Liquidity and Credit Risk potx

... correlation coefficient. 22 See also, for example, Leland (1994), Fan and Sundaresan (2000). 23 See also Fan and Sundaresan (2000) and Franc¸ois and Morellec (2004). Liquidity and Credit Risk 2231 In summary, variables ... 5 • OCTOBER 2006 Liquidity and Credit Risk JAN ERICSSON and OLIVIER RENAULT ∗ ABSTRACT We develop a structural bond valuation model to simultaneou...

Ngày tải lên: 06/03/2014, 08:20

... from the concept of asset ASSET LIQUIDITY AND FINANCIAL MARKET LIQUIDITY U nfortunately, the word liquidity is often used to describe very different things. Liquidity is perhaps most often used ... OF MARKET LIQUIDITY Fundamentally, domestic credit has three major sources: private saving (individuals and firms), government saving (surpluses of federal, state, and local govern...

Ngày tải lên: 15/02/2014, 14:20

... processes for the inflation risk and liquidity risk premia, and by assuming inverse functional relationships between the observable measures of risk/ volatility and the corresponding risk premia. In other ... unobserved liquidity risk premium and measures for the liquidity risk premium in nominal treasuries is likely not constant over time, and third the assumption o...

Ngày tải lên: 06/03/2014, 04:20

... concept of liquidity into two categories: funding liquidity and market liquidity (Brunnermeier and Pedersen, forthcoming). Funding liquidity describes the ease with which expert investors and arbitra- geurs ... paper on bank runs. Allen and Gale (2007) and Freixas and Rochet (1997), and references therein, are further useful starting points. Bernardo and Welch (2004)...

Ngày tải lên: 06/03/2014, 04:21

... bankruptcy and default risk represent systematic risk. Dichev (1998) …nds that high bankruptcy and distress risk is not associated with high equity returns and concludes that high bankruptcy risk is ... …rms credit risks that have higher levels of systematic risk. This means that if failure beta is a good measure of systematic risk, and if variation in systematic risk is p...

Ngày tải lên: 06/03/2014, 08:20

... 5.3. References Credit- Suisse-Financial-Products (1997): “Cre ditRisk + a Credit Risk Management Framework,” Technical Document, available from htpp://www.csfb.com/creditrisk. Crosbie, P., and J. Bohn ... risk management: prop erties and pitfalls,” in Risk Management: Value at Risk and Beyond, ed. by M. Dempster, and H. Moffatt. Cambridge University Press. 23 Frey, R., and...

Ngày tải lên: 15/03/2014, 04:20

... to credit risk management ± CreditMetrics, CreditRisk+ and KMV ± are of limited value when applied to portfolios of interest rate sensitive in- struments and in measuring market and credit risk. Empirically ... 2. CreditMetrics, CreditRisk+ and KMV have become the standard method- ologies for credit risk management. The CreditMetrics and KMV methodol- ogies are based on...

Ngày tải lên: 15/03/2014, 04:20

... strategies for call and conversion. Journal of Finance, 32:1699–1715, 1977. [5] M.H.A. Davis and F.R. Lischka. Convertible bonds with market risk and credit risk. In R. Chan, Y K. Kwok, D. Yao, and Q. Zhang, ... 2007. 28 [3] T.R. Bielecki and M. Rutkowski. Credit Risk: Modeling, Valuation and Hedging. Springer-Verlag, Berlin, 2002. [4] M.J. Brennan and E.S. Schwartz. Con...

Ngày tải lên: 22/03/2014, 18:20

... debt overhang effects in the Leland setting, see Lambrecht and Myers (2008) and He (2011). Rollover Risk and Credit Risk 409 Table II Responses of Different Firms’ Credit Spreads to a Liquidity Shock The ... deterioration in bond market liquidity also increases the default component of the firm’s credit Rollover Risk and Credit Risk 405 Figure 2. Effects of bond inv...

Ngày tải lên: 29/03/2014, 07:20

... nan- cial risk: spot risk in Chapter 9 , forward risk in Chapter 10 , vanilla options risk in Chapter 11 , exotic options risk in Chapter 12 , credit risk in Chapter 13 , and counterparty credit risk ... market and credit risk. Just as I was struggling to integrate these three types of risk, people started worrying about operational risk, basis risk, mortality r...

Ngày tải lên: 03/04/2014, 18:47