Relevant bibliographies by topics / Default (finance)

Academic literature on the topic 'Default (finance)'

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Published: 4 June 2021
Last updated: 1 August 2024

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Journal articles on the topic "Default (finance)"

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Phelps, Bruce D. "Defaults and Losses Given Default of Structured Finance Securities." CFA Digest 34, no. 4 (November 2004): 29–31. http://dx.doi.org/10.2469/dig.v34.n4.1561.

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Hu, Jian, and Richard Cantor. "Defaults and Losses Given Default of Structured Finance Securities." Journal of Fixed Income 13, no. 4 (March 31, 2004): 5–24. http://dx.doi.org/10.3905/jfi.2004.391024.

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Lefevre, Alexandra, and Agnes Tourin. "Incorporating Climate Risk into Credit Risk Modeling: An Application in Housing Finance." FinTech 2, no. 3 (September 7, 2023): 614–40. http://dx.doi.org/10.3390/fintech2030034.

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This paper examines the integration of climate risks into structural credit risk models. We focus on applications in housing finance and argue that mortgage defaults due to climate disasters have different statistical features than default due to household-specific reasons. We propose two models incorporating climate risk based on two separate default definitions. The first focuses on default as a response to a decrease in home value, and the second defines default as a consequence of missed mortgage payments. Using mortgage performance data during Hurricane Harvey, we conduct an empirical study whose results suggest that climate events are potentially another source of undiversifiable credit risk affecting homeowners’ ability to make contractual monthly payments. We also show that incorporating this climate-specific default process may capture additional uncertainty in default probability assessments.
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Ahmad, Sanep. "‘Banking Panics’ and Islamic Finance Principles: Lessons from the Current Crisis." ICR Journal 1, no. 2 (December 15, 2009): 358–61. http://dx.doi.org/10.52282/icr.v1i2.753.

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Clearly, the recent ‘bank panics’ and global economic crisis occurred mainly due to the result of debt defaults in subprime mortgages. Firstly, default by home buyers for their loans repayment to the banks and secondly default by banks for their bond repayment in the mortgage bond market. If debt defaults can be avoided in the first place, bank panics and economic crisis will most likely not happen. This means that the origin of the problem is related to bank defaults in the Sub-Prime Model which arises due to poor credit evaluation by banks. Therefore the solution for the current crises should be focused on ways of avoiding debt defaults by borrowers.
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TENG, LONG, MATTHIAS EHRHARDT, and MICHAEL GÜNTHER. "BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS." International Journal of Theoretical and Applied Finance 16, no. 07 (November 2013): 1350040. http://dx.doi.org/10.1142/s0219024913500404.

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We analyze the general risk-neutral valuation for counterparty risk embedded in a Credit Default Swap (CDS) contract by adapting the recent findings of Brigo and Capponi (2009) to allow for simultaneous defaults among the two parties and the underlying reference credit, while the counterparty risk is considered bilaterally. For the default intensities, we employ a Markov copula model allowing for the possibility of a simultaneous default. The dependence between defaults of three names in a CDS contract and the wrong-way risk will thus be represented by the possibility of simultaneous defaults. We investigate numerically the effect of considering simultaneous defaults on the counterparty risk valuation of a CDS contract. Finally, we study a CDS contract between Royal Dutch Shell and British Airways based on Lehman Brothers applying this methodology, illustrating the bilateral adjustments with the possibility of simultaneous defaults in concrete crisis situations.
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Klompjan, Richard, and Marc J. F. Wouters. "Default Risk in Project Finance." Journal of Structured Finance 8, no. 3 (October 31, 2002): 10–21. http://dx.doi.org/10.3905/jsf.2002.320283.

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Castagnolo, Fernando, and Gustavo Ferro. "Models for predicting default: towards efficient forecasts." Journal of Risk Finance 15, no. 1 (January 28, 2014): 52–70. http://dx.doi.org/10.1108/jrf-08-2013-0057.

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Purpose – The purpose of this paper is to assess and compare the forecast ability of existing credit risk models, answering three questions: Can these methods adequately predict default events? Are there dominant methods? Is it safer to rely on a mix of methodologies? Design/methodology/approach – The authors examine four existing models: O-score, Z-score, Campbell, and Merton distance to default model (MDDM). The authors compare their ability to forecast defaults using three techniques: intra-cohort analysis, power curves and discrete hazard rate models. Findings – The authors conclude that better predictions demand a mix of models containing accounting and market information. The authors found evidence of the O-score's outperformance relative to the other models. The MDDM alone in the sample is not a sufficient default predictor. But discrete hazard rate models suggest that combining both should enhance default prediction models. Research limitations/implications – The analysed methods alone cannot adequately predict defaults. The authors found no dominant methods. Instead, it would be advisable to rely on a mix of methodologies, which use complementary information. Practical implications – Better forecasts demand a mix of models containing both accounting and market information. Originality/value – The findings suggest that more precise default prediction models can be built by combining information from different sources in reduced-form models and combining default prediction models that can analyze said information.
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AMERIO, EMANUELE, PIETRO MULIERE, and PIERCESARE SECCHI. "REINFORCED URN PROCESSES FOR MODELING CREDIT DEFAULT DISTRIBUTIONS." International Journal of Theoretical and Applied Finance 07, no. 04 (June 2004): 407–23. http://dx.doi.org/10.1142/s0219024904002505.

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Based on a Reinforced Urn Process introduced by Muliere et al. [11], we propose a stochastic model for the probability of credit default for debt issuers belonging to the same Moody's rated class. The model predicts how a default probability belonging to a given term structure evolves in time as information about credit defaults of debt issuers with the same Moody's rating becomes available. Connections between implied credit default probabilities and credit spreads will be exploited.
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Huang, MeiChi. "Markov-switching impacts of housing-market expectations on credit markets." Managerial Finance 46, no. 3 (December 3, 2019): 381–400. http://dx.doi.org/10.1108/mf-08-2019-0391.

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Purpose The purpose of this paper is to investigate linkages between households’ expectations and credit markets in the housing crisis. Design/methodology/approach In the Markov-switching framework, the sample period is classified into high- and low-impact regimes based on impacts of expectations on default rates, and the good-time-to-buy (GTTB) index is chosen to proxy for expectations toward the housing-market dynamics. Findings The results suggest that in high-impact regimes, optimistic expectations are substantially associated with lower defaults for all default rates analyzed, and second mortgage defaults are more sensitive to households’ expectations than first mortgage defaults. In low-impact regimes, the GTTB index significantly influences composite and first-mortgage default rates, but its impact is insignificant for second mortgage and bankcard default rates. Originality/value The results provide compelling evidence that households’ expectations play more important roles in credit markets in turmoil periods.
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Haggag, Kareem, and Giovanni Paci. "Default Tips." American Economic Journal: Applied Economics 6, no. 3 (July 1, 2014): 1–19. http://dx.doi.org/10.1257/app.6.3.1.

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We examine the role of defaults in high-frequency, small-scale choices using unique data on over 13 million New York City taxi rides. Using a regression discontinuity design, we show that default tip suggestions have a large impact on tip amounts. These results are supported by a secondary analysis that uses the quasi-random assignment of customers to different cars to examine default effects on a wider range of fares. Finally, we highlight a potential cost of setting defaults too high, as a higher proportion of customers opt to leave no credit card tip when presented with the higher suggested amounts. (JEL D12, L92)
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Dissertations / Theses on the topic "Default (finance)"

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Santos, Rafael Chaves. "Essays on international finance, default and inflation." reponame:Repositório Institucional do FGV, 2006. http://hdl.handle.net/10438/1049.

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Made available in DSpace on 2008-05-13T15:52:39Z (GMT). No. of bitstreams: 1 2282.pdf: 690901 bytes, checksum: f45f4bb28439e9a49c38f0a9702c71e4 (MD5) Previous issue date: 2006-12-21
This thesis is composed by three papers, each one of them corresponding to one chapter. The first and the second chapters are essays on international finance appraising default and inflation as equilibrium outcomes for crisis time, in particular, for confidence crisis time that leads to speculative attack on the external public debt issued by emerging economies. With this background in mind, welfare effects from adopting common currency (chapter 1) and welfare effects from increasing the degree of economic openness (chapter 2) are analyzed in numerical exercises, based on DSGE framework. Cross-countries results obtained are then presented to be compared with empirical evidence and to help on understanding past policy decisions. Some policy prescriptions are also suggested. In the third chapter we look to the inflation targeting regime applied to emerging economies that are subject to adverse shocks, like the external debt crisis presented in the previous chapters. Based on a more theoretical approach, we appraise how pre commitment framework should be used to coordinate expectations when policymaker announcement has no full credibility and self fulfilling inflation may be possible.
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Van, Jaarsveldt Cole. "Modelling probabilities of corporate default." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31331.

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This dissertation follows, scrupulously, the probability of default model used by the National University of Singapore Risk Management Institute (NUS-RMI). Any deviations or omissions are noted with reasons related to the scope of this study on modelling probabilities of corporate default of South African firms. Using our model, we simulate defaults and subsequently, infer parameters using classical statistical frequentist likelihood estimation and one-world-view pseudo-likelihood estimation. We improve the initial estimates from our pseudo-likelihood estimation by using Sequential Monte Carlo techniques and pseudo-Bayesian inference. With these techniques, we significantly improve upon our original parameter estimates. The increase in accuracy is most significant when using few samples which mimics real world data availability
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Zhang, Jie. "Modelling examples of loss given default and probability of default." Thesis, University of Southampton, 2011. https://eprints.soton.ac.uk/172581/.

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The Basel II accord regulates risk and capital management requirements to ensure that a bank holds enough capital proportional to the exposed risk of its lending practices. Under the advanced internal ratings based (IRB) approach, Basel II allows banks to develop their own empirical models based on historical data for probability of default (PD), loss given default (LGD) and exposure at default (EAD). This thesis looks at some examples of modelling LGD and PD. One part of this thesis investigates modelling LGD for unsecured personal loans. LGD is estimated through estimating Recovery Rate (RR, RR=1-LGD). Firstly, the research examines whether it is better to estimate RR or Recovery Amounts. Linear regression and survival analysis models are built and compared when modelling RR and Recovery Amount, so as to predict LGD. Secondly, mixture distribution models are developed based on linear regression and survival analysis approaches. A comparison between single distribution models and mixture distribution models is made and their advantages and disadvantages are discussed. Thirdly, it is examined whether short-term recovery information is helpful in modelling final RR. It is found that early payment patterns and short-term RR after default are very significant variables in final RR prediction models. Thus, two-stage models are built. In the stage-one model short-term Recoveries are predicted, and then the predicted short-term Recoveries are used in the final RR prediction models. Fourthly, macroeconomic variables are added in both the short-term Recoveries models and final RR models, and the influences of macroeconomic environment on estimating RR are looked at. The other part of this thesis looks at PD modelling. One area where there is little literature of PD modelling is in invoice discounting, where a bank lends a company a proportion of the amount it has invoiced its customers in exchange for receiving the cash flow from these invoices. Default here means that the invoicing company defaults, at which point the bank cannot collect on the invoices. Like other small firms, the economic conditions affect the default risk of invoicing companies. The aim of this research is to develop estimates of default that incorporate the details of the firm, the current and past position concerning the invoices, and also economic variables.
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Guo, Biao. "Essays on credit default swaps." Thesis, University of Nottingham, 2013. http://eprints.nottingham.ac.uk/13101/.

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This thesis is structured to research on a financial derivative asset known as a credit default swap (CDS). A CDS is a contract in which the buyer of protection makes a series of payments (often referred to as CDS spreads) to the protection seller and, in exchange, receives a payoff if a default event occurs. A default event can be defined in several ways, including failure to pay, restructuring or rescheduling of debt, credit event repudiation, moratorium and acceleration. The main motivation of my PhD thesis is to investigate the determinants of the changes of CDS spreads and to model the evolution of spreads. Two widely traded types are corporate and sovereign CDS contracts, the first has as its underlying asset a corporate bond and, hence, hedges against the default risk of a company; the second type hedges against the default risk of a sovereign country. The two contract types have different risk profiles; for example, it is known that liquidity premium with different maturity varies significantly for a corporate CDS but less so for a sovereign CDS because, in contrast with the corporate markets where a majority of the trading volume is concentrated on the 5-year CDS, the sovereign market has a more uniform trading volume across maturities. In light of the difference, this thesis is divided into four parts. Part A introduces the motivation and research questions of this thesis, followed by literature review on debt valuation, with emphasis on default and liquidity spreads modelling. Part B aims at the role liquidity risk plays in explaining the changes in corporate CDS spreads. Part C models sovereign CDS spreads with macro and latent factors in a no-arbitrage framework. Part D concludes this thesis with a list of limitations and further research direction.
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Wang, Qian Sarah, and 王倩. "The real effects of credit default swaps." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48329575.

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In recent years, concerns have been raised about the real effects of credit default swaps (CDS) on the economy. Different from the hitherto accepted view that derivatives are redundant, CDS may affect the credit risk and strategic liquidity decision of the reference entities. In this dissertation, I use a unique, comprehensive sample covering 901 CDS introductions on North American corporate issuers, between June 1997 and April 2009, to address these questions. In chapter 2, I investigate whether CDS trading increases the credit risk of the reference entities. I find that the probability of both a credit rating downgrade and bankruptcy increase after the inception of CDS trading. This finding is robust to controlling for the endogeneity of CDS trading in difference-in-difference analysis, propensity score matching, and treatment regressions with instruments. In further corroboration of our basic results, I explore the mechanism behind the increased credit risk after CDS trading, and show that firms with relatively larger amounts of CDS contracts outstanding, and those with more “no restructuring” contracts, are more adversely affected by CDS trading. In chapter 3, I further investigate the effect of CDS on corporate cash holding policies. U.S. firms are holding more cash than at any time in nearly half a century. I find that CDS trading affects corporate cash holdings. Corporate cash holdings increase after the inception of CDS trading. The impact is significant after controlling for the endogeneity of CDS trading. Moreover, cash-to-assets ratios for firms with larger CDS contracts outstanding, and those with less access to financial market are more affected by CDS trading. The impact of CDS is beyond the direct effect of line of credit on cash holdings.
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Economics and Finance
Doctoral
Doctor of Philosophy
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Levy, Ariel. "Essays on credit default swaps." Diss., Restricted to subscribing institutions, 2009. http://proquest.umi.com/pqdweb?did=1872060451&sid=3&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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Shan, Chenyu, and 陜晨煜. "Credit default swaps (CDS) and loan financing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hub.hku.hk/bib/B5089965X.

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As evidenced by its market size, credit default swaps (CDSs) has been the cornerstone product of the credit derivatives market. The central question that I attempt to answer in this thesis is: why and how does the introduction of CDS market affect bank loan financing? Theoretical works predict some potential effects from CDS market, but empirical evidence is still rare. This dissertation empirically examines the effects of CDS trading on bank loan financing. In chapter one, I find that banks increase average loan amount and charge higher loan spread after the onset of CDS trading on the borrower’s debt. Also, credit quality of the borrower deteriorates for those with active CDS trading. These findings suggest that banks tend to take on more credit risk by issuing larger loans and by lending to riskier firms that could not obtain bank loan in the absence of CDS. The risk-taking by banks ultimately transmitted to higher bank-level risk profile. The second chapter is the first empirical study of CDS’ role in determining loan syndicate structure. I find larger lead bank share when CDS is in place. Moreover, participation of credit derivatives trading by lead banks is much larger than by the participants, suggesting that lead banks have better chance to use CDS to their own advantage. Further analysis shows that lead banks retain an even larger share when it is more experienced dealing with the borrower and when information asymmetry between the lender and the borrower is less severe. Different from conventional wisdom about moral hazard in syndicated lending, our findings suggest that the lead bank likely takes on more credit risk voluntarily due to its increased financing capacity. The third chapter focuses on the effects of CDS on debt contracting. Given that current evidence does not show CDS reduces average cost of debt, we conjecture that the diversification benefit is reflected by relaxation of restrictions imposed on borrowers. Consistent with our hypothesis, we find the marginal effect from CDS trading on covenant strictness measure is 16.8% on average. One standard deviation increase in the number of outstanding CDS contracts loosens net worth covenants by approximately 8.9%. Using various endogeneity controls, we are able to show the loosening of covenants is due to the reduced level of debtholder-shareholder conflict. Furthermore, the loosening effect is stronger when the expected renegotiation cost is larger, consistent with the view that CDS mitigates contracting friction and improves contracting efficiency. Overall, this dissertation attempts to provide first empirical evidence on how CDS affects bank loan financing. We focus the analysis on loan issuance, syndicate structure and contracting. The findings suggest that banks lend to riskier borrowers in the presence of CDS. On a positive note, banks tend to impose less restrictive covenants on its borrower, which may mitigate frictions in lending market in terms of ex ante bargaining and ex post renegotiation cost.
published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
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Scott, Robert H. Sturgeon James I. "The determinants of default on credit card debt." Diss., UMK access, 2005.

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Thesis (Ph. D.)--Dept. of Economics. University of Missouri--Kansas City, 2005.
"A dissertation in economics and social science consortium." Advisor: James I. Sturgeon. Typescript. Vita. Title from "catalog record" of the print edition Description based on contents viewed June 26, 2006. Includes bibliographical references (leaves 149-161 ). Online version of the print edition.
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Kooverjee, Jateen. "Estimating credit default swap spreads from equity data." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/8525.

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Includes bibliographical references.
Corporate bonds are an attractive form of investment as they provide higher returns than government bonds. This increase in returns is usually associated with an increase in risk. These risks include liquidity, market and credit risk. This dissertation will focus on the modelling of a corporate bond's credit risk by considering how to estimate the credit default swap (CDS) spread of a firm's bond. A structural credit model will be used to do this. In this dissertation, we implement an extension of Merton's model by Hull, Nelken and White (2004), which is based on the use of the implied volatilities of options on the company's stock to estimate model parameters. Such an approach provides an insight into the relationship between credit markets and options markets.
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Paseka, Alexander I. "Debt valuation with endogenous default and Chapter 11 reorganization." Diss., The University of Arizona, 2003. http://hdl.handle.net/10150/280321.

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We examine a continuous-time structural model of debt valuation with the possibility of default and Chapter 11 bankruptcy. In doing so, we derive Chapter 11 duration and allocations to the debtor and bondholders in Chapter 1 I as the outcomes of a bargaining game between the debtor and the bondholders. The absolute priority rule (APR) violations arising in equilibrium are then embedded into closed-form solutions for the values of equity, finite-maturity debt, and credit spreads. It has been recently documented that existing credit risk models explain only a fraction of the observed yield spreads when confronted with the data on default rate and recovery rate at default (e.g., Collin-Dufresne et al. (2001) and Elton et al. (2001)). Taking the exclusivity period as an approximation to a legal environment of the bargaining process, we model Chapter 11 as the debtor's ultimatum offers to the bondholders and calibrate the model using an approach similar to that of Huang and Huang (2002). We obtain credit spreads that are twice to three times as large as those produced by the model in Leland and Toft (1996). The reason why this result holds in our model is that when the debtor obtains a non-zero allocation in bankruptcy, her option to default is worth more and exercised sooner than in Leland and Toft's model. Therefore, the debt value is smaller, and consequently, credit spreads are higher. Calibrated credit spreads are high for firms expected to be more solvent at default and those with large absolute priority rule violations. Finally, our model predicts a significant cross-sectional variation in Chapter 11 duration. Indeed, such heterogeneity is seen in actual bankruptcy experiences. We discuss several new empirical implications of the model with regards to the expected time in bankruptcy as a function of different firm characteristics. The model predicts that firms with a higher fraction of intangible assets, lower pre-bankruptcy volatility of asset value, and lower average maturity of debt in their capital structure spend less time in Chapter 11.
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Books on the topic "Default (finance)"

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Independent Research & Information Service., ed. Default properties. Los Angeles (2221 Barry Ave., Los Angeles 90064): Independent Research & Information Service, 1990.

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Independent Research & Information Service., ed. Default properties. Los Angeles: Independent Research & Information Service, 1991.

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Independent Research & Information Service., ed. Default properties. Los Angeles: Independent Research & Information Service, 1991.

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Association, Federal National Mortgage, ed. Controlling default. Washington, DC: Fannie Mae, 1989.

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Association, Federal National Mortgage, ed. Controlling default. Washington, DC: FannieMae, 1989.

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New York (State). Legislature. Senate. Standing Committee on Banks. Argentine bond default: Public hearing. New York: s.n., 2010.

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Wolny, Philip. How debt and default affect you. New York: Rosen Pub., 2013.

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Fraga, Rosendo. La Argentina en default. Buenos Aires: Editorial NuevaMayoría.com, 2002.

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Federal National Mortgage Association. Consumer Education Group., ed. Foreclosure prevention: Controlling default. 2nd ed. Washington, DC (3900 Wisconsin Ave., NW, Washington 20016-2899): FannieMae, Consumer Education Group, 1993.

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Waller, Neil G. Residential mortgage default: A clarifying analysis. Washington, D.C: Office of Policy and Economic Research, Federal Home Loan Bank Board, 1988.

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Book chapters on the topic "Default (finance)"

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Kartal, Dilşah Buşra. "Default." In The Palgrave Encyclopedia of Islamic Finance and Economics, 1–5. Cham: Springer International Publishing, 2023. http://dx.doi.org/10.1007/978-3-030-93703-4_248-1.

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Jeanblanc, Monique, and Marek Rutkowski. "Default Risk and Hazard Process." In Springer Finance, 281–312. Berlin, Heidelberg: Springer Berlin Heidelberg, 2002. http://dx.doi.org/10.1007/978-3-662-12429-1_14.

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Akkaya, Nese, Alexandre Kurth, and Armin Wagner. "Incorporating Default Correlations and Severity Variations." In Springer Finance, 129–52. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-662-06427-6_9.

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Hurd, T. R. "Zero Recovery Default Cascades." In SpringerBriefs in Quantitative Finance, 95–124. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-33930-6_5.

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El Karoui, N., M. Jeanblanc, Y. Jiao, and B. Zargari. "Conditional Default Probability and Density." In Inspired by Finance, 201–19. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-02069-3_9.

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Zweig, Derek. "Probability of Default." In A Technical Guide to Mathematical Finance, 165–71. Boca Raton: Chapman and Hall/CRC, 2024. http://dx.doi.org/10.1201/9781032687650-9.

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Altieri, Agata, and Tiziano Vargiolu. "Optimal default boundary in a discrete time setting." In Mathematical Finance, 49–58. Basel: Birkhäuser Basel, 2001. http://dx.doi.org/10.1007/978-3-0348-8291-0_4.

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Kluge, Daniel, and Frank Lehrbass. "Default Probabilities in Structured Commodity Finance." In Credit Risk, 139–47. Heidelberg: Physica-Verlag HD, 2003. http://dx.doi.org/10.1007/978-3-642-59365-9_7.

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Peng, C. N., and J. L. Lin. "Using Public Information to Predict Corporate Default Risk." In Applied Quantitative Finance, 129–51. Berlin, Heidelberg: Springer Berlin Heidelberg, 2017. http://dx.doi.org/10.1007/978-3-662-54486-0_8.

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Imerman, Michael B. "Structural Credit Risk Models: Endogenous Versus Exogenous Default." In Encyclopedia of Finance, 1293–316. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-91231-4_56.

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Conference papers on the topic "Default (finance)"

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Atrissi, Nizar, and Maya Akoum. "CREDIT DEFAULT SWAPS AND THE ARAB UPRISING." In Annual International Conferences on Accounting and Finance. Global Science & Technology Forum (GSTF), 2012. http://dx.doi.org/10.5176/2251-1997_af98.

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Alexopoulos, Georgios. "THE ECB’S FINANCIAL STABILITY IMPACT ON CREDIT DEFAULT SWAPS MARKET." In 16th Economics & Finance Conference, Prague. International Institute of Social and Economic Sciences, 2022. http://dx.doi.org/10.20472/efc.2022.016.001.

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Xu, Haolun. "DATA MINING TECHNIQUES TO PREDICT DEFAULT IN LENDING CLUB." In International Conference on Economics, Finance and Statistics. Volkson Press, 2018. http://dx.doi.org/10.26480/icefs.01.2018.66.68.

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Amini, Hamed, Zhongyuan Cao, and Agnes Sulem. "The Default Cascade Process in Stochastic Financial Networks." In ICAIF '23: 4th ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2023. http://dx.doi.org/10.1145/3604237.3626845.

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Penikas, Henry. "Identifying Default Correlation via a Mix of Correlated Bernoulli Distributions." In 2021 International Conference on Sustainable Islamic Business and Finance. IEEE, 2021. http://dx.doi.org/10.1109/ieeeconf53626.2021.9686334.

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Shear, Falik, Hilal Anwar Butt, and Imtiaz Badshah. "AN ANALYSIS OF THE RELATIONSHIP BETWEEN THE SOVEREIGN CREDIT DEFAULT SWAPS AND THE STOCK MARKET OF PAKISTAN THROUGH HANDLING OUTLIERS." In 8th Economics & Finance Conference, London. International Institute of Social and Economic Sciences, 2017. http://dx.doi.org/10.20472/efc.2017.008.010.

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Hocman, Frantisek. "PROBABILITY OF UNPROCLAIMED DEFAULT AND ITS INGERENTION IN SOVEREIGN COUNTRY RISK." In SGEM 2014 Scientific SubConference on POLITICAL SCIENCES, LAW, FINANCE, ECONOMICS AND TOURISM. Stef92 Technology, 2014. http://dx.doi.org/10.5593/sgemsocial2014/b22/s6.075.

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Chitty, Rajiv, Keerthi Gunawikrama, and Harinda Fernando. "Development of Loan Default Prediction Model for Finance Companies in Sri Lanka – A Case Study." In 2022 International Conference on Data Science and Its Applications (ICoDSA). IEEE, 2022. http://dx.doi.org/10.1109/icodsa55874.2022.9862858.

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Yang, Yue. "Discussion on the Factors Affecting College Students’ Campus Loan Default from the Perspective of Behavioral Finance." In Proceedings of the 1st International Symposium on Economic Development and Management Innovation (EDMI 2019). Paris, France: Atlantis Press, 2019. http://dx.doi.org/10.2991/edmi-19.2019.20.

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Ikhsan, Arfan, Darwin Lie, Hendra Harmain, Andy Irawan, and Jubi Jubi. "The Affect Good Corporate Governance, Debt Default, Auditor Client Tenure, Audit Delay On Audit Going Concernopinion." In Proceedings of the 1st International Conference on Finance Economics and Business, ICOFEB 2018, 12-13 November 2018, Lhokseumawe, Aceh, Indonesia. EAI, 2019. http://dx.doi.org/10.4108/eai.12-11-2018.2288835.

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Reports on the topic "Default (finance)"

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Paulín-Hutmacher, Agustín, Raúl Abreu-Lastra, Marco A. López-Silva, and Alberto Saracho-Martínez. Housing Finance in Mexico: Current State and Future Sustainability. Inter-American Development Bank, November 2011. http://dx.doi.org/10.18235/0008970.

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In 2001, Mexico introduced a comprehensive federal housing policy package. The results have been quantitatively impressive; however, there are qualitative concerns. It is also uncertain whether current subsidy programs have negative financial implications for participating mortgage issuers, as poorer applicants with lower job stability are injected into the pool of borrowers. This paper addresses that question by analyzing a large database provided by INFONAVIT, Mexico¿s principal mortgage issuer, which contains information on borrowers¿ repayment behavior. It is found that borrowers who received subsidies do not show higher default rates than borrowers who received no financial assistance. Borrowers receiving subsidies actually take longer to show their first default than borrowers not receiving subsidies. Therefore, current subsidy programs do not seem to have negative financial implications for participating mortgage institutions.
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Agarwala, Matthew, Matt Burke, Jennifer Doherty-Bigara, Patrycja Klusak, and Kamiar Mohaddes. Climate Change and Sovereign Risk: A Regional Analysis for the Caribbean. Inter-American Development Bank, April 2024. http://dx.doi.org/10.18235/0012885.

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Climate change is an existential threat to the world economy, with complex, evolving and nonlinear dynamics that remain a source of great uncertainty. There is a bourgeoning literature on the economic impact of climate change, but research on how climate change affects sovereign risks is limited. This paper provides forward-looking regional analysis of the effects of climate change on sovereign creditworthiness, probability of default and the cost of borrowing for the Caribbean economies. Our results indicate that there is substantial variation in the sensitivity of ratings to climate change across the region which is due to the non-linear nature of ratings. Our findings improve the identification and management of sovereign climate risk and provides a forward-looking assessment of how climate change could affect the cost of accessing international finance. As such, it leads to a suite of policy options for countries in the region.
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Frisancho, Verónica. Spillover Effects of Financial Education: The Impact of School-Based Programs on Parents. Inter-American Development Bank, February 2023. http://dx.doi.org/10.18235/0004736.

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This paper studies whether school-based financial education has spillover effects from children to parents. Leveraging data from a large-scale experiment with public high schools in Peru and credit bureau records on the parents of the youth targeted, this study measures the impact of providing personal finance lessons during secondary school on parental financial behavior. Financial education lessons in the school yield limited average spillover effects, but lead to sizable effects on parental financial behavior within disadvantaged households. Among parents from poorer households, the treatment reduces default probability by 26%, increases credit scores by 5%, and increases current debt levels by 40%. The treatment has stronger effects among the parents of daughters, who experience a significant 6.7% increase in their credit score and a 28% reduction in their loan portfolio in arrears. Among the parents of boys, most of the spillover effects are muted.
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Hausmann, Ricardo, and Michael Gavin. Preventing Crisis and Contagion: Fiscal and Financial Dimensions. Inter-American Development Bank, March 1999. http://dx.doi.org/10.18235/0010764.

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Recent economic developments highlight Latin America's vulnerability to economic and financial turmoil that is triggered by events in distant corners of the globe. The Asian financial crisis that began in 1997 and the more recent Russian crisis have left the region profoundly shaken, and living in fear of a full-scale collapse. This "contagion" has occurred through a number of channels. The collapse of Asian demand has contributed to the recent slide in world commodity prices, cutting into the commodity-dependent region's export income and undermining the public finances in a number of countries. The Russian devaluation has raised the spectre of sovereign default, making investors around the globe more wary of increasing their cross-border exposure. The financial crises in Asia and Russia have also severely undermined balance sheets of emerging-market investors, reducing their capacity to invest in the region, and forcing them into fire sales of their Latin American investments. In this paper we lay out the fiscal and financial policies that can help protect economies from the kind of global financial turbulence the world is now experiencing. Exchange rate policies are discussed in a separate paper.
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