Asymmetric and nonlinear dynamics in sovereign credit risk markets
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DOI: 10.1002/fut.21896
Abstract: We employ asymmetric and nonlinear error correction models to characterize the price discovery and volatility interactions between the sovereign CDS and bond spreads for 22 reference entities. We find asymmetric, nonlinear, and bidirectional short and… read more here.
Keywords: dynamics sovereign; markets asymmetric; credit risk; nonlinear dynamics ... See more keywords
Credit risk in derivative securities: A simplified approach
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DOI: 10.1002/fut.22189
Abstract: The pricing of options and other derivatives which are subject to the default risk of the writer usually requires the calibration of a sophisticated model and substantial effort in determining the input parameters. In empirical… read more here.
Keywords: derivative securities; risk; approach; risk derivative ... See more keywords
Financial credit risk assessment of online supply chain in construction industry with a hybrid model chain
Sign Up to like & getrecommendations! Published in 2022 at "International Journal of Intelligent Systems"
DOI: 10.1002/int.22968
Abstract: Under the influence of COVID‐19, although upstream small‐ and medium‐sized enterprises (SMEs) in construction industry chain suffer from high operating costs and tight cash flow problems, their financing demands are even stronger. As an electronic… read more here.
Keywords: credit risk; supply chain; construction industry; chain ... See more keywords
Rough set-based feature selection for credit risk prediction using weight-adjusted boosting ensemble method
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DOI: 10.1007/s00500-019-04167-0
Abstract: With the tremendous development of financial institutions, credit risk prediction (CRP) plays an essential role in granting loans to customers and helps them to minimize their loss because credit approval sometimes results in massive financial… read more here.
Keywords: risk prediction; ensemble method; credit risk; credit ... See more keywords
Linear credit risk models
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DOI: 10.1007/s00780-019-00409-z
Abstract: We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default… read more here.
Keywords: finance; linear credit; risk models; credit risk ... See more keywords
Are financial ratios relevant for trading credit risk? Evidence from the CDS market
Sign Up to like & getrecommendations! Published in 2018 at "Annals of Operations Research"
DOI: 10.1007/s10479-016-2373-3
Abstract: We propose a combination of LASSO with panel-consistent estimation methods to investigate whether financial ratios are used in the decision-making process of CDS traders. Our results indicate that financial statement information does play a role… read more here.
Keywords: credit risk; trading; relevant trading; trading credit ... See more keywords
Interdependencies between CDS spreads in the European Union: Is Greece the black sheep or black swan?
Sign Up to like & getrecommendations! Published in 2018 at "Annals of Operations Research"
DOI: 10.1007/s10479-018-2788-0
Abstract: This paper dissects the dynamic interdependencies between credit default swap spreads among several European Union (EU) countries (Belgium, Bulgaria, Croatia, France, Germany, Greece, Hungary, Italy, Portugal, Romania, Slovakia, and Spain) during the period between October… read more here.
Keywords: credit risk; credit; greece; european union ... See more keywords
Model and estimation risk in credit risk stress tests
Sign Up to like & getrecommendations! Published in 2019 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-019-00840-5
Abstract: This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For… read more here.
Keywords: default; stress tests; risk; stress ... See more keywords
Sovereign credit risk and economic risk in Turkey: Empirical evidence from a wavelet coherence approach
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DOI: 10.1016/j.bir.2019.06.003
Abstract: Abstract This study aims to shed light on the co-movement of sovereign credit risk and economic risk in Turkey using the Toda–Yamamoto causality, Gradual Shift causality, and Wavelet Coherence tests. The study answers the following… read more here.
Keywords: economic risk; credit risk; sovereign credit; risk ... See more keywords
An endogenous structural credit risk model incorporating with moral hazard and rollover risk
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DOI: 10.1016/j.econmod.2018.09.012
Abstract: In this paper, we embed optimal contracting between the manager and equity holders into Leland-Toft endogenous structural credit risk model to study the impact of moral hazard on the firm's credit risk with rollover debts.… read more here.
Keywords: moral hazard; risk; model; credit risk ... See more keywords
Financial sector bailouts, sovereign bailouts, and the transfer of credit risk
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DOI: 10.1016/j.finmar.2018.11.001
Abstract: We develop an empirical network model to study credit risk spillovers among a group of eighteen sovereigns and their financial sectors from 2006 to 2015. Initially a net source of credit risk, the financial sector… read more here.
Keywords: financial sector; sovereign bailouts; credit risk; risk ... See more keywords