Correlated default with incomplete information
Article Abstract:
A structural model of correlated multi-firm default for corporate security valuation, design of credit derivatives, risk measurement and management of financial institutions is discussed. Two correlation mechanisms - cyclical correlation and default contagion are examined. It is concluded that disclosure of information is important and regulatory policies should support information disclosure of firms.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2004
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Confidence intervals for probabilities of default
Article Abstract:
Development of empirical model for comparison of utility of various bootstrap techniques during assessment of credit risk, as part of risk management by corporate entities, is described.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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Financial stability: a worthy goal, but how feasible?
Article Abstract:
The need for central banks to create more resilient financial systems in order to bring about financial stability is discussed.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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