PSN: Econometrics最新文献_第9页

Least Squares Model Averaging: Some Further Results 最小二乘模型平均:一些进一步的结果

PSN: Econometrics Pub Date : 2008-09-01 DOI: 10.2139/ssrn.3481542

Xinyu Zhang, Alan T. K. Wan, Guohua Zou

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引用次数: 0

An Empirical Study of Exposure at Default 违约风险敞口实证研究

PSN: Econometrics Pub Date : 2008-06-21 DOI: 10.2139/ssrn.1149407

Michael Jacobs

{"title":"An Empirical Study of Exposure at Default","authors":"Michael Jacobs","doi":"10.2139/ssrn.1149407","DOIUrl":"https://doi.org/10.2139/ssrn.1149407","url":null,"abstract":"In this study we empirically investigate the determinants of and build a predictive econometric model for exposure at default (EAD) using a sample of Moody’s rated defaulted firms having revolving credits. We extend prior empirical work by considering alternative determinants of EAD risk, in addition to the traditional factors (e.g., credit rating.) Various measures of EAD risk are derived and compared. We build a multiple regression model in the generalized linear class and examine the comparative rank ordering and predictive accuracy properties of these. We find weak evidence of counter-cyclicality in EAD. While we find EAD risk to decrease with default risk, utilization has the strongest inverse relation. We also find EAD risk reduced for greater leverage, liquidity, more debt cushion; and increased for greater company size, higher collateral rank or more bank debt in the capital structure of the defaulted obligor. The models are validated rigorously through resampling experiment in a rolling out-of-time and sample experiment. In addition to the credit risk management implications of this study (the parameterization of pricing and portfolio management models), there is use in quantifying EAD risk for banks qualifying for the Advanced IRB approach in the regulatory framework of the Basel II accord.","PeriodicalId":320844,"journal":{"name":"PSN: Econometrics","volume":"142 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133412490","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 38

Monotonicity and Candidate Stable Voting Correspondences 单调性与候选稳定投票对应

PSN: Econometrics Pub Date : 2007-12-27 DOI: 10.2139/ssrn.861544

Yuelan Chen

引用次数: 0

Determining Innocence in Innocent-Spouse Court Cases Using Logit/Probit Analysis 利用Logit/Probit分析法判定配偶无罪

PSN: Econometrics Pub Date : 2007-11-01 DOI: 10.1016/S1058-7497(06)17006-4

G. E. Whittenburg, I. Horowitz, William A. Raabe

引用次数: 2

Bilateral Matching with Latin Squares 拉丁方格的双边匹配

PSN: Econometrics Pub Date : 2007-02-01 DOI: 10.2139/ssrn.2541967

C. Aliprantis, Gabriele Camera, D. Puzzello

引用次数: 2

Size and Power of Diagnostic Tests for Asymmetric Garch-Type Models 非对称garch型模型诊断检验的大小和功效

PSN: Econometrics Pub Date : 2006-06-01 DOI: 10.2139/SSRN.2462877

P. Jayasinghe, A. Tsui

引用次数: 0

The Estimation of Multinomial Probit Models: A New Calibration Algorithm 多项式概率模型的估计:一种新的校正算法

PSN: Econometrics Pub Date : 1989-11-01 DOI: 10.1287/trsc.23.4.253

W. Kamakura

引用次数: 40

Catastrophic Risk 灾难性的风险

PSN: Econometrics Pub Date : 1900-01-01 DOI: 10.2139/ssrn.1375632

G. Chichilnisky

引用次数: 18

V-Dem Methodology V6 V-Dem方法

PSN: Econometrics Pub Date : 1900-01-01 DOI: 10.2139/ssrn.2951040

M. Coppedge, J. Gerring, Staffan I. Lindberg, Svend-Erik Skaaning, Jan Teorell, Frida Andersson, Kyle L. Marquardt, Valeriya Mechkova, Farhad Miri, Daniel Pemstein, Josefine Pernes, N. Stepanova, Eitan Tzelgov, Yi-ting Wang

引用次数: 22