unreliability of financial statements in iran has urged this country’s financial services industry management to manipulate practices by which they could gain reliable risk scores for borrowers. this research extracts the most influential qualitative factors that would impact the default of a business relationship borrower. solicitation of the factors is done through delphi methodology. the mea...

This paper mainly discusses the pricing of credit default swap (CDS) in the fractional dimension environment. We assume that the default intensity of a firm depends on the default states of counterparty firms and the term structure of interest rates, but the contagious impact of the counterparty firm is decreasing over time, until disappears. The interest rate risk is reflected by the fractiona...

Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the protection buyer, protection seller and the reference entity in a credit default swap are characterized by their correlated default intensities, where the default intensity of one party increases whe...

considering significant influence of financial crisis on the economy as a whole, policymakers spend remarkable resources on supervision and methods to ensure about sustainable financial system . a non-performing loan, or npl, is a loan that is in default or close to being in default. many loans become non-performing after being in default for 90 days, but this can depend on the contract termsan...

This paper presents a theoretical model of default risk in the context of the ``market'' model approach to interest rate dynamics. We propose a model for ®nite-interval interest rates (such as LIBOR) which explicitly takes into account the possibility of default through the in ̄uence of a point process with deterministic intensity. We relate the defaultable interest rate to the non-defaultable i...

Sovereign default in emerging countries is accompanied by interest rates spikes, deep recessions, and sharp real exchange rate devaluations. This paper develops a two sector small open economy model to study default risk and its interaction with output, consumption and real exchange rates. Default probabilities and interest rates depend on incentives for repayment. Default occurs in equilibrium...

According to the adverse consequences that are brought by financial distress for companies, economy and financial –monetary institutions, the use of methods that can predict the occurrence of financial failure and prevent the loss of wealth is of great importance. The major models of credit risk assessment are based on retrospective information and using the methods which use the updated market...

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...

We study heterogeneity in the responsiveness to choice architecture, focusing on the propensity of low-income versus high-income employees to opt out of the default contribution rate in 401(k) retirement savings plans. We develop a statistical model to distinguish between two underlying sources of heterogeneity: low-income employees may be more likely to remain at the default because it is simi...

This paper studies how default varies with aggregate income. We analyze a model in which optimal contracts enable risk sharing of privately observed, idiosyncratic income by allowing for default. Default provisions allow agents with low idiosyncratic income realizations to repay less and thus provide insurance. Default penalties ensure that only these agents default. We show that default can oc...