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Journal of Credit Risk最新文献

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Basel Risk Weight Functions and Forward-Looking Expected Credit Losses 巴塞尔风险权重函数与前瞻性预期信贷损失
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2018-03-01 DOI: 10.21314/jcr.2019.255
Vlachostergios Eleftherios
{"title":"Basel Risk Weight Functions and Forward-Looking Expected Credit Losses","authors":"Vlachostergios Eleftherios","doi":"10.21314/jcr.2019.255","DOIUrl":"https://doi.org/10.21314/jcr.2019.255","url":null,"abstract":"It is evident that the definition of expected credit losses (ECL) diverges between International Financial Reporting Standard 9 (IFRS 9) (the accounting model recently adopted by European banks) and the probability of default/loss given default methodology used in the Basel internal ratings-based approach to capital adequacy estimation. The ongoing discussion on the incorporation of lifetime ECL into the Basel framework – through the adoption of lifetime expected losses with the greatest possible consensus – will eventually lead to modifications, but for the time being it is not optimal. We establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and in order to alleviate the problem, we propose two alterations to the risk weight functions that constitute the core of the Basel advanced methodologies.<br>","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"2 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2018-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79444039","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
A Copula Approach to Credit Valuation Adjustment for Swaps Under Wrong-Way Risk 错向风险下掉期信用估值调整的Copula方法
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2018-02-13 DOI: 10.21314/JCR.2017.234
Jakub Černý, J. Witzany
{"title":"A Copula Approach to Credit Valuation Adjustment for Swaps Under Wrong-Way Risk","authors":"Jakub Černý, J. Witzany","doi":"10.21314/JCR.2017.234","DOIUrl":"https://doi.org/10.21314/JCR.2017.234","url":null,"abstract":"This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR). It compares the upper Frechet bound approach introduced in a 2013 paper by Umberto Cherubini with a new semi-analytical IRS–CVA formula that we are proposing as a modification of Cherubini’s approach. The approaches are compared via a numerical study, in which we find that our semianalytical formula (the modified approach) provides more precise IRS–CVA valuation results.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"10 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2018-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75035603","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Consumer risk appetite, the credit cycle and the housing bubble 消费者风险偏好、信贷周期和房地产泡沫
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2018-01-01 DOI: 10.21314/jcr.2017.236
Joseph Breeden,José Canals-Cerdá
{"title":"Consumer risk appetite, the credit cycle and the housing bubble","authors":"Joseph Breeden,José Canals-Cerdá","doi":"10.21314/jcr.2017.236","DOIUrl":"https://doi.org/10.21314/jcr.2017.236","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"48 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138518619","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Moment estimators for autocorrelated time series and their application to default correlations 自相关时间序列的矩估计及其在默认相关中的应用
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2018-01-01 DOI: 10.21314/jcr.2017.231
Christoph Frei,Marcus Wunsch
{"title":"Moment estimators for autocorrelated time series and their application to default correlations","authors":"Christoph Frei,Marcus Wunsch","doi":"10.21314/jcr.2017.231","DOIUrl":"https://doi.org/10.21314/jcr.2017.231","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"6 ","pages":"1-29"},"PeriodicalIF":0.3,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138518627","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Issuer Bias in Corporate Ratings Toward Financially Constrained Firms 公司评级中对财务受限公司的发行人偏见
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2017-12-14 DOI: 10.21314/JCR.2017.226
M. Hasan, Nikunj Kapadia, Akhtar Siddique
{"title":"Issuer Bias in Corporate Ratings Toward Financially Constrained Firms","authors":"M. Hasan, Nikunj Kapadia, Akhtar Siddique","doi":"10.21314/JCR.2017.226","DOIUrl":"https://doi.org/10.21314/JCR.2017.226","url":null,"abstract":"Rating downgrades can have adverse consequences on a firm due to the feedback effect, even when ratings lack informational content. In this paper, we consider whether the rating agency attempts to mitigate the feedback effect through its rating actions. Using Moody’s issuer ratings over 1982–2009, we show that firms with greater external financing constraints are less likely to be downgraded. The issuer bias is robust, and its economic significance increases at times when economy-wide credit spreads are unusually high. We document that severely constrained firms whose ratings are affirmed or upgraded have long-term positive excess equity returns.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"45 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2017-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87903049","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Reliability and agreement of credit ratings in the Mexican fixed-income market 墨西哥固定收益市场信用评级的可靠性和一致性
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2017-09-01 DOI: 10.21314/jcr.2017.227
Ventura Charlin,Arturo Cifuentes
{"title":"Reliability and agreement of credit ratings in the Mexican fixed-income market","authors":"Ventura Charlin,Arturo Cifuentes","doi":"10.21314/jcr.2017.227","DOIUrl":"https://doi.org/10.21314/jcr.2017.227","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"43 ","pages":"21-45"},"PeriodicalIF":0.3,"publicationDate":"2017-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138518626","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal Investment and Financing with Macroeconomic Risk and Loan Guarantees 宏观经济风险与贷款担保下的最优投融资
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2017-08-19 DOI: 10.2139/ssrn.2994489
Xiaoling Tang, Zhaojun Yang
{"title":"Optimal Investment and Financing with Macroeconomic Risk and Loan Guarantees","authors":"Xiaoling Tang, Zhaojun Yang","doi":"10.2139/ssrn.2994489","DOIUrl":"https://doi.org/10.2139/ssrn.2994489","url":null,"abstract":"We consider an entrepreneur who has no assets in place but possesses an option to invest in a project incurring a lump-sum investment cost, of which a fraction must be financed by entering into an equity-for-guarantee swap. The entrepreneur is exposed to macroeconomic risk as well as idiosyncratic risk. The former is described by a regime-switching process; the latter by a geometric Brownian motion. We derive the corporate security prices, guarantee costs, optimal investment and financing policy. Numerical analysis discovers that the entrepreneur postpones investment in boom but accelerates in recession. The optimal leverage ratio is countercyclical when the project idiosyncratic risk is low and vice versa. The swap mechanism eliminates ex-post agency conflicts between the borrowers and lenders but the conflicts of interest between the borrowers and the insurers appear, which induce inefficiencies from asset substitution and debt overhang. They are generally not so obvious in boom or if boom occurs frequently. The swap overcomes financing frictions and increases firm value as well.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"63 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2017-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88968658","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Primary-Firm-Driven Portfolio Loss 初级公司驱动的投资组合损失
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2017-06-22 DOI: 10.21314/JCR.2017.223
S. Turnbull
{"title":"Primary-Firm-Driven Portfolio Loss","authors":"S. Turnbull","doi":"10.21314/JCR.2017.223","DOIUrl":"https://doi.org/10.21314/JCR.2017.223","url":null,"abstract":"Many financial institutions provide loans to secondary firms, whose economic survival depends on the economic condition of primary firms. Even if loans from primary firms are not held in the loan portfolio, the financial distress of primary firms can adversely affect the loan portfolio of a financial institution. This paper describes a simple model that can be used for risk management. Our model directly incorporates the dependence of the conditional probability of default and loss given default of secondary firms on primary firms. Two simple examples show that failure to account for such dependence can result in the value-at-risk and the expected shortfall being greatly underestimated.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"62 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2017-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79318368","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Portfolio Credit Risk Model with Extremal Dependence of Defaults and Random Recovery 违约极依赖和随机恢复的组合信用风险模型
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2017-06-22 DOI: 10.21314/JCR.2017.222
Jong-June Jeon, Sunggon Kim, Yonghee Lee
{"title":"Portfolio Credit Risk Model with Extremal Dependence of Defaults and Random Recovery","authors":"Jong-June Jeon, Sunggon Kim, Yonghee Lee","doi":"10.21314/JCR.2017.222","DOIUrl":"https://doi.org/10.21314/JCR.2017.222","url":null,"abstract":"The extremal dependence of defaults, and negative correlation between defaults and their recovery rates, are of major interest in modeling portfolio credit risk. In order to incorporate these two features, we propose a portfolio credit risk model with random recovery rates. The proposed model is an extension of the traditional t-copula model for the credit portfolio with constant recovery rates. A skew-normal copula model is adopted to represent dependent random recovery rates. In our proposed model, various types of dependency between the defaults and their recovery rates are possible, including an inverse relation. We also propose a conditional Monte Carlo simulation algorithm for estimating the probability of a large loss in the model, and an importance sampling version of it. We show that the proposed Monte Carlo simulation algorithm is relatively efficient compared with the plain Monte Carlo simulation. Numerical results are presented to show the performance and efficiency of the algorithms.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"48 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2017-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90902942","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Asset Correlation Estimation for Inhomogeneous Exposure Pools 非均匀暴露池的资产相关性估计
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2017-01-08 DOI: 10.21314/jcr.2019.251
Christoph Wunderer
{"title":"Asset Correlation Estimation for Inhomogeneous Exposure Pools","authors":"Christoph Wunderer","doi":"10.21314/jcr.2019.251","DOIUrl":"https://doi.org/10.21314/jcr.2019.251","url":null,"abstract":"A possible data source for the estimation of asset correlations is default time series. This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not. We find that the asset correlation will always be underestimated if homogeneity with respect to the probability of default (PD) is wrongly assumed, and the error is the larger the more spread out the PD is within the exposure pool. If the exposure pool is inhomogeneous with respect to the asset correlation itself then the error may be going in both directions, but for most PD- and asset correlation ranges relevant in practice the asset correlation is systematically underestimated. Both effects stack up and the error tends to become even larger if in addition a negative correlation between asset correlation and PD is assumed, which is plausible in many circumstances and consistent with the Basel RWA formula. It is argued that the generic inhomogeneity effect described is one of the reasons why asset correlations measured from default data tend to be lower than asset correlations derived from asset value data.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"5 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2017-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86549127","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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