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Author: Darrell Duffie
Publisher: Oxford University Press
ISBN: 0199279233
Category : Business & Economics
Languages : en
Pages : 122
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Book Description
public corporations since 1980.
Author: Darrell Duffie
Publisher: Oxford University Press
ISBN: 0199279233
Category : Business & Economics
Languages : en
Pages : 122
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Book Description
public corporations since 1980.
Author: Arindam Bandyopadhyay
Publisher: Cambridge University Press
ISBN: 110714647X
Category : Business & Economics
Languages : en
Pages : 390
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Book Description
This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.
Author: Jiri Podpiera
Publisher: International Monetary Fund
ISBN: 1455200573
Category : Business & Economics
Languages : en
Pages : 34
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Book Description
This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly data over 2004 - 08 for 29 European LCFIs. The results from a dynamic panel data estimator show that LCFIs’ business models, earnings potential, and economic uncertainty (represented by market expectations about the future risks of a particular LCFI and market views on prospects for economic growth) are among the most significant determinants of credit risk. The findings of the paper are broadly consistent with those of the literature on bank failure, where the determinants of the latter include the entire CAMELS structure - that is, Capital Adequacy, Asset Quality, Management Quality, Earnings Potential, Liquidity, and Sensitivity to Market Risk. By establishing a link between the financial and market fundamentals of LCFIs and their CDS spreads, the paper offers a potential tool for fundamentals-based vulnerability and early warning system for LCFIs.
Author: Andre Santos
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 36
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Book Description
Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed models can be adapted to different exchange rate regimes, are analytically tractable, and can be estimated using available equity price and balance sheet data. The paper provides a detailed explanation on how to calibrate the models and discusses two applications to financial surveillance: the measurement of systematic risk in the corporate sector and the estimation of prudential leverage ratios consistent with regulatory capital ratios in the banking sector.
Author: Christopher Parsons
Publisher: Now Publishers Inc
ISBN: 160198202X
Category : Business & Economics
Languages : en
Pages : 107
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Book Description
Empirical Capital Structure reviews the empirical capital structure literature from both the cross-sectional determinants of capital structure as well as time-series changes.
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
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Book Description
Author: Darrell Duffie
Publisher: OUP Oxford
ISBN: 019150047X
Category : Business & Economics
Languages : en
Pages : 122
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Book Description
This book, based on the author's Clarendon Lectures in Finance, examines the empirical behaviour of corporate default risk. A new and unified statistical methodology for default prediction, based on stochastic intensity modeling, is explained and implemented with data on U.S. public corporations since 1980. Special attention is given to the measurement of correlation of default risk across firms. The underlying work was developed in a series of collaborations over roughly the past decade with Sanjiv Das, Andreas Eckner, Guillaume Horel, Nikunj Kapadia, Leandro Saita, and Ke Wang. Where possible, the content based on methodology has been separated from the substantive empirical findings, in order to provide access to the latter for those less focused on the mathematical foundations. A key finding is that corporate defaults are more clustered in time than would be suggested by their exposure to observable common or correlated risk factors. The methodology allows for hidden sources of default correlation, which are particularly important to include when estimating the likelihood that a portfolio of corporate loans will suffer large default losses. The data also reveal that a substantial amount of power for predicting the default of a corporation can be obtained from the firm's "distance to default," a volatility-adjusted measure of leverage that is the basis of the theoretical models of corporate debt pricing of Black, Scholes, and Merton. The findings are particularly relevant in the aftermath of the financial crisis, which revealed a lack of attention to the proper modelling of correlation of default risk across firms.
Author: Arindam Bandyopadhyay
Publisher: Oxford University Press
ISBN: 0192849018
Category : Business & Economics
Languages : en
Pages : 321
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Book Description
The book provides an engaging account of theoretical, empirical, and practical aspects of various statistical methods in measuring risks of financial institutions, especially banks. In this book, the author demonstrates how banks can apply many simple but effective statistical techniques to analyze risks they face in business and safeguard themselves from potential vulnerability. It covers three primary areas of banking; risks-credit, market, and operational risk and in a uniquely intuitive, step-by-step manner the author provides hands-on details on the primary statistical tools that can be applied for financial risk measurement and management. The book lucidly introduces concepts of various well-known statistical methods such as correlations, regression, matrix approach, probability and distribution theorem, hypothesis testing, value at risk, and Monte Carlo simulation techniques and provides a hands-on estimation and interpretation of these tests in measuring risks of the financial institutions. The book strikes a fine balance between concepts and mathematics to tell a rich story of thoughtful use of statistical methods.
Author: Thomas Clarke
Publisher: Edward Elgar Publishing
ISBN: 1839107065
Category : Business & Economics
Languages : en
Pages : 469
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Book Description
With 163 authoritative entries providing definitive explanations and critiques of the fundamental principles and practices of corporate governance, this timely Encyclopedia is a comprehensive overview of the economic, political, social, legal and environmental impacts of corporations across the globe.
Author: Hans Keiding
Publisher: Bloomsbury Publishing
ISBN: 1137453052
Category : Business & Economics
Languages : en
Pages : 392
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Book Description
Economics of Banking presents a thorough overview and analysis of the key aspects of financial intermediation necessary to understand this field. Based on the latest theory, and supporting arguments with practical examples, Hans Keiding discusses the problems of competition, risk taking in banks and the irregularities that may occur as a result. Banks in distress and avoiding bank failures through suitable regulation are also treated in a rigorous, yet easy-to-understand way. Economics of Banking: - Treats financial intermediation both from the point of view of the bank itself and from that of society - Covers both microeconomics of banking and risk management in banks - Offers more complicated mathematics as optional. A comprehensive advanced undergraduate or master's level textbook for students in banking, economics and finance who need to get to grips with the economic theory of banks.
