منابع مشابه
Swap Rates and Credit Quality We Are Grateful for Discussions with Ken Singleton and Comments From
The impact of credit quality on swap rates is determined under alternative netting assumptions. With counterparties of di erent default risk, swap valuation is non-linear in the underlying promised exchange of cash ows. The impact of credit risk asymmetry and of netting is presented through both theory and numerical examples, which include interest rate and currency swaps. Please address all co...
متن کاملComments Welcome Credit Derivatives in Banking: Useful Tools for Loan Risk Management?
We model the e ects on banks of the introduction of a market for credit derivatives; in particular, credit default swaps. A bank can use such swaps to temporarily transfer credit risks of their loans to others, reducing the likelihood that defaulting loans trigger the bank's nancial distress. Because credit derivatives are more exible at transferring risks than are other, more established tools...
متن کاملUsing DEA for Classification in Credit Scoring
Credit scoring is a kind of binary classification problem that contains important information for manager to make a decision in particularly in banking authorities. Obtained scores provide a practical credit decision for a loan officer to classify clients to reject or accept for payment loan. For this sake, in this paper a data envelopment analysis- discriminant analysis (DEA-DA) approach is us...
متن کاملComments on “Credit Frictions and Optimal Monetary Policy”, by Cúrdia and Woodford∗
Let me first briefly place it in the broader context of current macroeconomic research. First-generation new-Keynesian models, of the type analyzed by Woodford in his well-known book (2003), were based on a few central imperfections, namely monopolistic competition to allow for non-trivial market power and price setting, and nominal rigidities; their purpose was to show how shifts in demand cou...
متن کاملFair Value Accounting for Liabilities and Own Credit Risk
Changes in credit risk may arise when either the value or the risk of corporate assets changes. Changes in the equity value associated with the changes in the asset value and changes in asset risk can be characterized into potentially countervailing direct and indirect effects. The indirect effect of risk on equity value is a function of factors that affect the debt value of including leverage,...
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ژورنال
عنوان ژورنال: Teaching of Psychology
سال: 2007
ISSN: 0098-6283,1532-8023
DOI: 10.1177/009862830703400207