Theory suggests that long/short equity hedge funds’ returns come from long/short as well as directional exposure to the stock market and the fees related to stock loans. Empirical analysis finds persistent net exposures to the spread between small versus large cap stocks in addition to the overall market. Together, these factors account for over 80% of return variation. Additional factors are p...

We analyze installment borrowing decisions from two random samples of customers of a credit card company before and after the 2003 credit crisis in Korea. In an attempt to increase its market share, the company more or less randomly offers its customers free installments, i.e. opportunities to pay off card purchases in up to twelve monthly installments at a zero interest rate. We exploit these ...

This paper presents a framework for estimating losses for residential mortgage loans. At the core is a transitions-based probability of default model which yields directly observable cash-flows at the loan level. The estimated model includes coefficients on unemployment, Loan to Value ratio and interest rates, all of which allow a macroeconomic scenario to be fed through the model and impact lo...

Tujuan riset adalah untuk melihat apakah capital adequacy ratio, loan to asset net interest margin, inflasi, dan BI rate berpengaruh pada nilai non preforming loan. Data yang diambil berasal dari data sekunder dalam kurun waktu 3 tahun. Metode purposive sampling sebagai teknik pengambilan sampel dengan perusahaan subsektor perbankan masuk kategori KBMI III BEI. Dari seluruh rangkaian penelitian...