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.

Greece, Information management, Information accessibility

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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.

Asset & Risk Management, Methods, Usage, Evaluation, Practice, Risk management, Mathematical models, Credit ratings

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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.

Canada, Strategy & planning, Financial Systems & Controls, Financial Management, Central banks, Economic stabilization, Aims and objectives

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