Default options have an enormous impact on household “choices.” Such effects are documented in the literature on 401(k) plans (see Madrian and Dennis Shea, 2001; Choi et al., 2002, 2003b). Defaults affect 401(k) participation, savings rates, rollovers, and asset allocation. For example, when employees are automatically enrolled in their 401(k) plan, only a tiny fraction opt out, producing nearl...

BACKGROUND Tuberculosis (TB) is a major health problem in the universe and India is no longer exempted from this crisis .The emergence of HIV and MDRTB (Multi Drug Resistant Tuberculosis) have further made the situation critical. AIMS Our aim was to compare the efficacy of the daily and the intermittent doses of the Anti Tubercular Drug (ATD) therapy which is under the Revised National Tuberc...

Pricing for mortgage and mortgage-backed securities is complicated due to the stochastic and interdependent nature of prepayment and default risks. This paper presents a unified economic model of the contingent claims and competing risks of mortgage termination by prepayment and default. I adopt a proportional hazard framework to analyze these competing and interdependent risks in a model with ...

This paper presents a 3D model for pricing defaultable bonds with embedded call options. The pricing model incorporates three essential ingredients in the pricing of defaultable bonds: stochastic interest rate, stochastic default risk, and call provision. Both the stochastic interest rate and the stochastic default risk are modeled as a square-root diffusion process. The default risk process is...

This paper examines the interaction between default risk and interest-rate risk in determining the term structure of credit default swap spreads at different industry sectors and credit rating classes. The paper starts with a parsimonious three-factor interest-rate dynamic term structure and projects the credit spread at each industry sector and rating class to these interest-rate factors while...

Sovereign default often affects country’s trade relations. The defaulter’s currency depreciates while trade volume falls drastically. To explain this connection, this study proposes a model to incorporate real depreciation along with sovereign bankruptcy. Defaulters must exchange more of their own goods for imports, which stimulates an adjustment to the equilibrium exchange rate. We demonstrate...

Motivated by empirical evidence of long range dependence in macroeconomic variables like interest rates, domestic gross products or supply and demand rates, we propose a fractional Brownian motion (fBm) driven model to describe the dynamics of the short rate in a bond market as well as the default rate for possible default. We aim at results analogous to those achieved in recent years for affin...

This paper uses a quasi-natural experiment to identify the impact of interest rates on mortgage default. Using loan-level panel data for Ireland, we deal with selection bias by exploiting variation between two adjustable-rate mortgages offered in 2000s. We link default directly through borrower installments. find strong, statistically significant, default; 1% increase installment is associated ...

although default rates on residential mortgages have been relatively low in recent years, policymakers and economists should still be concerned about mortgage default for several reasons. First, while the foreclosure rate in the u.s. has averaged only 1 percent over the past 20 years, there have been dramatic swings in regional default rates over this period. For example, in the early 1990s for...