Internal Default Risk Model: Simulation of Default Times And Recovery Rates within the New FRTB Framework

2018 ◽  
Author(s):  
Andrea Bertagna ◽  
Deliu Dragos ◽  
Luca Lopez ◽  
Aldo Nassigh ◽  
Michele Pioppi ◽  
...  
Keyword(s):  
Default Risk ◽  
Risk Model ◽  
Model Simulation ◽  
Recovery Rates

The Bloomberg Corporate Default Risk Model (DRSK) for Public Firms

2021 ◽  
Author(s):  
Mario Bondioli ◽  
Martin Goldberg ◽  
Nan Hu ◽  
Chengrui Li ◽  
Olfa Maalaoui Chun ◽  
...  
Keyword(s):  
Default Risk ◽  
Risk Model ◽  
Public Firms ◽  
Corporate Default

The Bloomberg Corporate Default Risk Model (DRSK) for Private Firms

2021 ◽  
Author(s):  
Mario Bondioli ◽  
Martin Goldberg ◽  
Nan Hu ◽  
Chengrui Li ◽  
Olfa Maalaoui Chun ◽  
...  
Keyword(s):  
Default Risk ◽  
Risk Model ◽  
Private Firms ◽  
Corporate Default

scholarly journals Do mergers and acquisitions increase default risk? Evidence from the European market

2019 ◽  
Vol 3 (4) ◽  
pp. 7-51
Author(s):  
Wolfgang Bessler ◽  
Hidde Steenbeek ◽  
Wim Westerman
Keyword(s):  
Mergers And Acquisitions ◽  
Capital Market ◽  
Default Risk ◽  
Risk Model ◽  
Abnormal Returns ◽  
The United States ◽  
Data Set ◽  
Jel Codes ◽  
Valuation Effects ◽  
Potential Risks

Aim: In this study, we examine the changes in default risk of the bidder over the course of a merger or acquisition. The data set consists of 531 deals in which the acquirers are European firms. We employ a general set of determinants to analyse the change in default risk and extend the literature by providing new empirical evidence for the European capital market. Research design: Abnormal returns are analysed to provide preliminary insights into the merger induced valuation effects. All hypothesized relationships on the changes in default risk are tested via a regression analysis. We differentiate these results further by analysing which factors determine the increase in default risk. Findings: Previous research on this issue reported mixed results. The main finding of our empirical analysis is that, on average, mergers and acquisitions of European bidders significantly increase default risk during the post-merger period. Originality: This study adds to the mergers and acquisitions literature for European bidders and targets. The empirical findings suggest that some observed relationships and determinants are different in Europe than in the United States. Implications: This research introduces a default risk model that could be applied to predict bidder performance subsequent to a merger or acquisition by analysing possible changes in default risk of the bidder. It also provides some possible explanations for the average increase in default risk. This study may help practitioners to better assess the potential risks when acquiring other firms. Key words: mergers & acquisitions, abnormal returns, default risk, Europe JEL Codes: G32, G34

scholarly journals Modeling the Formation Mechanism of Food Safety Risk in Catering O2O Distribution Link

2021 ◽  
Vol 2021 ◽  
pp. 1-9
Author(s):  
Ting Wu ◽  
Yilei Pei ◽  
Dandan Li ◽  
Peng Su
Keyword(s):  
Food Safety ◽  
System Dynamics ◽  
Formation Mechanism ◽  
Evaluation System ◽  
Risk Model ◽  
Model Simulation ◽  
Risk Index ◽  
Flow Diagram ◽  
Safety Risk ◽  
Food Safety Risk

This paper aims to solve the problem of food safety in catering O2O distribution link. We applied the system dynamics method to model the formation mechanism of food safety risk in the distribution link. The results of our experiment include identifying the risk factors that may be faced by food safety in the distribution link from five perspectives: O2O catering enterprise’s own risk, logistics distribution team’s distribution risk, O2O catering platform supervision risk, user-supervision risk, and government department supervision risk, and establishing a risk index evaluation system based on the Analytic Hierarchy Process. With the help of the system dynamics model, the corresponding risk formation mechanism system model flow diagram is established, and the model simulation analysis is carried out. Through this research, we concluded that we can use the risk model to understand the risks faced by different subjects so as to make targeted countermeasures.

scholarly journals The Determinants of Market-Implied Recovery Rates

Risks ◽  
2019 ◽  
Vol 7 (2) ◽  
pp. 57
Author(s):  
Pascal François
Keyword(s):  
Risk Model ◽  
Credit Default Swap ◽  
Random Variable ◽  
Recovery Rates ◽  
Macroeconomic Factors ◽  
Financial Variables ◽  
Explanatory Factors ◽  
Term Structures ◽  
Credit Default ◽  
Market Factors

In the presence of recovery risk, the recovery rate is a random variable whose risk-neutral expectation can be inferred from the prices of defaultable instruments. I extract market-implied recovery rates from the term structures of credit default swap spreads for a sample of 497 United States (U.S.) corporate issuers over the 2005–2014 period. I analyze the explanatory factors of market-implied recovery rates within a linear regression framework and also within a Tobit model, and I compare them with the determinants of historical recovery rates that were previously identified in the literature. In contrast to their historical counterparts, market-implied recovery rates are mostly driven by macroeconomic factors and long-term, issuer-specific variables. Short-term financial variables and industry conditions significantly impact the slope of market-implied recovery rates. These results indicate that the design of a recovery risk model should be based on specific market factors, not on the statistical evidence that is provided by historical recovery rates.

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