Credit Ratings in Structured Finance and the Role of Systemic Risk

2010 ◽  
Author(s):  
Roberto Violi
Keyword(s):  
Systemic Risk ◽  
Credit Ratings ◽  
Structured Finance

Uncertain Meanings of Risk

2018 ◽  
Author(s):  
Natalia Besedovsky
Keyword(s):  
Financial Markets ◽  
Credit Rating ◽  
Traditional Approach ◽  
Credit Ratings ◽  
Assessment Practices ◽  
Structured Finance ◽  
Rating Agencies ◽  
Measures Of Risk ◽  
Methodological Approaches ◽  
Ontological Uncertainty

This chapter studies calculative risk-assessment practices in credit rating agencies. It identifies two fundamentally different methodological approaches for producing ratings, which in turn shape the respective conceptions of credit risk. The traditional approach sees ‘risk’ as an only partially calculable and predictable set of hazards that should be avoided or minimized. This approach is particularly evident in the production of country credit ratings and gives rise to ordinal rankings of risk. By contrast, structured finance rating practices conceive of ‘risk’ as both fully calculable and controllable; they construct cardinal measures of risk by assuming that ontological uncertainty does not exist and that models can capture all possible events in a probabilistic manner. This assumption—that uncertainty can be turned into measurable risk—is a necessary precondition for structured finance securities and has become an influential imaginary in financial markets.

scholarly journals How creditor rights affect the issuance of public debt: The role of credit ratings

2018 ◽  
Vol 39 ◽  
pp. 133-143 ◽  
Author(s):  
Xian Gu ◽  
Padma Kadiyala ◽  
Xin Wu Mahaney-Walter
Keyword(s):  
Public Debt ◽  
Credit Ratings ◽  
Creditor Rights

Atherosclerosis at arterial bifurcations: evidence for the role of haemodynamics and geometry

2016 ◽  
Vol 115 (03) ◽  
pp. 484-492 ◽  
Author(s):  
Umberto Morbiducci ◽  
Annette M. Kok ◽  
Brenda R. Kwak ◽  
Peter H. Stone ◽  
David A. Steinman ◽  
...  
Keyword(s):  
Risk Factors ◽  
Shear Stress ◽  
Systemic Risk ◽  
Biological Response ◽  
Arterial System ◽  
Ample Evidence ◽  
Fluid Forces ◽  
Flow Features ◽  
Systemic Risk Factors

SummaryAtherosclerotic plaques are found at distinct locations in the arterial system, despite the exposure to systemic risk factors of the entire vascular tree. From the study of arterial bifurcation regions, emerges ample evidence that haemodynamics are involved in the local onset and progression of the atherosclerotic disease. This observed co-localisation of disturbed flow regions and lesion prevalence at geometrically predisposed districts such as arterial bifurcations has led to the formulation of a ‘haemodynamic hypothesis’, that in this review is grounded to the most current research concerning localising factors of vascular disease. In particular, this review focuses on carotid and coronary bifurcations because of their primary relevance to stroke and heart attack. We highlight reported relationships between atherosclerotic plaque location, progression and composition, and fluid forces at vessel’s wall, in particular shear stress and its ‘easier-tomeasure’ surrogates, i.e. vascular geometric attributes (because geometry shapes the flow) and intravascular flow features (because they mediate disturbed shear stress), in order to give more insight in plaque initiation and destabilisation. Analogous to Virchow’s triad for thrombosis, atherosclerosis must be thought of as subject to a triad of, and especially interactions among, haemodynamic forces, systemic risk factors, and the biological response of the wall.

CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK

2013 ◽  
Vol 16 (07) ◽  
pp. 1350039 ◽  
Author(s):  
CYRIL DURAND ◽  
MAREK RUTKOWSKI
Keyword(s):  
Comparative Analysis ◽  
Systemic Risk ◽  
General Framework ◽  
Practical Importance ◽  
Numerical Results ◽  
Counterparty Risk ◽  
Market Environment ◽  
Financial Contracts

We propose a fairly general framework which allows one to perform Credit Value Adjustment (CVA) computations for a contract with bilateral counterparty risk in the presence of (a) systemic risk and (b) wrong-way or right-way risks. Our methodology focuses on the role of alternative settlement clauses, but it also aims to cover various features of margin agreements. We present a comparative analysis of numerical results that supports our initial conjecture that alternative specifications of settlement values have a nonnegligible impact on CVA computations for contracts with bilateral counterparty risk. Our conclusions emphasize the practical importance of more sophisticated models that are capable of fully reflecting the actual features of financial contracts, as well as the influence of the market environment.

scholarly journals The role of sovereign credit ratings in fiscal discipline

2016 ◽  
Vol 27 ◽  
pp. 197-216 ◽  
Author(s):  
Meryem Duygun ◽  
Huseyin Ozturk ◽  
Mohamed Shaban
Keyword(s):  
Credit Ratings ◽  
Fiscal Discipline ◽  
Sovereign Credit ◽  
Sovereign Credit Ratings

scholarly journals MENGUKUR RISIKO SISTEMIK DAN KETERKAITAN FINANSIAL PERBANKAN DI INDONESIA

2014 ◽  
Vol 16 (2) ◽  
pp. 103-125 ◽  
Author(s):  
Sri Ayomi ◽  
Bambang Hermanto
Keyword(s):  
At Risk ◽  
Systemic Risk ◽  
Value At Risk ◽  
Jel Classification ◽  
Conditional Value At Risk ◽  
Probability Of Default ◽  
Insolvency Risk ◽  
Merton Model ◽  
Risk Probability

This paper measures the insolvency risk of bank in Indonesia. We apply Merton model to identify the probability of defaul tover 30 banks during the period of 2002-2013. This paper also identify role of financial linkage a cross banks on transmitting from one bank to another; which enable us to assess if the risk is systemic or not. The results showed the larger total asset of the bank, the larger they contribute to systemic risk. Keywords : Conditional Value at Risk; Probability of Default; systemic risk and financial linkages;Value at Risk. JEL Classification: D81, G21, G33

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