Term Default, Balloon Risk, and Credit Risk in Commercial Mortgages
نویسندگان
چکیده
منابع مشابه
Performance of Credit Risk Management in Indian Commercial Banks
For banks and financial institutions, credit risk had been an essential factor that needed to be managed well. Credit risk was the possibility that a borrower of counter party would fail to meet its obligations in accordance with agreed terms. Credit risk; therefore arise from the bank’s dealings with or lending to corporate, individuals, and other banks or financial institutions. Credit risk...
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The main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. We examine the dependence between PD and RR by theoretical approach. For the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. These methods allow to determinate...
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It has long been recognised that banking is a procyclical business. That is, banks tend to contract their lending activity when there are business downturns because of their concern about loan quality and repayment probability. This exacerbates the economic downturn as credit constrained businesses and individuals cut back on their real investment activity. In contrast, banks expand their lendi...
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Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be used as an ...
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Credit default swaps (CDSs) are thought to ease borrowing by protecting lenders against default. This paper develops a model of the demand for CDS when borrowers choose the riskiness of investment and verification is imperfect. The model shows that CDSs may lead to risk-shifting, increasing the probability of default. Our model provides new insights on the role of CDS during the recent financia...
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ژورنال
عنوان ژورنال: The Journal of Fixed Income
سال: 2003
ISSN: 1059-8596,2168-8648
DOI: 10.3905/jfi.2003.319359