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Sovereign Risk Ratings: Biased Toward Developed Countries?Authors:Gültekin-Karaka?
credit-rating agencies ordered logit ordered probit political risk risk premium
2011/8/23
Sovereign credit ratings are widely used measurements for "country risk" in international capital markets. However, they have been exposed to increasing criticism in the aftermath of the recent global...
An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps
theoretical equivalence credit spreads equilibrium condition discovery process
2011/8/23
We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads derived by Duffie (1999), finding support for the parity relation as an equilibrium condition. We also find t...
Why Are Some States More Generous in Offering R&D Tax Credits than Others? An Empirical Answer
organized interests political cost research and development revenue loss tax credit
2011/8/23
This article examines political cost factors that affect a state's propensity to adopt a corporate income tax credit to encourage research and development (R&D) activities in the United States. Assumi...
Forecasting credit migration matrices with business cycle effects—a model comparison
credit risk credit VaR forecasting transition matrices
2011/8/23
Migration matrices are considered a major determinant for credit risk management. They are widely used for credit value-at-risk determination, portfolio management or derivative pricing. It is well kn...
WHAT TO DO WHEN THE BANK PULLS YOUR LINE OF CREDIT
small business availability of money local community banks alternative lenders
2011/8/23
The article offers insights on what small business owners need to do when the bank pulls their line of credit. It discusses the availability of money from local community banks, local credit unions an...
The Failure of Price Competition in the Turkish Credit Card Market
banking credit cards price competition system GMM
2011/8/23
The failure of competition and the consequent high and sticky interest rates in credit card markets have recently been the subject of considerable debate and research. This paper presents the first re...
Inefficient Credit Booms
the welfare properties competitive equilibria financial frictions preventive policies
2011/8/23
This paper studies the welfare properties of competitive equilibria in an economy with financial frictions hit by aggregate shocks. In particular, it shows that competitive financial contracts can res...
CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
credit derivative Credit risk default probability first passage time
2011/8/22
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatil...
FACTORS AFFECTING THE GROWTH OF BANK CREDIT CARD AND CHECK CREDIT
regulatory and economic determinants credit-card general credit restraint temporary aberrations
2011/8/22
The purpose of this study is to update previous studies ([1], [2], [3], [4], [5], [7], [8]) using new data where possible and updated data series to resolve open issues relating to the regulatory and ...
A two-stage dynamic credit scoring model, based on customers’ profile and time horizon
credit scoring model logistic regression survival analysis
2011/8/22
As credit card usage has expanded rapidly worldwide, credit scoring has become a very important task for banks, which can benefit from reducing possible risks of default. Credit scoring models help de...
Credit Scoring and Its Effects on the Availability and Affordability of Credit
Accurate Credit Transaction Act federal agencies credit reporting industry credit scoring
2011/8/22
The Fair and Accurate Credit Transaction Act of 2003 (the FACT Act) directed several federal agencies to conduct studies related to the credit reporting industry. A primary concern was the accuracy an...
The article discusses how to use credit cards wisely. Do not accumulate more charges than you can pay off within one month. Be careful about using business credit cards, as these do not enjoy the prot...
VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS
Black formula credit default index swap Credit default swap credit default swaption hedging
2011/8/22
The paper provides simple and rigorous, albeit fairly general, derivations of valuation formulae for credit default swaptions and credit default index swaptions. Results of this work cover as special ...
Greenwood v. CompuCredit Corp.: The Ninth Circuit's Misdirected Interpretation of the Credit Repair Organizations Act
provision Credit Repair Operations Act arbitration agreement plaintiff alleged violation
2011/8/22
The article discusses a court case wherein the U.S. Court of Appeals for the Ninth Circuit examined the provision of the Credit Repair Operations Act (CROA) on arbitration agreement in a credit-repair...
Giving Credit Where Credit is Due: The Psychology of Credit Ratings
credit ratings credit scores actual credit reports internal locus-of-control
2011/8/22
The purpose of this study is to examine the effect of personality on credit ratings, measured in terms of credit scores from actual credit reports. Personality is measured in terms of an individual's ...