共查询到10条相似文献,搜索用时 140 毫秒
1.
This paper explores empirically the usefulness of credit default swap (CDS) prices as market indicators. The sample of reference
entities consists of large, internationally active German banks and the observation period covers 3 years.
By analysing the explanatory power of three risk sources: idiosyncratic credit risk, systematic credit risk and liquidity
risk, we gain important insights into modeling the dynamics of CDS spreads. The impact of systematic risk, for example, has
three components; one is related to the overall state of the economy, another related to the risk of the internationally active
banking sector, and the third is an unobservable systematic factor.
Default probabilities, inferred from a tractable reduced form model for CDS spreads, are compared with expected default frequencies
from the Moody’s KMV model. The results lend empirical support to the hypothesis that structural models can be less informative
than reduced-form models of CDS spreads in the case of banks with major investment banking activities as the leverage loses
explanatory power.
Although the CDS market appears to have matured over the observation period, during certain periods premiums for liquidity
risk can increase substantially thus limiting the value of CDS spreads as market indicators. We conclude that equity prices
and CDS premia should be considered together to fully exploit the information content of both market indicators and to mitigate
their respective drawbacks.
相似文献
Agnieszka SosinskaEmail: |
2.
Brent W. Ambrose Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2008,37(3):281-298
Previous research either assumes default free leases or leases subject to default risk using a structural approach. However,
structural credit risk models suffer from a common criticism that the firm’s asset value process is unobservable. We develop
a reduced form credit risk model for leases that avoids making assumptions regarding unobservable asset valuation processes.
Furthermore, we assume a correlated market and credit risk that provides us with a simple analytic formula for valuing defaultable
lease contracts. Numerical analysis reveals that tenant credit risk can have a substantial impact on the term structure of
leases. Finally, we use the model to demonstrate the implied lease term structure for a set of retail and financial firms
in the Fall of 2000.
相似文献
Yildiray YildirimEmail: |
3.
Juerg Syz Paolo Vanini Marco Salvi 《The Journal of Real Estate Finance and Economics》2008,36(1):23-35
Economists have forcefully argued for the introduction and use of property derivatives as a hedge against house price risk
(e.g. Shiller and Weiss, J. Real Estate Finance Econ., 19(1):21–47, 1999). The rationale for these financial instruments seems clear, as many households are heavily invested in
housing and standard financial instruments offer a poor hedge. In practice, however, most of the property derivatives available
have been targeted to meet the needs of institutional investors, not those of owner-occupiers. Building on the recent launch
of the first Swiss property derivative, we here propose index-linked mortgages tailored to retail consumers. The payments
of these mortgages depend on the corresponding housing market performance. We further price the instruments, discuss the stabilization
of the homeowner’s net wealth, and quantify the expected decrease in the mortgage default risk achieved by this immunization
effect.
相似文献
Juerg SyzEmail: |
4.
Terry Hallahan Robert W. Faff Karen L. Benson 《Journal of Financial Services Research》2008,33(3):205-220
In this paper we investigate the tournament induced risk-shifting behavior of Australian “multi-sector growth funds”. We apply
a regression-based methodology and examine tournaments based on the calendar year and the financial year. In our core analysis
we find evidence in favor of Taylor’s (J Econ Behav Organ 1455:1–11, 2003) risk shifting tournament hypothesis for financial year-end tournaments. Apart from the standard tournament
hypothesis we also report a range of findings regarding stability; fund age; and fund size. Support for the Taylor hypothesis
generally continues across these variations as well.
相似文献
Terry HallahanEmail: |
5.
Christoph Hinkelmann Steve Swidler 《The Journal of Real Estate Finance and Economics》2008,36(1):37-52
This paper examines the use of futures contracts to hedge residential real estate price risk. We examine whether existing
futures contacts can effectively be used to offset volatility in national house prices. Little evidence of any simple systematic
relation between national prices and futures prices is found. Since house prices are not easily replicated with a portfolio
of existing futures contracts, a further implication is that the Chicago Mercantile’s introduction of a financial asset whose
value reflects house prices will help complete the market. Nevertheless, the success of the CME’s new derivative contracts
may be limited in light of state and regional house price correlations.
相似文献
Steve Swidler (Corresponding author)Email: |
6.
Using the representative agent approach as in Kaplow (Am Econ Rev 82:1013–1017, 1992b), this paper shows that providing tax
deductions for the individual’s net losses is socially optimal when the insurer faces the risk of insolvency. We further show
that the government should adopt a higher tax deduction rate for net losses when the insurer is insolvent than when the insurer
is solvent. Thus, tax deductions for net losses could be used to provide an insurance for individuals against the insurer’s
risk of insolvency. These findings could also be used to explain why a government provides supplementary public insurance
or government relief. Finally, we discuss that, if the individuals are heterogeneous in terms of loss severity, loss probability,
or income level, providing a tax deduction for the individual’s net losses may not always achieve a Pareto improvement, and
cross subsidization should be taken into consideration.
相似文献
Larry Y. TzengEmail: |
7.
Seow Eng Ong Tien Foo Sing Alan Hwee Loon Teo 《The Journal of Real Estate Finance and Economics》2007,35(3):253-280
This paper extends the extant literature in understanding the effects of equity and debt on delinquency and default by focusing
on a variant of borrower equity where part of equity is “protected”. The CPF scheme in Singapore stipulates that the refund
of borrower’s retirement funds utilized for property purchase prior to September 2002 takes priority over loan obligations.
A decision to utilize CPF for property purchase actually increases ex post delinquency and default risk as it effectively
reduces cash equity commitment. In particular, any erosion in house value that places protected equity at risk translates
into potential wealth reduction or financial liability for the borrower. While loss aversion is evident for non-distressed
sellers, the effect of equity losses for distressed borrowers is not as clear. Our research suggests that averting losses
in committed equity may be a secondary consideration for borrower subject to income shocks, recognizing that delinquency and
default are precursors to foreclosure. Interestingly, we find that the borrowers are strongly averse to incurring protected
equity-induced wealth loss or financial liability. This study suggests that the first-lien “anomaly” associated with CPF refund
may reduce delinquency and default risks for mortgage backed securities.
相似文献
Seow Eng OngEmail: |
8.
Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2008,37(2):93-111
This paper provides a comprehensive default estimation of commercial real estate loans with a complete commercial mortgage
backed securities (CMBS) loan history database. Standard survival models assume that eventually every observation will experience
the event. However, often there is a high proportion of censored observation in the sample. A mixture model is proposed to
disentangle the probability of “long-term survivorship” and the timing of default occurrence. Loans within the same geographical
area and property type tend to exhibit correlation in default incidence. A multilevel model is proposed to capture this correlation
within and between clusters.
相似文献
Yildiray YildirimEmail: |
9.
James B. Kau Donald C. Keenan Yildiray Yildirim 《The Journal of Real Estate Finance and Economics》2009,39(2):107-117
This paper uses a structural credit risk model, providing an analytical formula to estimate default probabilities implicit
in commercial mortgage backed security prices. Empirical studies of CMBS default have focused on the probability of default
depending on loan characteristics at the origination and market indices. Recent studies show that unobservable current loan-to-value
(LTV) ratio is a key state variable driving default. We update this variable using Real Estate Investment Trust (REIT) property-type
indices over time. Later, we employ first passage time approach to study CMBS default using implied LTV.
相似文献
Yildiray Yildirim (Corresponding author)Email: |
10.
Chaur-Shiuh Young Liu-Ching Tsai Hui-Wen Hsu 《Review of Quantitative Finance and Accounting》2008,30(3):297-314
This study examines the relation between controlling shareholders’ excess board seats control and financial restatements.
An analysis of a sample comprising 106 Taiwanese listed firms (53 restating firms vs. 53 non-restating control firms) shows
that financial restatements are more likely to occur when there is a greater divergence between controlling shareholders’
board seats control rights and ownership rights. We also find that the excess board seats control of controlling shareholders
is positively associated with the materiality and pervasiveness of financial restatements. Overall, these results suggest
that the entrenchment incentive from controlling shareholders’ excess control motivates firms to adopt aggressive accounting
policies.
相似文献
Hui-Wen HsuEmail: |