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  1. 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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    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    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).

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    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
  2. It's not time to make a change
    sovereign fragility and the corporate credit risk
    Autor*in: Fornari, Fabio; Zaghini, Andrea
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

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

     

    Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after a sovereign rating downgrade. We find that after the delivery of the downgrade, corporate CDS spreads rise by 36% per annum and there is a widespread contagion across countries, in particular among those which were most exposed to the sovereign debt crisis. This effect exists on top of the standard relation between sovereign and corporate credit risk.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289953887
    Weitere Identifier:
    hdl: 10419/269147
    Schriftenreihe: Working paper series / European Central Bank ; no 2740 (October 2022)
    Schlagworte: Credit Default Swaps; Credit Rating; Sovereign Risk Spillover
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  3. Chronicle of a death foretold
    does higher volatility anticipate corporate default?
    Autor*in: Ampudia, Miguel; Busetto, Filippo; Fornari, Fabio
    Erschienen: [2022]
    Verlag:  Bank of England, London

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 443
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Staff working paper / Bank of England ; no. 1001 (October 2022)
    Schlagworte: Default probability; equity volatility; Distance to Insolvency; Expected DefaultFrequency
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen