Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 88 for “"default risk"”.
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Machine Learning for Credit Default Risk
… used to enhance traditional approaches to credit default forecasting and pricing. In the first essay, we provide empirical evidence in favour of a widespread non-linear, time-varying relationship between sovereign credit risk and macroeconomic fundamentals across OECD countries. Random forests …
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Default Risk in the Automotive Supply Network
… or component-sector specialization, and solvency risk, drive the formation of new business relationships between this car-part supplier and a car manufacturer. In this dissertation, I exploit a unique professional database listing suppliers for a set of car components at the car model level. After …
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What Text Information Helps to Reduce Default Risk
… the predictive factors influencing loan default in the context of peer-to-peer (P2P) lending, with a particular focus on the integration of voluntarily provided text data alongside traditional financial, demographic, and loan information. Using a dataset of over 296,000 borrowers from the …
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Credit Default Risk and Market Risk Premium of Chinese Corporate Bonds
… presents a comprehensive analysis of credit risk in China's corporate bond market. Utilising data on all Chinese corporate bonds issued by publicly traded companies before September 2020 and actual default cases, the research investigates credit risk from the perspectives of forecasting …
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Default risk of Icelandic consumer loans : implementation of a credit risk model
… the possibility of improving the assessment of default risk. If assessment of default risk can be improved, the opportunity for offering a broader range of interest rates on these loans come available, resulting in a more accurate pricing of each loan based on the estimated default risk of each …
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Intangible assets and default risk: an examination of the credit default swap market
… I examine the impact of intangible assets on default risk. Extant research primarily focuses on the relevancy of intangible assets in the equity markets, but the relevance of intangible assets in the credit markets has not been extensively explored. In fact, due to the differences between …
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Incorporating default risk into the Black-Scholes model using stochastic barrier option pricing theory
… by the possibility that one party will default on their contractual obligations. This dissertation develops a general model that prices Black-Scholes options subject to intertemporal default risk using stochastic barrier option pricing theory. The explicit closed-form solution is …
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Quantitative Market Risk Disclosure, Bond Default Risk and the Cost of Debt: Why Value at Risk
… debt issues show that the reduction in bond default risk and cost of debt is observed more frequently with the value at risk format than with sensitivity analysis. Firm size might be a confounding factor, however, because larger firms choose to disclose more value at risk than sensitivity …
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A study of default risk for small commercial real estate loans and its impact and implications for securitization
Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 1994.
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Determinants of Corporate Insolvency in Germany: An Empirical Analysis to Evaluate and Improve the Default Risk of Non-Financial Companies Listed in the CDAX.
Esta tesis contribuye al creciente cuerpo de literatura sobre insolvencias corporativas al desarrollar y aplicar una regresión semiparamétrica de riesgos proporcionales de Cox para covariables dependientes del tiempo con el fin de evaluar insolvencias de entidades no financieras incluidas en el …
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The Effects of Mergers and Acquisitions on Bank Risks
… the effects of bank mergers on acquiring banks' default risk and on their contributions to systemic risk using an international merger sample, covering the period between 1998 and 2015. Furthermore, it investigates whether the changes in acquirers’ default risk after acquisitions have impacts on …
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Essays in economics
… self-fulfilling beliefs as drivers of sovereign default risk. I employ global-game techniques to induce a unique equilibrium. Along the unique equilibrium, I show how the equilibrium default risk can be decomposed in a solvency-risk component and a coordination-risk component. I then study how …
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Determinants of U.S. corporate credit spreads.
… yields to maturity for corporate bonds and default-free instruments (Treasury bonds) of the same maturity. Corporate credit spreads are considered as measures of default risk. However, the premium required by investors for holding risky rather than risk-free bonds will incorporate a …
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Basel III: Implications of Capital and Liquidity Regulations on Financial Stability during Economic Depression.
… financial regulations in addressing systemic risk within the financial system. Despite numerous regulatory reforms introduced following the 2008 GFC, they are still concerns over the role of these regulations in mitigating complex issues related to systemic risk. The first study focuses on …
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Essays on Sovereign Default
… consists of three chapters on sovereign default. Thematically, they are linked by their examination of how sovereign risk influences government policy, equilibrium allocations, and welfare. Chapter 1 investigates the optimal currency denomination in sovereign bonds. Chapter 2 and 3 delve …
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