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  1. Financial sector and macroeconomics links in MEAM
    Autor*in: Skufi, Lorena
    Erschienen: 2020
    Verlag:  Bank of Albania, [Tirana]

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    Nicht speichern
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789928262417
    Schriftenreihe: Working paper / Bank of Albania ; 43 = 83 (2020)
    Schlagworte: financial sector; default probability; macromodel; Albania
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  2. Chronicle of a death foretold
    does higher volatility anticipate corporate default?
    Autor*in: Ampudia, Miguel; Busetto, Filippo; Fornari, Fabio
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We test whether a simple measure of corporate insolvency based on equity return volatility - and denoted as Distance to Insolvency (DI) - delivers better predictions of corporate default than the widely-used Expected Default Frequency (EDF) measure... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    We test whether a simple measure of corporate insolvency based on equity return volatility - and denoted as Distance to Insolvency (DI) - delivers better predictions of corporate default than the widely-used Expected Default Frequency (EDF) measure computed by Moody's. We look at the predictive power that current DIs and EDFs have for future defaults, both at a firm-level and at an aggregate level. At the granular level, both DIs and EDFs anticipate corporate defaults, but the DI contains information over and above the EDF, especially at longer forecasting horizons. At an aggregate level the DI shows superior forecasting power compared to the EDF, for horizons between 3 and 12 months. We illustrate the predictive power of the DI measure for the aggregate default rate by examining how corporate defaults would have evolved during the period marked by the spreading of the COVID-19 pandemic had the ECB not implemented the pandemic emergency purchase programme (PEPP).

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289953979
    Weitere Identifier:
    hdl: 10419/278224
    Schriftenreihe: Working paper series / European Central Bank ; no 2749 (November 2022)
    Schlagworte: default probability; equity volatility; distance to insolvency; expected default frequency
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  3. Does size of banks really matter?
    evidence from CDS market data
    Autor*in: Arslan, İlker
    Erschienen: 2010

    In this study we try to find that whether markets take into account the phenomenon of Too Big to Fail. With the help of CDS market data, which reflects the risk, markets attribute on banks, we calculate the default probabilities of banks in one, two,... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 148 (2010,8)
    Fernleihe:
    keine Fernleihe

     

    In this study we try to find that whether markets take into account the phenomenon of Too Big to Fail. With the help of CDS market data, which reflects the risk, markets attribute on banks, we calculate the default probabilities of banks in one, two, and three years. Then we regress these results with financial values like total assets, total shareholders' equity and net income. Later on we extend our study and repeat our regression analysis using Return on Assets as dependent variable. We find that markets give more importance to profitability of a bank than its size when pricing the riskiness of the bank. We conclude that Too Big to Fail is not a valid term as thought but may be Too Profitable to Fail may be better. -- Banking ; Too Big to Fail ; CDS Market

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/175917
    Schriftenreihe: Working paper / Department of Economics, Izmir University of Economics ; 10/08
    Schlagworte: Kreditderivat; Bankrisiko; Betriebsgröße; Rentabilität; Bankgeschäft; Welt; too big to fail; default probability
    Umfang: Online-Ressource (PDF-Datei: 28 S., 1,18 MB), graph. Darst.
  4. Análisis de riesgo macro-financiero para Venezuela
    Autor*in: Moreno, María Antonia; Pagliacci, Carolina
    Erschienen: 2011
    Verlag:  Gerencia de Comunicaciones Institucionales, BCV, Caracas

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Spanisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Serie Documentos de trabajo / BCV, Banco Central de Venezuela ; 123
    Colección Economía y finanzas
    Schlagworte: Länderrisiko; Venezuela; contingent claim analysis; macroeconomic credit risk; default probability
    Umfang: Online-Ressource, graph. Darst.
    Bemerkung(en):

    Zsfassungen in engl. und span. Sprache
  5. Tracking changes in the intensity of financial sector's systemic risk
    Autor*in: Jin, Xisong; Nadal-De Simone, Francisco
    Erschienen: Octobre 2016
    Verlag:  Banque centrale du Luxembourg, Luxembourg

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / Banque centrale du Luxembourg ; no 102
    Schlagworte: financial stability; macro-prudential policy; banking sector; investment funds; default probability; non-linearities; generalized dynamic factor model; dynamic copulas
    Umfang: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  6. Systemic financial sector and sovereign risks
    Autor*in: Jin, Xisong; Nadal-De Simone, Francisco
    Erschienen: June 2017
    Verlag:  Banque centrale du Luxembourg, Luxembourg

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
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    Hinweise zum Inhalt
    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / Banque centrale du Luxembourg ; no 109
    Schlagworte: financial stability; sovereign risk; macro-prudential policy; banking sector; investment funds; default probability; non-linearities; generalized dynamic factor model; dynamic copulas
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen