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1.
We introduce a new international model for the systematic distress risk of financial institutions from the US, the European Union, and the Asia-Pacific region. Our proposed dynamic factor model can be represented as a nonlinear, non-Gaussian state space model with parameters that we estimate using Monte Carlo maximum likelihood methods. We construct measures of global financial sector risk and of credit market dislocation, where credit market dislocation is defined as a significant and persistent decoupling of the credit risk cycle from macro-financial fundamentals in one or more regions. We show that, in the past, such decoupling has preceded episodes of systemic financial distress. Our new measure provides a risk-based indicator of credit conditions, and as such, complements earlier quantity-based indicators from the literature. In an extensive comparison with such quantity-based systemic risk indicators, we find that the behaviour of the new indicator is competitive with that of the best quantity-based indicators. 相似文献
2.
We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis. Key economic variables are modeled jointly with principal components from a large time series panel of macroeconomic indicators using a multivariate unobserved components time series model. When the key economic variables are observed at a low frequency and the panel of macroeconomic variables is at a high frequency, we can use our approach for both nowcasting and forecasting purposes. Given a dynamic factor model as the data generation process, we provide Monte Carlo evidence of the finite-sample justification of our parsimonious and feasible approach. We also provide empirical evidence for a US macroeconomic dataset. The unbalanced panel contains quarterly and monthly variables. The forecasting accuracy is measured against a set of benchmark models. We conclude that our dynamic factor state space analysis can lead to higher levels of forecasting precision when the panel size and time series dimensions are moderate. 相似文献
3.
使用信用违约互换产品化解信贷集中风险 总被引:3,自引:1,他引:3
信贷集中风险已经成为我国银行业亟待解决的问题,本文在分析了我国银行业信贷集中风险的现状和危害后,提出了使用信用违约互换产品化解银行信贷集中风险的建议。并对信用违约互换产品的基本原理以及在我国的实施方法提出了建议。 相似文献
4.
This paper examines how the sentiment of firm-specific news affects CDS spreads conditional on the degree of information asymmetry. Using a large set of news releases, we document a strong negative relationship between the sentiment of firm-specific news and CDS spreads. More importantly, consistent with the role of public news in reducing information asymmetry, we find evidence that the relation between news sentiment and CDS spreads is stronger for firms with higher information asymmetry. Furthermore, the relation is stronger for news with negative sentiment and during the 2008 financial crisis. Our results are robust to alternative sentiment measures. 相似文献
5.
《International Journal of Forecasting》2020,36(3):1073-1091
We develop and apply a Bayesian model for the loss rates given defaults (LGDs) of European Sovereigns. Financial institutions are in need of LGD forecasts under Pillar II of the regulatory Basel Accord and the downturn in LGD forecasts under Pillar I. Both are challenging for portfolios with a small number of observations such as sovereigns. Our approach comprises parameter risk and generates LGD forecasts under both regular and downturn conditions. With sovereign-specific rating information, we found that average LGD estimates vary between 0.46 and 0.64, while downturn estimates lay between 0.50 and 0.86. 相似文献
6.
Yiannos A. Pierides 《Journal of Economic Dynamics and Control》1997,21(10):1579-1611
This paper considers the pricing of derivatives that protect holders of corporate bonds from a reduction in their value because of a deterioration in their credit quality. These derivatives are structured as either puts on the bond price or calls on the bond spread (above the risk free rate) in the context of models developed by Merton (1974) and Black and Cox (1976). The pricing properties of these options are derived using both analytical and numerical methods. 相似文献
7.
《International Journal of Forecasting》2019,35(1):25-44
We introduce a method for measuring the default risk connectedness of euro zone sovereign states using credit default swap (CDS) and bond data. The connectedness measure is based on an out-of-sample variance decomposition of model forecast errors. Due to its predictive nature, it can respond to crisis occurrences more quickly than common in-sample techniques. We determine the sovereign default risk connectedness using both CDS and bond data in order to obtain a more comprehensive picture of the system. We find evidence that there are several observable factors that drive the difference between CDS and bonds, but both data sources still contain specific information for connectedness spill-overs. In general, we can identify countries that impose risk on the system and the respective spill-over channels. Our empirical analysis covers the years 2009–2014, such that the recovery paths of countries exiting EU and IMF financial assistance schemes and the responses to the ECB’s unconventional policy measures can be analyzed. 相似文献
8.
In this article, we revisit the impact of the voluntary central clearing scheme on the CDS market. In order to address the endogeneity problem, we use a robust methodology that relies on dynamic propensity-score matching combined with generalized difference-in-differences. Our empirical findings show that central clearing results in a small increase in CDS spreads (ranging from 14 to 19 bps), while there is no evidence of an associated improvement in CDS market liquidity and trading activity or of a deterioration in the default risk of the underlying bond. These results suggest that the increase in CDS spreads can be mainly attributed to a reduction in CDS counterparty risk. 相似文献
9.
Anthony Bellotti Damiano Brigo Paolo Gambetti Frédéric Vrins 《International Journal of Forecasting》2021,37(1):428-444
We compare the performance of a wide set of regression techniques and machine-learning algorithms for predicting recovery rates on non-performing loans, using a private database from a European debt collection agency. We find that rule-based algorithms such as Cubist, boosted trees, and random forests perform significantly better than other approaches. In addition to loan contract specificities, predictors that refer to the bank recovery process — prior to the portfolio’s sale to a debt collector — are also shown to enhance forecasting performance. These variables, derived from the time series of contacts to defaulted clients and client reimbursements to the bank, help all algorithms better identify debtors with different repayment ability and/or commitment, and in general those with different recovery potential. 相似文献
10.
Vincent J. Hooper Kevin Ng Jonathan J. Reeves 《International Journal of Forecasting》2008,24(3):480-489
Ever since the inception of betas as a measure of systematic risk, the forecast error in relation to this parameter has been a major concern to both academics and practitioners in finance. In order to reduce forecast error, this paper compares a series of competing models to forecast beta. Realized measures of asset return covariance and variance are computed and applied to forecast beta, following the advances in methodology of Andersen, Bollerslev, Diebold and Wu [Andersen, T. G., Bollerslev, T., Diebold, F. X., & Wu, J. (2005). A framework for exploring the macroeconomic determinants of systematic risk. American Economic Review, 95, 398–404; and Andersen, T. G., Bollerslev, T., Diebold, F. X., & Wu, J. (2006). Realized beta: Persistence and Predictability. In T. Fomby & D. Terrell (Eds.), Advances in Econometrics, vol 20B: Econometric Analysis of Economic and Financial Times Series., JAI Press, 1–40.]. This approach is compared with the constant beta model (the industry standard) and a variant, the random walk model. It is shown that an autoregressive model with two lags produces the lowest or close to the lowest error for quarterly stock beta forecasts. In general, the AR(2) model has a mean absolute forecast error half that of the constant beta model. This reduction in forecast error is a dramatic improvement over the benchmark constant model. 相似文献
11.
论房价波动下抵押贷款理性违约风险管理策略 总被引:1,自引:0,他引:1
当前的房价波动触发了住房抵押贷款理性违约行为发生率的明显增加。本文在分析住宅抵押贷款理性违约行为发生机理的基础上,分别从微观(商业银行)及宏观(相关制度和政策)两个层面提出了住宅抵押贷款理性违约风险管理策略。 相似文献
12.
《Economic Systems》2020,44(4):100820
We perform an analysis of systemic risk in financial and energy sectors in Europe using daily time series of CDS spreads. We employ the factor copula model with GAS dynamics from Oh and Patton (2018) for the purpose of estimating dependency structures between market participants. Based on the estimated models, we perform Monte Carlo simulations to obtain future values of CDS spreads, and then measure the probability of systemic events at given time points. We conclude that substantially higher systemic risk is present in the financial sector compared to the energy sector. We also find that the most systemically vulnerable financial and energy companies come from Spain. 相似文献
13.
A value chain framework for guiding the financial firms in their credit decisions is urgent, as the current COVID-19 pandemic has highlighted, but missing in the extant literature, particularly for those that lend to industries sensitive to value and supply chain bottlenecks. This study creates knowledge in value chain finance, a big untapped and un-researched market. It constructs, confirms, and validates a value chain framework for assessing risks in lending to Agro and Food Processing firms in which value chain risks are major business concerns globally. To pursue the objectives of the study, we use a novel methodology that integrates the Modified Delphi technique, exploratory factor analysis, confirmatory factor analysis, and discriminant analysis. Based on testing and analysis of primary data, including loan data, a framework comprising six factors is proposed for use in conjunction with existing risk assessment models of finance companies to improve the quality of their credit decisions, contributing to their performance sustainability. 相似文献
14.
This study assesses systemic risk in the US credit default swap (CDS) market. First, this study estimates the bilateral exposures matrix using aggregate fair value data and theoretically analyze interconnectedness in the US CDS network using various network measures. Second, this study theoretically analyzes the contagious defaults. The default analysis shows the theoretical occurrence of many stand-alone defaults and one contagious default via the CDS network during the global financial crisis. A stress test based on a hypothetical severe stress scenario predicts almost no future contagious defaults. Thus, risk contagion via the CDS network is unlikely. 相似文献
15.
Haiyan SongAuthor Vitae Gang LiAuthor VitaeStephen F. WittAuthor Vitae George AthanasopoulosAuthor Vitae 《International Journal of Forecasting》2011,27(3):855
Empirical evidence has shown that seasonal patterns of tourism demand and the effects of various influencing factors on this demand tend to change over time. To forecast future tourism demand accurately requires appropriate modelling of these changes. Based on the structural time series model (STSM) and the time-varying parameter (TVP) regression approach, this study develops the causal STSM further by introducing TVP estimation of the explanatory variable coefficients, and therefore combines the merits of the STSM and TVP models. This new model, the TVP-STSM, is employed for modelling and forecasting quarterly tourist arrivals to Hong Kong from four key source markets: China, South Korea, the UK and the USA. The empirical results show that the TVP-STSM outperforms all seven competitors, including the basic and causal STSMs and the TVP model for one- to four-quarter-ahead ex post forecasts and one-quarter-ahead ex ante forecasts. 相似文献
16.
基于期权调整持续期的银行资产负债组合优化模型 总被引:1,自引:0,他引:1
提出了基于期权调整持续期的银行资产负债隐含期权风险控制原理,结合持续期缺口的控制和法律、法规约束等控制银行的利率风险与流动性风险。以贷款利息收益最大为目标,以线性规划为工具,建立了基于期权调整持续期的银行资产负债组合优化模型。本文的创新与特色一是提出了基于期权调整持续期的银行资产负债组合优化原理,避免了资产与负债中的隐含期权给银行带来提前偿付风险。二是将利率结构对称原理和数量结构对称原理引入资产负债组合优化中,控制了银行经营中的流动性风险与利率风险,保护银行股东权益的安全,保证了银行资产配给的合法性与合规性。 相似文献
17.
In state–space models, parameter learning is practically difficult and is still an open issue. This paper proposes an efficient simulation-based parameter learning method. First, the approach breaks up the interdependence of the hidden states and the static parameters by marginalizing out the states using a particle filter. Second, it applies a Bayesian resample-move approach to this marginalized system. The methodology is generic and needs little design effort. Different from batch estimation methods, it provides posterior quantities necessary for full sequential inference and recursive model monitoring. The algorithm is implemented both on simulated data in a linear Gaussian model for illustration and comparison and on real data in a Lévy jump stochastic volatility model and a structural credit risk model. 相似文献
18.
It is difficult to find indicators for measuring the achievement of objectives during the progress of project portfolios. This article presents an approach for developing key strategic perfor‐mance indicators considering this limitation. The indicators proposed help measure the achievement of a portfolio's strategic objectives taking into account the realization of key benefits. This approach helps identify strategic interdependences between projects that the portfolio is composed of, facilitating the understanding of how the performance of a single project affects the overall performance of a portfolio. The key perfor‐mance indicators can also be used for monitoring the materialization of risks and opportunities influencing the strategic performance of a portfolio. 相似文献
19.
税收征管变革作为国家治理现代化和服务高质量发展的重要内容,直接关系到企业决策行为与生产经营活动。税收征管既可能预防和减缓企业债务违约压力,也存在加剧债务违约的风险。鉴于此,基于2011—2021年沪深A股上市公司数据,考察税收征管对企业债务违约风险的影响。实证结果显示,税收征管强度的提升显著降低了企业债务违约风险。机制检验发现,税收征管通过提高企业纳税遵从度、优化资金配置结构,进而有效缓解了债务违约风险,但它并不会弱化减税降费政策的惠企初衷;良好的公司治理能够促进税收征管强度对企业债务违约的抑制作用。拓展性分析表明,税收征管力度的增强源自“金税三期”“国地税合并”改革等政策合力;税收征管对企业债务违约风险的抑制有助于提升其主业业绩水平。研究结论为进一步推进税收改革服务中国式现代化,减轻企业主体负担,提振实体活力,稳定经济提供了实践依据。 相似文献
20.
在建筑市场中,任何项目均有风险,协作项目的风险尤为突出。完善协作项目风险管控体系,规范协作项目风险管控流程,提高风险管控制度执行力,加强对协作项目的有效管理和监督,有利于建筑施工企业多种项目管理模式协调发展,对企业经济规模的扩大和经济效益的提高及稳步健康、持续发展至关重要。 相似文献