Search results for "default."
showing 10 items of 105 documents
Pricing Sovereign Contingent Convertible Debt
2016
We develop a pricing model for sovereign contingent convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's credit default swap CDS spread. One innovation is the modeling of CDS spread regime switching which is prevalent during crises. Regime switching is modeled as a hidden Markov process and is integrated with a stochastic process of spread levels to obtain S-CoCo prices through simulation. The paper goes a step further and uses the pricing model in a Longstaff-Schwartz. American option pricing framework to compute state contingent S-CoCo prices at some risk horizon, thus facilitating risk management. Dual trigger pricing is also discussed using the idiosyncratic CD…
The Pharmacology of Visual Hallucinations in Synucleinopathies
2019
Visual hallucinations (VH) are commonly found in the course of synucleinopathies like Parkinson's disease and dementia with Lewy bodies. The incidence of VH in these conditions is so high that the absence of VH in the course of the disease should raise questions about the diagnosis. VH may take the form of early and simple phenomena or appear with late and complex presentations that include hallucinatory production and delusions. VH are an unmet treatment need. The review analyzes the past and recent hypotheses that are related to the underlying mechanisms of VH and then discusses their pharmacological modulation. Recent models for VH have been centered on the role played by the decoupling …
The role of internal corporate governance mechanisms on default risk: A systematic review for different institutional settings
2020
Recent financial downturns, characterized by the significant failures of firms, have revealed the need to control credit risk. Latest literature has shown that weak corporate governance structures are related to high levels of default risk, leading to financial instability. In this context, we aim to summarize the literature that focuses on the role that internal corporate governance plays in the credit risk of firms, specifically considering three corporate governance components: ownership structure, board structure and financial stakeholders’ rights and relations. Additionally, we analyse whether the effectiveness of the internal mechanisms depends on particular key factors, especially th…
Systemic Risk in a Structural Model of Bank Default Linkages
2018
Abstract We study a structural model of individual bank defaults across the banking sector; banks are interconnected through their exposure to a common risk factor. The paper introduces a systemic risk measure based on the default frequency in the banking sector; this measure depends non-linearly on the factor's loadings, in contrast to previous systemic risk measures that depend linearly on loadings. We estimate loadings in the U.S. banking system over the course of the last 36 years; we find that they have considerably increased over time and identify four major regimes. Our measure shows that systemic risk became critical in the last of our four regimes, covering the most recent time per…
Trade, financial openness and dual banking economies: Evidence from GCC Region
2021
Abstract The recent wave of liberalization in Gulf Cooperation Council (GCC) countries has opened up a debate on the role of Islamic finance in the financial development of an economy. Using a comprehensive dataset of 43 Islamic and 49 conventional banks for the period 2007–2015, in this paper, we investigate the impact of trade and financial openness on financial development in the GCC region. We find that trade and financial openness have a positive effect on the profitability of both banking systems, while the interaction term of openness is negative for the profitability of Islamic banks. Moreover, trade and financial openness affect Islamic banks differently than conventional banks. No…
Two Approaches to Examine the Impact of Different Credit Default Indicators on Real Estate Loans
2019
Abstract Financing of real estates was a trigger of the largest financial crisis after the “Great Depression” from the early thirties in the last century. One of the main causes of this 2007 crisis was poor risk management in real estate financing. The aim of this paper is to examine the impact of different classes of indicators on credit default rates of real estate loans. Two research approaches should confirm a model that proves how strong the relationship is between different predictor variables such as interest rates, macroeconomic and individual indicators on the response variable of credit defaults. The first approach focuses on conducting descriptive and inferential experimental res…
Credit Risk Research: Review and Agenda
2018
This article provides a comprehensive review of scholarly research on credit risk measurement during the last 57 years applying bibliometric citation analysis and elaborates an agenda for future research. The bibliography is compiled using the Institute for Scientific Information (ISI) Web of Science (WOS) database and includes all articles with citations over the period 1960–2016. Specifically, the review is carried out using 1695 articles across 72 countries published in 442 journals by 2928 authors. The findings suggest that credit risk research is multifaceted and can be classified into six streams: (1) defaultable security pricing, (2) default intensity modeling, (3) comparative analys…
Loan loss provisions. A study by economic cycles
2017
Este trabajo estudia los determinantes de las dotaciones para provisiones del deterioro de los créditos en las entidades de crédito españolas desde 1983 al segundo trimestre de 2013. Resultan significativos, además de la morosidad, las provisiones genéricas, el margen de interés, la estacionalidad centrada en el cuarto trimestre y los periodos de crisis. Al ser un periodo extenso se estudian cómo actúan los determinantes en cada uno de los 4 ciclos económicos que se han dado. Se encuentran similitudes importantes en los periodos de crisis y en los periodos de crecimiento, junto a las singularidades de los propios ciclos. Las aportaciones de esta investigación son: i) el diferente comportami…
Resting-State Functional Connectome in Patients with Brain Tumors Before and After Surgical Resection
2020
Purpose: High-grade glioma surgery has evolved around the principal belief that a safe maximal tumor resection improves symptoms, quality of life, and survival. Mapping brain function has been recently improved by resting-state functional magnetic resonance imaging (rest-fMRI), a novel imaging technique that explores networks connectivity at “rest.” Methods: This prospective study analyzed 10 patients with high-grade glioma in whom rest-fMRI connectivity was assessed both in single-subject and in group analysis before and after surgery. Seed-based functional connectivity analysis was performed with CONN toolbox. Network identification focused on 8 major functional connectivity networks. A v…
Spontaneous brain activity and EEG microstates. A novel EEG/fMRI analysis approach to explore resting-state networks.
2009
The brain is active even in the absence of explicit input or output as demonstrated from electrophysiological as well as imaging studies. Using a combined approach we measured spontaneous fluctuations in the blood oxygen level dependent (BOLD) signal along with electroencephalography (EEG) in eleven healthy subjects during relaxed wakefulness (eyes closed). In contrast to other studies which used the EEG frequency information to guide the functional MRI (fMRI) analysis, we opted for transient EEG events, which identify and quantify brain electric microstates as time epochs with quasi-stable field topography. We then used this microstate information as regressors for the BOLD fluctuations. S…