...
34
WORKING PAPER NO 13
CREDIT RISK TRANSFER
AND
FINANCIAL SECTOR PERFORMANCE
Wolf Wagner & Ian Marsh
The Working Paper is intended as a ... ! '&% &
8<> ?? % 8<> !&...
... Survey.
CGFS – Credit risk transfer statistics
15
Committee on the Global
Financial System
CGFS Papers
No 35
Credit risk transfer
statistics
Report submitted by a Working Group ... dealers, other financial
institutions and non -financial customers, whereas DTCC data separately identify between
CGFS – Credit risk transfer statistics
11...
... Trade and Foreign Direct In-
vestment,” European Economy Economic Papers No. 321.
[5] Barro, Robert (2007), “Rare Disasters, Asset Prices, and Welfare Costs,” NBER Work-
ing Paper No. 136 90.
13
See ... Philipp, Florian Heider, Elias Papaionnou and Marco Lo Duca (2007),
“The Role of Financial Markets and Innovation in Productivity and Growth in Eu-
rope,” ECB Occasional Pa...
... are not well able to bear this risk and that the attempt to burden them
with it may merely transform the interest rate risk into a counterparty credit risk. Securitization
shifts this risk ...
that it involved. Risk management and risk control put excessive confidence in credit ratings
provided by rating agencies and failed to provide their own analysis of credit ri...
... 9
ECB
Occasional Paper No 64
July 2007
3 CREDIT RISK MODELS
3.1 OVERVIEW OF CREDIT RISK MODELLING
ISSUES
In recent years, the literature on credit risk
modelling has grown tremendously; ... would clearly reflect credit risk. In
practice, it is not always possible to distinguish
between spread risk and credit risk. When
spreads change for one issuer only, and...
... Political Economy 101(2): 272-98.
Bardhan, P., S. Bowles, and H. Gintis (2000). ‘Wealth Inequality, Wealth Constraints
and Economic Performance , in A.B. Atkinson and F. Bourguignon (eds), Handbook ... Political Economy 97(4): 808-27.
Feder, G., and A. Nishio (1999). ‘The Benefits of Land Registration and Titling:
Economic and Social Perspectives’, Land Use Policy 15(4): 25-43...
... their
capitalisation and investment in technology and financial innovation were found to
improve performance. By contrast, for cross-border M&As, differences in their loan and
credit risks strategies are performance ... domestic M&As in Europe.
19
ECB
Working Paper Series No. 398
October 2004
Table 2 Cross-border and domestic mergers: descriptive statistics of size...
... than that of non-compliance.
Utility of compliance is denoted (U
CB
,U
CG
) in the bad and good state of the world respec-
tively. Similarly, the utility of non-compliance is denoted as (U
NB
,U
NG
).
The ... the other hand, the higher the profit t arget is, the
less likely that the credit officer is able to meet it. If he can not comply, then he shirks and
14
ECB
Working Paper Series...
... months and over)
Source: OECD
OECD Europe
OECD Non-Europe
OECD Non-Europe Ex. US
OECD Europe
OECD Non-Europe
OECD Non-Europe Ex. US
OECD Europe
OECD Non-Europe
OECD Non-Europe Ex. US
10
ECB
Working ... Curve and the NAIRU.
12
ECB
Working Paper Series No. 441
February 2005
(typically commodity prices or import prices). The disturbance ε
t
is assumed to be i.i.d.
normal with mean zer...