The Russian Default

This article argues that the international financial markets' massive involvement in Russia had at best a limited basis in developments in the real economy, while financial inflows from the West both enabled and encouraged Russia to avoid the restructuring which lies behind the economic recovery elsewhere in Central and Eastern Europe. The best hope for a positive future for Russia is to allow many Russian banks and firms to go bankrupt and to change the nature of foreign financing. Liberal reforms could then be pursued with a clean slate. However, the author sees little likelihood of either of these happening.     

Inflation and Default Dynamics

Changes in inflation, particularly if they are sharp, can have important consequences for nominal contracts, especially debt instruments such as fixed-rate bonds. This paper examines the intricate dynamics of inflation and defaults. The experience of the United States during the past four decades is subjected to empirical analysis to examine how the nature of the relationship changed as we shifted from a high inflation to a low inflation regime. The paper is organized as a three-part study. We initially examine the U.S. default experience, as summarized in Moody's speculative grade default rate, along with industry differences. The paper then scrutinizes U.S. inflation dynamics as seen in different summary measures of the general price level and delves into pricing power issues. The study proceeds to examine co-movements in the inflation and default series from a theoretical and empirical standpoint and the results confirm the intuitive postulate: higher the inflation rate, the more pricing power companies have; greater pricing power leads to, better earnings and repayment abilities for firms and a lower incidence of defaults.     

Credit Scoring and Loan Default

A metric of credit score performance is developed to study the usage and performance of credit scoring in the loan origination process. We examine the performance of origination FICO scores as measures of ex ante borrower creditworthiness using loan‐level data on ex post performance of subprime mortgages. Parametric and nonparametric estimates of credit score performance reveal different trends, especially on originations with low credit scores. The data suggest a trend of increased emphasis on higher credit scores accompanying a trend of increased riskiness in other origination attributes. Over time, this increased emphasis on credit scoring coincided with deterioration in FICO performance largely because of the fact that higher credit score originations of later cohorts were more likely to have riskier attributes. However, controlling for other attributes on originations and changes in economic conditions, we find that, as measures of borrower ranking, FICO performance on subprime loans over the years remains fairly stable.     

On Models of Default Risk

We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We finally discuss some examples.     

如何应对美国“凭实力”选择债务违约的举措?

全世界瞩目的美国两党谈判结果已经揭晓。8月1日,美国总统奥巴马表示,两党领袖已达成协议,削减赤字,避免债务违约。紧接着,美国国会参议院以74票赞成,26票反对的表决结果通过了旨在削减预算开支并提升联邦政府借贷上限的法案。这使得美国政府在距离债务违约前几个小时     

National Culture and Default on Mortgages

In this paper, we investigate the relationship between national cultural characteristics and default on mortgages (DOM). Using Hofstede's constructs and controlling for other relevant determinants of DOM, our regression analyses show that borrowers from countries with high individualism may default more on their mortgages in both a relatively stable economic period and during a period of crisis. Moreover, we find that borrowers from societies showing lower level of pragmatism and higher level of indulgence default more on their mortgages in a stable economic period. Our findings suggest important implications for multinational financial institutions that provide mortgages across countries.     

Equilibrium with Default and Endogenous Collateral

We study a two‐period general equilibrium model with incomplete asset markets and default. We make collateral endogenous by allowing each seller of assets to fix the level of collateral. Sellers are required to provide collateral whose first‐period value, per unit of asset, exceeds the asset price by an arbitrarily small amount. Moreover, borrowers are also required to be fully covered by the purchase, in the first period, of state‐by‐state default insurance. These insurance contracts are offered by lenders. The insurance cost or revenue is a linear charge and plays the role of a spread penalizing borrowers who will incur in default and benefiting lenders who will suffer default. Under these assumptions, equilibrium always exists.     

Consumer Default of Delinquent Adjustable-Rate Mortgage Loans

An examination of the default behavior of delinquent Canadian rollover mortgage borrowers suggests that borrower ability-to-pay considerations are relevant to the default decision. They are, however, secondary to housing equity considerations. Results from both ratio and linear-additive specifications suggest that a ratio specification conceals the independent effect of income and wealth variables.     

合同违约中的精神损害赔偿研究

随着社会经济的快速发展,司法实践中合同违约导致的精神损害案件不断涌现。然而依据当前立法,违约责任并不能为其提供救济,相反仅能依靠尚无法全力保障的侵权责任。违约精神损害赔偿制度有其域内外立法基础,遵循合同法本质,具有可预见性,此等适用的可行性为我国肯定违约精神损害赔偿提供法律和理论自信,并应借此自信进一步构建违约精神损害赔偿制度要件,设计合同的类型化适用。     

Lending Relationships,Bank Default and Economic Activity

The paper reviews contributions in the literature, which lend theoretical and empirical credibility to the idea that the banking relationship is valuable and important for the firm. Banks offer a lending relationship as the solution to the firm's ongoing credit needs. Bank default disrupts this relationship. Hence risk in the banking sector influences the value of the relationship, the cost of corporate finance, and the level and growth of real activity. As bank default is often the result of fraud and internal irregularities, it is hard to predict. Bank default affects the economy through a number of different channels. The loss of the relationship, benefit for the firm is an important route through which the health of the banking sector influences real activity.     

信贷资产证券化的违约风险分析

识别和控制资产证券化过程中的风险是金融监管的客观需要。以信贷资产支持证券为例探讨资产证券化的特有风险—违约风险,并运用KMV模型测度个案违约风险,在此基础上提出一些控制违约风险的策略。     

英美法违约救济的主要形式及其启示

本文探讨了英美法系中合同不能如约履行时，当事人可以援用的三种救济方式，即法院判定的金钱赔偿（包括预期赔偿、依赖赔偿和归还）、强制履行和议定赔偿，以及对违约补救的限制情况,分析了这几种赔偿方式的依据、效率与经济功能，并论述了我国企业在签订涉外商务合同时应注意的相关问题。     

Mortgage Default: A Demand Choice Unknown at Purchase

Past empirical research on mortgage default has typically used purchase data to model an action that occurs months later, and variables have been specified in ratio form. Each of these has its limitations. This work goes beyond previous research by using macro- and municipal-specific data to estimate variable values at the point of the default decision. In addition, both linear and ratio specifications are employed to study the factors affecting mortgage default, given mortgage delinquency.     

有违约风险贷款担保价值研究

在发达国家政府是贷款担保的主要担保人,对贷款担保定价研究的重要假设是担保人没有违约风险。在中国,绝大多数的贷款担保人有违约风险。本文研究了担保人有违约风险情况下提供担保和相互担保的财务特征和定价,对比分析了提供担保和相互担保行为对贷款担保人和银行价值的影响。研究表明,有违约风险担保的价值随着担保人公司价值和借款额的增大而增大,随着借款公司价值的增大而减少;银行的损失随着借款额的增大而增大,随着担保人公司价值和借款人公司价值的增大而减少。银行提供贷款时允许企业相互担保等于潜在为相互担保企业提供了免费的部分担保,随着借款人风险的增大,相互担保条件下的银行或有损失急剧增大,相互担保对于银行的价值有显著的负面影响。     

Using Aggregate Time Series Variables to Forecast Notices of Default

This paper emphasizes the economic variables and data used to model notices of default in California. Forecast models are notoriously complicated and require sophisticated software to run. Few businesses, particularly small enterprises, have the necessary resources to engage in large-scale model building. Datasets can be difficult and expensive to obtain and usually require significant analysis. The paper focuses on methodology to give the model a general appeal.     

快递延误违约法律问题探讨

快递延误分为一般延误和彻底延误两种,都要承担相应的法律责任。但目前快递公司的格式合同中,任意扩大当事人的免责范围,推卸、减轻违约责任,实行不同赔偿标准等等,损害了消费者的权益。对于快递延误造成的损失,如重购损失、快递物品过期作废损失、向第三人支付违约金损失、合同订立或投标机会丧失的损失等,快递企业应予以合理赔偿。现行法律规定,快递延误只免除本次服务费,或者只能在服务费3倍以内进行赔偿,显然缺乏合理性,建议采用延误保价制度。     

违约精神损害赔偿比较研究

从比较视域本文考察英美法系、大陆法系主要国家及地区的违约精神损害赔偿制度,当今世界许多国家及地区均在不同程度上认可违约精神损害赔偿,尽管立法有宽严,但判例突破已成为一种不可扭转的强大趋势。英美法以不断出现的司法判例为动因,以"合同性质"、"合同目的"、"可预见性"及"明显后果"等为限制条件,把握违约精神损害赔偿的尺度,再到逐步扩大在司法实践中的运用,使之类型化,从而明确违约精神损害赔偿的适用范围。大陆法主要是通过扩大法条解释、变通救济理念予以救济,或通过增设法律条文进行规定,满足现实对违约精神损害赔偿的需求,这些均可作为我国构建违约精神损害赔偿制度的现实基础。     

The Pricing of Catastrophe Equity Put Options with Default Risk

In this paper, we present a pricing model for catastrophe equity put options with default risk by assuming that the default of the option issuer may occur at any time prior to maturity of the option. Catastrophic events are assumed to occur according to a doubly stochastic Poisson process, and stock price is affected by the catastrophe losses, which follow the compound doubly stochastic Poisson process. As for default risk, we adopt typical structural approaches, and we also allow the correlation between the underlying stock and the assets of the option issuer. Under this framework, we derive a pricing formula for catastrophe equity put options with default risk. Finally, numerical analysis is presented to illustrate effects of default risk on catastrophe equity put option prices.     

基于Credit Metrics模型的CDS定价研究

信用违约互换（Credit Default Swaps,CDS）作为当今国际上最流行的的信用衍生工具,被广泛应用于商业银行的信用风险管理中。Credit Metrics模型被广泛运用于度量信用风险的大小,在应用Credit Metrics模型计算商业银行贷款的VaR基础上探讨CDS的定价问题。以单笔贷款为例来说明该模型探讨CDS定价实际运用过程,对我国商业银行信用风险管理的提高有一定指导作用。