To solve the problem of setting threshold default risk criterion to select retailer eligible for trade credit granting, a novel method of solving simultaneous equations is proposed. This method is based on the bilevel...To solve the problem of setting threshold default risk criterion to select retailer eligible for trade credit granting, a novel method of solving simultaneous equations is proposed. This method is based on the bilevel programming modeling of trade credit decisions as an interaction between supplier and retailer. First, the bilevel programming is set up where the supplier decides on credit terms at the top level considering a retailer's default risk, and the retailer determines the order quantity at the lower level in response to the credit terms offered. By solving this bilevel programming, the relationship between the optimal terms and the corresponding default risk can be derived. Second, set the extreme scenario where the threshold default risk is approached as the point causing a zero marginal profit to the supplier. Another equation describing this particular scenario can also be derived. Thus, a system of two equations with two unknown variables can be obtained where the exact threshold default risk criterion can be found by solving them. A numerical example is presented as an illustration of the method proposed. It shows that the threshold criterion can be uniquely determined when the financial costs, inventory costs, and the marketing parameters of supplier and buyer are specified.展开更多
In Lebanon, as in some countries, the major financial institutions in the economy experienced by the country in the aftermath of independence were banks and insurance companies. However, the operation of these financi...In Lebanon, as in some countries, the major financial institutions in the economy experienced by the country in the aftermath of independence were banks and insurance companies. However, the operation of these financial institutions obeys to some requirements that are not often likely to allow economic agents with low purchasing power to obtain the necessary funds to finance their production activities. Microfinance therefore comes in as the beginning of seeking effective market oriented solutions to the provision of substantial and effective financial resource for poor groups of people who do not have access to financial service from formal government and private financial institution. Microfinance Institutions （MFIs） are created for a social and sometimes non-profit objective. In Lebanon, many limitations hinder the development of MFIs including the lack of regulations, economic conditions, insecurity, political conflict, financial resources, and the risk of interest rates. Microfinance in Lebanon saw the light during the 1975-1990 Civil War through programs of charitable and community organizations, and really started to develop only in the second half of the 1990s. Capping interest rates may affect the access of poor people to financial services. The problem is that the granting of very small loans involves inevitably higher administrative costs than those offered by traditional bank loans. Therefore, MFIs that seek profitability should have higher interest rates than those charged by traditional banks. By providing money to poor people, how do MFIs in Lebanon reduce the credit risk？ This theme＇s treatment requires a qualitative analysis development. Indeed, after the selection of a representative sample, semi-structured interviews were done with the MFIs managers, and several researches done on this topic were analyzed. The data obtained from the above are treated by the triangulation of different data and the interviews analysis by the method of discourse content analysis. In addition, a literature review was done through scientific journals, books, newspapers, and websites.展开更多
In recent years, a lot of corporate defaults have had an impact on the capital market. How to prevent corporate default risks has become an important topic of concern for the academic community, enterprises and the go...In recent years, a lot of corporate defaults have had an impact on the capital market. How to prevent corporate default risks has become an important topic of concern for the academic community, enterprises and the government. We took China’s A-share listed companies from 2012 to 2018 as a sample, and used the double difference method to analyze the impact of supply-side structural reforms on corporate default risks. We found that supply-side structural reforms have reduced the risk of corporate default, and the inhibitory effect has gradually increased. In the relationship between supply-side structural reforms and corporate default risks, corporate financing capabilities have played an intermediary role. Supply-side structural reforms can improve the company’s endogenous financing capabilities, thereby reducing the risk of corporate default. However, we also found that the mediating effect of a company’s exogenous financing capability is not significant. At the same time, the regression results show that the digital economy can play a regulatory role. It can not only actively regulate the relationship between supply-side structural reforms and corporate default risks, but also mediate the mediating effect of corporate endogenous financing capabilities. The results of this article provide some evidence for the synergy between supply-side structural reforms and the digital economy.展开更多
In the process of production and operation,the funds held by enterprises often do not meet the needs of the expanding production scale,so enterprises usually obtain the required funds by borrowing.However,the financin...In the process of production and operation,the funds held by enterprises often do not meet the needs of the expanding production scale,so enterprises usually obtain the required funds by borrowing.However,the financing mode of enterprises is not only limited to borrowing from banks or other financial institutions.With the rapid economic development and the continuous activity of the capital market,the bond market has gradually become an important channel for enterprise financing⑴,In order to improve the layout of the industrial chain,Guangyi Technology has carried out continuous mergers and acquisitions(M&A)since 2013.Due to its limited funds,Guangyi Technology acquired a large amount of funds required for M&A by means of equity pledge.However,the copyright cloud project invested in M&A in the early stage did not achieve the expected results,leading to a frequent breach of equity pledge,which evolved into debt defaults.Therefore,this article takes Guangyi Technology as the research subject and puts forward relevant avoidance suggestions through the evaluation of its debt default risk.展开更多
This paper provides a methodology for valuing a credit default swap (CDS) with considering a counterparty default risk. Using a structural framework, we study the correlation of the reference entity and the counterpar...This paper provides a methodology for valuing a credit default swap (CDS) with considering a counterparty default risk. Using a structural framework, we study the correlation of the reference entity and the counterparty through the joint distribution of them. The default event discussed in our model is associated to whether the minimum value of the companies in stochastic processes has reached their thresholds (default barriers). The joint probability of minimums of correlated Brownian motions solves the backward Kolmogorov equation, which is a two dimensional partial differential equation. A closed pricing formula is obtained. Numerical methodology, parameter analysis and calculation examples are implemented.展开更多
Low interest rates are a prominent feature of China's current financial landscape.Using panel data on Chinese listed companies from 2016 to 2023 and a difference-in-differences model,this study showed that low int...Low interest rates are a prominent feature of China's current financial landscape.Using panel data on Chinese listed companies from 2016 to 2023 and a difference-in-differences model,this study showed that low interest rates can exacerbate corporate default risk,particularly among highly leveraged,highly financialized,and zombie firms.In such an environment,firms hold less cash and display higher levels of excessive debt and overinvestment,both of which can increase default risk significantly.The study further examined the role of macro-prudential policies in mitigating risks arising from accommodative monetary policy and confirmed the effectiveness of regulation targeting the lending supply side.These findings provide empirical evidence of the adverse effects of China's low interest rate environment and offer insights into the development of enterprise risks and the implementation of preventive measures.展开更多
China has moved rapidly from a socialist planned economy to a market economy.As a result,many enterprises in China are seeking talented top management to increase their performance and decrease their default risk.Stud...China has moved rapidly from a socialist planned economy to a market economy.As a result,many enterprises in China are seeking talented top management to increase their performance and decrease their default risk.Studies abound regarding top management turnover and its relationship with firm performance,however,few studies have connected top management turnover with firm default risk.In China,a market with extensive financial fraud,firm default risk is an important factor and thus we explore this relationship in the Chinese securities market.Our results indicate that firms with higher default risk are more likely to change their top management in the next financial reporting period.In addition,following changes in top management,such firms default less than other companies.展开更多
As the COVID-19 pandemic adversely affects the financial markets,a better understanding of the lending dynamics of a successful marketplace is necessary under the conditions of financial distress.Using the loan book d...As the COVID-19 pandemic adversely affects the financial markets,a better understanding of the lending dynamics of a successful marketplace is necessary under the conditions of financial distress.Using the loan book database of Mintos(Latvia)and employing logit regression method,we provide evidence of the pandemic-induced exposure to default risk in the marketplace lending market.Our analysis indicates that the probability of default increases from 0.056 in the pre-pandemic period to 0.079 in the post-pandemic period.COVID-19 pandemic has a significant impact on default risk during May and June of 2020.We also find that the magnitude of the impact of COVID-19 risk is higher for borrowers with lower credit ratings and in countries with low levels of FinTech adoption.Our main findings are robust to sample selection bias allowing for a better understanding of and quantifying risks related to FinTech loans during the pandemic and periods of overall economic distress.展开更多
In this paper we use a binomial tree to price convertible bond with default risk. A new way about pricing convertible bonds is proposed, which belongs to the deduced form approach. Firstly an inhomogeneous Possion pro...In this paper we use a binomial tree to price convertible bond with default risk. A new way about pricing convertible bonds is proposed, which belongs to the deduced form approach. Firstly an inhomogeneous Possion process is used to describe default event and definition of default time. Secondly we combine the stock binomial tree with default intensity and obtain a new tree, then convertible bonds are priced according to the combined tree. It is worth pointing out that the model have following characters： simple, intuitive and having the strong ability to combine other items in convertible bonds＇ indenture.展开更多
This paper mainly studies the pricing of credit default swap(CDS) with the loan as the reference asset,and gives a model based on the obtained conclusions. In the contract of CDS, we consider that the default of the p...This paper mainly studies the pricing of credit default swap(CDS) with the loan as the reference asset,and gives a model based on the obtained conclusions. In the contract of CDS, we consider that the default of the protection's seller is correlated with the stochastic interest rate following Vasicek model and the default state of the reference firm. We give the pricing formula of CDS and analyze the effect of the contagious risk between the counterparties on the pricing of CDS.展开更多
Through analysis, it is believed that major reasons for default risks in operation of small amount credit include low management level and vacancy of normative system, vacancy of risk sharing mechanism, rating distort...Through analysis, it is believed that major reasons for default risks in operation of small amount credit include low management level and vacancy of normative system, vacancy of risk sharing mechanism, rating distortion due to imperfect credit investigation system, and uncertainty of borrower's credit. On the basis of these, static and dynamic models are established to analyze the prevention mechanism for default risk in small amount credit. It is concluded that we must establish a restriction mechanism during operation of small amount credit as long as three values increase, namely, N (potential loss of bad credit record due to farmers' default), Q (probability of successful recovery by small amount credit institution), and S (cost of small amount credit institution punishing farmers after successful recovery). Finally, following countermeasures and suggestions are put forward: perfect laws and regulations and credit reward and punishment mechanism for risk management of small amount credit; bring into play proper function of loan officer in small amount credit practice; widely promote rural "Group Credit Union" system.展开更多
Convertible bond gives holder the right to choose a conversion strategy to maximize the bond value, and issuer also has the right to minimize the bond value in order to maximize equity value. When there is default occ...Convertible bond gives holder the right to choose a conversion strategy to maximize the bond value, and issuer also has the right to minimize the bond value in order to maximize equity value. When there is default occurring, conversion and calling strategies are invalid. In the framework of reduced form model, we reduce the price of convertible bond to variational inequalities, and the coefficients of variational inequalities are unbounded at the original point. Then the existence and uniqueness of variational inequality are proven. Finally, we prove that the conversion area, the calling area and the holding area are connected subsets of the state space.展开更多
Why do households use different types of loans?Which factors cause borrowers to default?Using a comprehensive survey dataset from Chile,I estimate a partial information model of consumer debt access,lender choice,loan...Why do households use different types of loans?Which factors cause borrowers to default?Using a comprehensive survey dataset from Chile,I estimate a partial information model of consumer debt access,lender choice,loan amount and default.The model consists of a first-stage multinomial logit that explains the choice across the five loan types,plus the options of no access to debt due to credit constraints and a no wish for consumer debt.In the second and third stages,the model assumes a log-linear regression of the debt amount and a logit regression of the default behavior,accounting for the loan type selection probability.Identification is obtained using factors measured at different time periods for the default and the loan type choices.I find that households choose different lenders based on income,education and labor risks.Higher income and education decrease the probability of credit constraints,while increasing bank lending and debt amounts.Unemployment risk and household size increase the chances of all the loan types;however,unemployment decreases the debt amount.Age and wage volatility reduce the probability of all loans.Default decreases with income,education and age,whereas it increases with indebtedness,unemployment,household size,health shocks,and paying previous loans.Counterfactual exercises demonstrate that pension reform,higher requirements for borrowers’capacities,and financial literacy programs could substantially reduce default risk.Financial literacy could greatly reduce arrears,households with credit constraints,the number of debtors and the aggregate debt amounts,especially for non-bank lending.Highlights Chilean borrowers present heterogeneous adverse selection across lender types.No Debt Access decreases with income,age,education,but it increases with risk.Default is associated with income,unemployment,indebtedness and demographics.Paying past loans and health needs are associated with indebtedness and default.Financial literacy programs may be a powerful policy to improve the debt market.展开更多
KMV model is one of the most important credit risk evaluation models in the world. It uses B-S option pricing and Morton formula based on the market value and volatility of the company’s equity, debt maturities, risk...KMV model is one of the most important credit risk evaluation models in the world. It uses B-S option pricing and Morton formula based on the market value and volatility of the company’s equity, debt maturities, risk-free interest rates and the book value of liabilities to estimate the market value of the company’s assets and the volatility of the asset value. In this paper, based on the theory of KMV model, we can derive the listed company’s default rate, and assess credit risk. And the result is reasonable.展开更多
The main objective of this study is to determine a lease agreement to finance an investment project and a solution for managing credit risk.This study investigates three types of contingent leases to reduce the costs ...The main objective of this study is to determine a lease agreement to finance an investment project and a solution for managing credit risk.This study investigates three types of contingent leases to reduce the costs associated with bankruptcy and compensate for the lessor’s position.A leasing defaultable contract allows the lessor to obtain the rent that will be recovered if the lessee defaults.A leasing convertible contract can be automatically converted into shares when certain default conditions related to the cash flows generated by the firm are met.These conditions are triggered by the ratio of the firm’s value and leasing payments.A Defaultable-Convertible-Leasing contract with a payback option grants the lessor the right but not the obligation to convert the remaining lease payments into stocks or to break up the contract and pick up the rented equipment when the firm reaches the default threshold.These contracts are motivated by contributing to the range of risk-management strategies by adding more flexibility to standard leasing contracts and contingent rents.Closed-form securities pricing solutions are set forward in a dynamic model for firms with existing assets and a growth option financed by shares and a contingent lease.Risk-neutral pricing theory and the backward induction method are used to determine the pricing of corporate securities.Numerical analysis shows that leasing convertible contracts and defaultable-convertible contracts with payback options impact the service value of the leased asset,maturity,and inefficiencies resulting from insolvency and asset substitution.An optimal conversion rate reduces inefficiencies,thus making the leasing convertible contract and defaultable-convertible-leasing contract with payback option a reliable solution to ensure business continuity and loss coverage of the leasers upon default.展开更多
To investigate the impact of microstructure interdependency of a counterparty explicitly, a geometric function is introduced in one firm's default intensity to reflect the attenuation behavior of the impact of its...To investigate the impact of microstructure interdependency of a counterparty explicitly, a geometric function is introduced in one firm's default intensity to reflect the attenuation behavior of the impact of its counterparty firm's default. The general joint distribution and marginal distributions of default times are derived by employing the change of measure. The fair premium of a vanilla CDS (credit default swap) is obtained in continuous and discrete contexts, respectively. The swap premium in a discrete context is similar to the accumulated interest during the period between two payment days, and the short rate is the swap rate in a continuous context.展开更多
基金The National Natural Science Foundation of China (No.70502005)
文摘To solve the problem of setting threshold default risk criterion to select retailer eligible for trade credit granting, a novel method of solving simultaneous equations is proposed. This method is based on the bilevel programming modeling of trade credit decisions as an interaction between supplier and retailer. First, the bilevel programming is set up where the supplier decides on credit terms at the top level considering a retailer's default risk, and the retailer determines the order quantity at the lower level in response to the credit terms offered. By solving this bilevel programming, the relationship between the optimal terms and the corresponding default risk can be derived. Second, set the extreme scenario where the threshold default risk is approached as the point causing a zero marginal profit to the supplier. Another equation describing this particular scenario can also be derived. Thus, a system of two equations with two unknown variables can be obtained where the exact threshold default risk criterion can be found by solving them. A numerical example is presented as an illustration of the method proposed. It shows that the threshold criterion can be uniquely determined when the financial costs, inventory costs, and the marketing parameters of supplier and buyer are specified.
文摘In Lebanon, as in some countries, the major financial institutions in the economy experienced by the country in the aftermath of independence were banks and insurance companies. However, the operation of these financial institutions obeys to some requirements that are not often likely to allow economic agents with low purchasing power to obtain the necessary funds to finance their production activities. Microfinance therefore comes in as the beginning of seeking effective market oriented solutions to the provision of substantial and effective financial resource for poor groups of people who do not have access to financial service from formal government and private financial institution. Microfinance Institutions （MFIs） are created for a social and sometimes non-profit objective. In Lebanon, many limitations hinder the development of MFIs including the lack of regulations, economic conditions, insecurity, political conflict, financial resources, and the risk of interest rates. Microfinance in Lebanon saw the light during the 1975-1990 Civil War through programs of charitable and community organizations, and really started to develop only in the second half of the 1990s. Capping interest rates may affect the access of poor people to financial services. The problem is that the granting of very small loans involves inevitably higher administrative costs than those offered by traditional bank loans. Therefore, MFIs that seek profitability should have higher interest rates than those charged by traditional banks. By providing money to poor people, how do MFIs in Lebanon reduce the credit risk？ This theme＇s treatment requires a qualitative analysis development. Indeed, after the selection of a representative sample, semi-structured interviews were done with the MFIs managers, and several researches done on this topic were analyzed. The data obtained from the above are treated by the triangulation of different data and the interviews analysis by the method of discourse content analysis. In addition, a literature review was done through scientific journals, books, newspapers, and websites.
文摘In recent years, a lot of corporate defaults have had an impact on the capital market. How to prevent corporate default risks has become an important topic of concern for the academic community, enterprises and the government. We took China’s A-share listed companies from 2012 to 2018 as a sample, and used the double difference method to analyze the impact of supply-side structural reforms on corporate default risks. We found that supply-side structural reforms have reduced the risk of corporate default, and the inhibitory effect has gradually increased. In the relationship between supply-side structural reforms and corporate default risks, corporate financing capabilities have played an intermediary role. Supply-side structural reforms can improve the company’s endogenous financing capabilities, thereby reducing the risk of corporate default. However, we also found that the mediating effect of a company’s exogenous financing capability is not significant. At the same time, the regression results show that the digital economy can play a regulatory role. It can not only actively regulate the relationship between supply-side structural reforms and corporate default risks, but also mediate the mediating effect of corporate endogenous financing capabilities. The results of this article provide some evidence for the synergy between supply-side structural reforms and the digital economy.
文摘In the process of production and operation,the funds held by enterprises often do not meet the needs of the expanding production scale,so enterprises usually obtain the required funds by borrowing.However,the financing mode of enterprises is not only limited to borrowing from banks or other financial institutions.With the rapid economic development and the continuous activity of the capital market,the bond market has gradually become an important channel for enterprise financing⑴,In order to improve the layout of the industrial chain,Guangyi Technology has carried out continuous mergers and acquisitions(M&A)since 2013.Due to its limited funds,Guangyi Technology acquired a large amount of funds required for M&A by means of equity pledge.However,the copyright cloud project invested in M&A in the early stage did not achieve the expected results,leading to a frequent breach of equity pledge,which evolved into debt defaults.Therefore,this article takes Guangyi Technology as the research subject and puts forward relevant avoidance suggestions through the evaluation of its debt default risk.
文摘This paper provides a methodology for valuing a credit default swap (CDS) with considering a counterparty default risk. Using a structural framework, we study the correlation of the reference entity and the counterparty through the joint distribution of them. The default event discussed in our model is associated to whether the minimum value of the companies in stochastic processes has reached their thresholds (default barriers). The joint probability of minimums of correlated Brownian motions solves the backward Kolmogorov equation, which is a two dimensional partial differential equation. A closed pricing formula is obtained. Numerical methodology, parameter analysis and calculation examples are implemented.
基金support from the Central University Basic Scientific Research Business Expenses Special Funds(No.20720231050).
文摘Low interest rates are a prominent feature of China's current financial landscape.Using panel data on Chinese listed companies from 2016 to 2023 and a difference-in-differences model,this study showed that low interest rates can exacerbate corporate default risk,particularly among highly leveraged,highly financialized,and zombie firms.In such an environment,firms hold less cash and display higher levels of excessive debt and overinvestment,both of which can increase default risk significantly.The study further examined the role of macro-prudential policies in mitigating risks arising from accommodative monetary policy and confirmed the effectiveness of regulation targeting the lending supply side.These findings provide empirical evidence of the adverse effects of China's low interest rate environment and offer insights into the development of enterprise risks and the implementation of preventive measures.
文摘China has moved rapidly from a socialist planned economy to a market economy.As a result,many enterprises in China are seeking talented top management to increase their performance and decrease their default risk.Studies abound regarding top management turnover and its relationship with firm performance,however,few studies have connected top management turnover with firm default risk.In China,a market with extensive financial fraud,firm default risk is an important factor and thus we explore this relationship in the Chinese securities market.Our results indicate that firms with higher default risk are more likely to change their top management in the next financial reporting period.In addition,following changes in top management,such firms default less than other companies.
文摘As the COVID-19 pandemic adversely affects the financial markets,a better understanding of the lending dynamics of a successful marketplace is necessary under the conditions of financial distress.Using the loan book database of Mintos(Latvia)and employing logit regression method,we provide evidence of the pandemic-induced exposure to default risk in the marketplace lending market.Our analysis indicates that the probability of default increases from 0.056 in the pre-pandemic period to 0.079 in the post-pandemic period.COVID-19 pandemic has a significant impact on default risk during May and June of 2020.We also find that the magnitude of the impact of COVID-19 risk is higher for borrowers with lower credit ratings and in countries with low levels of FinTech adoption.Our main findings are robust to sample selection bias allowing for a better understanding of and quantifying risks related to FinTech loans during the pandemic and periods of overall economic distress.
基金This project is supported by National Natural Science Foundation of China （70440011） and Natural Science Found of Beijing （1052007）.
文摘In this paper we use a binomial tree to price convertible bond with default risk. A new way about pricing convertible bonds is proposed, which belongs to the deduced form approach. Firstly an inhomogeneous Possion process is used to describe default event and definition of default time. Secondly we combine the stock binomial tree with default intensity and obtain a new tree, then convertible bonds are priced according to the combined tree. It is worth pointing out that the model have following characters： simple, intuitive and having the strong ability to combine other items in convertible bonds＇ indenture.
基金the National Natural Science Foundation of China(No.11271259)the China Postdoctoral Science Foundation(No.2014M551297)+1 种基金the Innovation Program of Shanghai Municipal Education Commission(No.13YZ125)the Funding Scheme for Training Young Teachers in Shanghai Colleges(No.ZZshjr12010)
文摘This paper mainly studies the pricing of credit default swap(CDS) with the loan as the reference asset,and gives a model based on the obtained conclusions. In the contract of CDS, we consider that the default of the protection's seller is correlated with the stochastic interest rate following Vasicek model and the default state of the reference firm. We give the pricing formula of CDS and analyze the effect of the contagious risk between the counterparties on the pricing of CDS.
基金Supported by the Project for Decision-making Bidding of Henan Provincial Government (2011B546)
文摘Through analysis, it is believed that major reasons for default risks in operation of small amount credit include low management level and vacancy of normative system, vacancy of risk sharing mechanism, rating distortion due to imperfect credit investigation system, and uncertainty of borrower's credit. On the basis of these, static and dynamic models are established to analyze the prevention mechanism for default risk in small amount credit. It is concluded that we must establish a restriction mechanism during operation of small amount credit as long as three values increase, namely, N (potential loss of bad credit record due to farmers' default), Q (probability of successful recovery by small amount credit institution), and S (cost of small amount credit institution punishing farmers after successful recovery). Finally, following countermeasures and suggestions are put forward: perfect laws and regulations and credit reward and punishment mechanism for risk management of small amount credit; bring into play proper function of loan officer in small amount credit practice; widely promote rural "Group Credit Union" system.
基金Supported by the NNSF of China (10671144)NBRP of China (2007CB814903)
文摘Convertible bond gives holder the right to choose a conversion strategy to maximize the bond value, and issuer also has the right to minimize the bond value in order to maximize equity value. When there is default occurring, conversion and calling strategies are invalid. In the framework of reduced form model, we reduce the price of convertible bond to variational inequalities, and the coefficients of variational inequalities are unbounded at the original point. Then the existence and uniqueness of variational inequality are proven. Finally, we prove that the conversion area, the calling area and the holding area are connected subsets of the state space.
文摘Why do households use different types of loans?Which factors cause borrowers to default?Using a comprehensive survey dataset from Chile,I estimate a partial information model of consumer debt access,lender choice,loan amount and default.The model consists of a first-stage multinomial logit that explains the choice across the five loan types,plus the options of no access to debt due to credit constraints and a no wish for consumer debt.In the second and third stages,the model assumes a log-linear regression of the debt amount and a logit regression of the default behavior,accounting for the loan type selection probability.Identification is obtained using factors measured at different time periods for the default and the loan type choices.I find that households choose different lenders based on income,education and labor risks.Higher income and education decrease the probability of credit constraints,while increasing bank lending and debt amounts.Unemployment risk and household size increase the chances of all the loan types;however,unemployment decreases the debt amount.Age and wage volatility reduce the probability of all loans.Default decreases with income,education and age,whereas it increases with indebtedness,unemployment,household size,health shocks,and paying previous loans.Counterfactual exercises demonstrate that pension reform,higher requirements for borrowers’capacities,and financial literacy programs could substantially reduce default risk.Financial literacy could greatly reduce arrears,households with credit constraints,the number of debtors and the aggregate debt amounts,especially for non-bank lending.Highlights Chilean borrowers present heterogeneous adverse selection across lender types.No Debt Access decreases with income,age,education,but it increases with risk.Default is associated with income,unemployment,indebtedness and demographics.Paying past loans and health needs are associated with indebtedness and default.Financial literacy programs may be a powerful policy to improve the debt market.
文摘KMV model is one of the most important credit risk evaluation models in the world. It uses B-S option pricing and Morton formula based on the market value and volatility of the company’s equity, debt maturities, risk-free interest rates and the book value of liabilities to estimate the market value of the company’s assets and the volatility of the asset value. In this paper, based on the theory of KMV model, we can derive the listed company’s default rate, and assess credit risk. And the result is reasonable.
文摘The main objective of this study is to determine a lease agreement to finance an investment project and a solution for managing credit risk.This study investigates three types of contingent leases to reduce the costs associated with bankruptcy and compensate for the lessor’s position.A leasing defaultable contract allows the lessor to obtain the rent that will be recovered if the lessee defaults.A leasing convertible contract can be automatically converted into shares when certain default conditions related to the cash flows generated by the firm are met.These conditions are triggered by the ratio of the firm’s value and leasing payments.A Defaultable-Convertible-Leasing contract with a payback option grants the lessor the right but not the obligation to convert the remaining lease payments into stocks or to break up the contract and pick up the rented equipment when the firm reaches the default threshold.These contracts are motivated by contributing to the range of risk-management strategies by adding more flexibility to standard leasing contracts and contingent rents.Closed-form securities pricing solutions are set forward in a dynamic model for firms with existing assets and a growth option financed by shares and a contingent lease.Risk-neutral pricing theory and the backward induction method are used to determine the pricing of corporate securities.Numerical analysis shows that leasing convertible contracts and defaultable-convertible contracts with payback options impact the service value of the leased asset,maturity,and inefficiencies resulting from insolvency and asset substitution.An optimal conversion rate reduces inefficiencies,thus making the leasing convertible contract and defaultable-convertible-leasing contract with payback option a reliable solution to ensure business continuity and loss coverage of the leasers upon default.
基金The National Basic Research Program of China (973 Program)(No.2007CB814903)the National Natural Science Foundationof China (No.70671069)
文摘To investigate the impact of microstructure interdependency of a counterparty explicitly, a geometric function is introduced in one firm's default intensity to reflect the attenuation behavior of the impact of its counterparty firm's default. The general joint distribution and marginal distributions of default times are derived by employing the change of measure. The fair premium of a vanilla CDS (credit default swap) is obtained in continuous and discrete contexts, respectively. The swap premium in a discrete context is similar to the accumulated interest during the period between two payment days, and the short rate is the swap rate in a continuous context.
