markets. In the data, when interest rate spreads rise, debt maturity shortens and the spread on short-term bonds is higher than on long-term bonds. To account for this pattern, we build a dynamic model of international borrowing with endogenous default and multiple maturities of debt.

    pdf0p enter1cai 16-01-2013 28 2   Download

  • Lecture Money and banking - Lecture 15: Shifts in equilibrium in the bond market and risk presents the following content: Shifts in equilibrium in bond market, bond and risk, default risk, inflation risk, interest rate risk.

    pdf21p tangtuy20 28-07-2016 31 2   Download

  • Measuring sovereign risk with contingent claims analysis: The empirical evidence in southeast Asia credit markets. This paper focuses on examining the degree to which the Contingent Claims Analysis is useful for Southeast Asia markets. Such a framework is initially developed for analyzing corporate sector default based on the theory of Black-Scholes options pricing.

    pdf22p tranminhluanluan 29-05-2018 24 2   Download

  • The research aims to apply KMV-Merton model to calculate and forecast default probability (DP) among corporate customers of Vietcombank. Analyzing data from financial statements of 6,398 corporate customers in the years 2008–2012/2013, the research shows that the DP of the whole customer portfolio is 2.6%, equaling a loss of VND6,319 billion, or 3.8% of outstanding loans to the portfolio.

    pdf20p danhnguyentuongvi27 18-12-2018 18 2   Download

  • A convertible bond is a security that the holder can convert into a specified number of underlying shares. We enrich the standard model by introducing some default risk of the issuer. Once default has occured payments stop immediately. In the context of a reduced form model with infinite time horizon driven by a Brownian motion, analytical formulae for the no-arbitrage price of this American contingent claim are obtained and characterized in terms of solutions of free boundary problems.

    pdf29p taisaocothedung 12-01-2013 37 1   Download

  • Risk management attempts to provide financial predictability for a company. Every day firms face financial risks. Interest and exchange rate volatility, default on loans, and changes in credit rating are some examples. These risks can be sorted into two categories – credit risk and market risk.

    ppt22p tieu_vu17 02-08-2018 14 0   Download

  • This paper, the extension of the previous work [1], focuses on the effects of different levels of conservatism implicated in regulatory defaults on the estimates of risk. According to the postulated behaviors of regulated parties and the diversity of interests of regulators, in particular, various measures for evaluating the effect of conservatism in defaults are developed and their properties are explored.

    pdf7p minhxaminhyeu3 25-06-2019 4 0   Download

  • Chapter 13 - An introduction to interest rate determination and forecasting.

    ppt47p shiwo_ding8 29-06-2019 15 1   Download



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