Search results for "default"
showing 10 items of 105 documents
Can Signaling Theory Help Agency and Resource Scarcity Theories Explain Franchisee Failure? Predicting SBA-Backed Loan Defaults
2010
This study examines the use of analytic techniques to develop a model that predicts the potential default of Small Business Administration (SBA) backed loans issued to American franchisees. Data collected by World Franchising (WF) in their 2008 survey and by SBA from 2000-2008, covering 271 diverse US franchise chains, on the reported failure rates and charge off percentages of SBA backed loans was used to explore associations between franchisor characteristics and franchisee loan performances. The predictive capability of the derived model was assessed using a data mining technique in which the original data set is split into two different subsets: one for estimation and one for validation…
A study of mobility and reachability in ad hoc networks using stochastic activity networks
2006
The integration of ad-hoc networks into real environments is now becoming more and more common and supervision and control systems are no exception. The efficiency of the communication in these networks as well as various other factors, are governed by the working area, the number of nodes, mobility, transmission power, etc. In this paper, the mobility and reachability of mobile nodes appearing spontaneously in a large installation such as can be found in a water purification system are studied. These nodes form an ad-hoc network and communicate between each other in order to finally reach a fixed node which can offer them information from the rest of the system in real time or act as a gat…
DEMO: Unconventional WiFi-ZigBee communications without gateways
2014
Nowadays, the overcrowding of ISM bands is becoming an evident limitation for the performance and widespread usage of 802.11 and 802.15.4 technologies. In this demo, we prove that it is possible to opportunistically exploit the inter-technology interference between 802.11 and 802.15.4 to build an unconventional low-rate communication channel and signalling protocol, devised to improve the performance of each contending technology. Differently from previous solutions, inter-technology communications do not require the deployment of a gateway with two network interfaces, but can be activated (when needed) directly between two heterogeneous nodes, e.g. a WiFi node and a ZigBee node. This capab…
Probabilistic entailment in the setting of coherence: The role of quasi conjunction and inclusion relation
2013
In this paper, by adopting a coherence-based probabilistic approach to default reasoning, we focus the study on the logical operation of quasi conjunction and the Goodman-Nguyen inclusion relation for conditional events. We recall that quasi conjunction is a basic notion for defining consistency of conditional knowledge bases. By deepening some results given in a previous paper we show that, given any finite family of conditional events F and any nonempty subset S of F, the family F p-entails the quasi conjunction C(S); then, given any conditional event E|H, we analyze the equivalence between p-entailment of E|H from F and p-entailment of E|H from C(S), where S is some nonempty subset of F.…
Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO)
2014
A database driven multi-agent model has been developed with automated access to US bank level FDIC Call Reports that yield data on balance sheet and off balance sheet activity, respectively, in Residential Mortgage Backed Securities (RMBS) and Credit Default Swaps (CDS). The simultaneous accumulation of RMBS assets on US banks’ balance sheets and also large counterparty exposures from CDS positions characterized the $2 trillion Collateralized Debt Obligation (CDO) market. The latter imploded at the end of 2007 with large scale systemic risk consequences. Based on US FDIC bank data, that could have been available to the regulator at the time, the authors investigate how a CDS negative carry …
The impact of systemic and illiquidity risk on financing with risky collateral
2015
Abstract Repurchase agreements (repos) are one of the most important sources of funding liquidity for many financial investors and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given to the borrower is the market value of the collateral, reduced by an amount termed as haircut (or margin). The haircut protects the capital lender from loss of value of the collateral contingent on the borrower׳s default. For this reason, the haircut is typically calculated with a simple Value at Risk estimation of the collateral for the purpose of preventing the risk associated to volatility. However, other risk factors should be included in th…
Monitoring and Market Power in Loan Markets
2000
Whether or not banks are engaged in ex ante monitoring of customers may have important consequences for the whole economy. We approach this question via a model in which banks can invest in either information acquisition or market power (product differentiation). The two alternatives generate different predictions, which are tested using panel data on Finnish local banks. We find evidence that banks’ investments in branch networks and human capital (personnel) contribute to information acquisition but not to market power. We also find that managing customers’ money transactions enhances banks ability to control their lending risks.
Finansinis stabilumas ir koncentracija: besivystančios Europos tyrimas
2016
Šiame straipsnyje tiriamas bankų sektoriaus koncentracijos poveikis finansiniam stabilumui naudojant 134 komercinių bankų iš 17 Vidurio ir Rytų Europos šalių 2007-2012 m. laikotarpio duomenis. Empirinio tyrimo rezultatai pabrėžia vadinamąją „koncentracijos trapumo“ hipotezę, parodydami, kad aukštas koncentracijos lygis bankų sektoriuje yra siejamas su didesne bankų, ypač mažesniųjų, įsipareigojimų neįvykdymo tikimybe. Taip pat parodoma, kad neigiamas koncentracijos poveikis gali būti sumažintas taikant griežtą priežiūros sistemą. Pirmiausia - griežtas oficialus bankų sektoriaus priežiūros įgaliojimas. Antra - skirtingi priimančiosios šalies ir buveinės šalies priežiūros įgaliojimai gali žym…
‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk
2012
A small segment of credit default swaps (CDS) on residential mortgage backed securities (RMBS) stand implicated in the 2007 financial crisis. The dominance of a few big players in the chains of insurance and reinsurance for CDS credit risk mitigation for banks' assets has led to the idea of too interconnected to fail (TITF) resulting, as in the case of AIG, of a tax payer bailout. We provide an empirical reconstruction of the US CDS network based on the FDIC Call Reports for off balance sheet bank data for the 4th quarter in 2007 and 2008. The propagation of financial contagion in networks with dense clustering which reflects high concentration or localization of exposures between few parti…
Future directions in international financial integration research - A crowdsourced perspective
2018
This paper is the result of a crowdsourced effort to surface perspectives on the present and future direction of international finance. The authors are researchers in financial economics who attended the INFINITI 2017 conference in the University of Valencia in June 2017 and who participated in the crowdsourcing via the Overleaf platform. This paper highlights the actual state of scientific knowledge in a multitude of fields in finance and proposes different directions for future research.