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- Universidade Federal do Rio Grande do Sul
- Instituto Superior de Economia e Gestão
- Massachusetts Institute of Technology Press
- The University of Chicago
- Banco Mundial
- World Bank, Washington, DC
- World Bank Group, Washington, DC
- Washington, DC: World Bank
- Washington, DC: World Bank
- Massachusetts Institute of Technology
- Universidade Cornell
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Defaults externos e internos quando e por que acontecem : uma análise dos casos brasileiros de 1983 e 1990
Fonte: Universidade Federal do Rio Grande do Sul
Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Trabalho de Conclusão de Curso
Formato: application/pdf
POR
Relevância na Pesquisa
37.02%
#Crise financeira#Financial crisis#Política financeira#Defaults#Crescimento econômico#Brazilian economy#Brasil
O presente trabalho tem o objetivo de estudar as razões da ocorrência de tantas crises de endividamento ao longo da história. Para tal análise serão observados os fatores comuns que ocorrem nas economias antes e depois de efetuarem um default na sua dívida soberana. Em seguida será traçado um paralelo para verificar se esses fatores comuns estavam presentes na conjuntura econômica brasileira nos episódios de default externo e interno selecionados.; The purpose of this paper is to study the reasons for the occurrence of so many debt crisis throughout history. To analyze this it will be observed the common factors that occurs in the economies before and after they default on their sovereign debts. Then a link will be traced to check if these common factors were present in the Brazilian economy in the selected episodes of internal and external defaults.
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Copulas and defaults within a crisis
Fonte: Instituto Superior de Economia e Gestão
Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em /05/2010
ENG
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27.5%
#Crisis#Copula#Default#Dependency#CDS spreads#ARMA-GARCH#Crise#Copula#Default#Dependencia#CDS spreads
Mestrado em Matemática Financeira; In the aftermath of the subprime crisis, the main purpose of this thesis is to as-sess the default dependency among firms, studying the case of four US financial institutions in two periods of time: before and during the crisis. The methodology followed is based on conditional copula models, which provides a set of global and tail dependency measures, beyond the linear correlation widely misused in financial problems. For this purpose, we use CDS (credit default swap) data to estimate the copulas, that are assumed to be a proxy for default closeness, as they reflect the credit risk of the institutions. As far as we know, this is a novelty of the present analysis. The usual practice is to use equity returns, which are incomplete and more indirect indicators of defaults. The procedures are carried out in two steps. First, we model the individual dynamics for defaults closeness, by using ARMA-GARCH specifications applied to CDS spreads variations and assuming t-distributed innova¬tions (to capture the extreme observations). Then, we fit a set of copula functions to the standardised residuals of the marginal distributions. The best specifications for the characterisation of the dependency structure are different for the two sub-periods analysed...
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Optimal Defaults and Active Decisions*
Fonte: PubMed
Publicador: PubMed
Tipo: Artigo de Revista Científica
Publicado em 01/11/2009
EN
Relevância na Pesquisa
27.02%
Defaults often have a large influence on consumer decisions. We identify an overlooked but practical alternative to defaults: requiring individuals to make an explicit choice for themselves. We study such “active decisions” in the context of 401(k) saving. We find that compelling new hires to make active decisions about 401(k) enrollment raises the initial fraction that enroll by 28 percentage points relative to a standard opt-in enrollment procedure, producing a savings distribution three months after hire that would take 30 months to achieve under standard enrollment. We also present a model of 401(k) enrollment and derive conditions under which the optimal enrollment regime is automatic enrollment (i.e., default enrollment), standard enrollment (i.e., default non-enrollment), or active decisions (i.e., no default and compulsory choice). Active decisions are optimal when consumers have a strong propensity to procrastinate and savings preferences are highly heterogeneous. Financial illiteracy, however, favors default enrollment over active decision enrollment.
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Optimal Defaults in the Prevention of Pediatric Obesity: From Platform to Practice
Fonte: PubMed
Publicador: PubMed
Tipo: Artigo de Revista Científica
EN
Relevância na Pesquisa
27.18%
The term “optimal defaults” refers to imparting pre-selected choices which are designed to produce a desired behavior change. The concept is attractive to policymakers because it steers people toward desirable behaviors while preserving free choice through the ability to opt out. It has been found to be a powerful behavioral determinant in areas such as pension plan enrollment, organ donation, and green energy utilization. We discuss how optimal defaults can be applied to pediatric obesity prevention in several domains including public policy, institutional, private sector, and home environment. Although there are obstacles to overcome in implementing optimal defaults, it is a promising component to incorporate in a multi-level strategy for preventing pediatric obesity.
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Optimal Defaults and Active Decisions
Fonte: Massachusetts Institute of Technology Press
Publicador: Massachusetts Institute of Technology Press
Tipo: Artigo de Revista Científica
EN_US
Relevância na Pesquisa
27.02%
Defaults often have a large influence on consumer decisions. We identify an overlooked but practical alternative to defaults: requiring individuals to make an explicit choice for themselves. We study such “active decisions” in the context of 401(k) saving. We find that compelling new hires to make active decisions about 401(k) enrollment
raises the initial fraction that enroll by 28 percentage points relative to a standard opt-in enrollment procedure, producing a savings distribution three months after hire that would take 30 months to achieve under standard enrollment. We also present a model of 401(k) enrollment and derive conditions under which the optimal enrollment
regime is automatic enrollment (i.e., default enrollment), standard enrollment (i.e., default non-enrollment), or active decisions (i.e., no default and compulsory choice). Active decisions are optimal when consumers have a strong propensity to procrastinate and savings preferences are highly heterogeneous. Financial illiteracy, however, favors default enrollment over active decision enrollment.; Economics
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When Nudges Fail: Slippery Defaults
Fonte: The University of Chicago
Publicador: The University of Chicago
Tipo: Artigo de Revista Científica
EN_US
Relevância na Pesquisa
27.42%
Inspired by the success of “automatic enrollment” in increasing participation in defined contribution retirement savings plans, policymakers have put similar policy defaults in place in a variety of other contexts, from checking account overdraft coverage to home-mortgage escrows. Internet privacy appears poised to be the next arena. But how broadly applicable are the results obtained in the retirement savings context? Evidence from other contexts indicates two problems with this approach: the defaults put in place by the law are not always sticky, and the people who opt out may be those who would benefit the most from the default. Examining the new default for consumer checking account overdraft coverage reveals that firms can systematically undermine each of the mechanisms that might otherwise operate to make defaults sticky. Comparing the retirement-savings default to the overdraft default, four boundary conditions on the use of defaults as a policy tool are apparent: policy defaults will not be sticky when (1) motivated firms oppose them, (2) these firms have access to the consumer, (3) consumers find the decision environment confusing, and (4) consumer preferences are uncertain. Due to constitutional and institutional constraints...
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Unpleasant Surprises : Sovereign Default Determinants and Prospects
Fonte: Banco Mundial
Publicador: Banco Mundial
Relevância na Pesquisa
27.02%
#AVERAGING#BENCHMARK#BOND#BUFFER#CAPITAL CONTROL#CHECKS#CHOICE#CONTROL VARIABLES#CORRUPTION#CURRENCY#CURRENCY CRISES
This paper uses model averaging
techniques to identify robust predictors of sovereign
default episodes on a pooled database for 46 emerging
economies over the period 1980-2004. Sovereign default
episodes are defined according to Standard & Poor s or
by non-concessional International Monetary Fund loans in
excess of 100 percent of the country s quota. The authors
find that, in addition to the level of indebtedness, the
quality of policies and institutions is the best predictor
of default episodes in emerging market countries with
relatively low levels of external debt. For emerging market
countries with a higher level of debt, macroeconomic
stability plays a robust role in explaining differences in
default probabilities. The paper provides evidence that
model averaging can improve out-of-sample prediction of
sovereign defaults, and draws policy conclusions for the
current crisis based on the results.
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Sovereign Defaults and Expropriations : Empirical Regularities
Fonte: World Bank, Washington, DC
Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
37.47%
#AFFILIATED ORGANIZATIONS#ARREARS#ARREARS ACCUMULATION#ASSETS#BANK BORROWERS#BILATERAL CREDITORS#BONDHOLDERS#BREACH OF CONTRACT#CAPITAL MARKETS#CASE OF DEFAULT#CASE OF DEFAULTS
This paper uses a large cross-country
dataset to empirically examine factors associated with
sovereign defaults on external private creditors and
expropriation of foreign direct investments in developing
countries since the 1970s. In the long run, sovereign
defaults and expropriations are likely to occur in the same
countries. In the short run, however, these events are
uncorrelated. Defaults are more likely to occur following
periods of rapid debt accumulation, when growth is low, and
in countries with weak policy performance, and defaults are
not strongly persistent over time. In contrast,
expropriations are not systematically related to the level
of foreign direct investment, to growth, or to policy
performance. Expropriations are however less likely under
right-wing governments, and are strongly persistent over
time. There is also little evidence that a history of recent
defaults is associated with expropriations, and vice versa.
The paper discusses the implications of these findings for
models that emphasize retaliation as means for sustaining
sovereign borrowing and foreign investment in equilibrium...
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The Economic Effects of a Borrower Bailout : Evidence from an Emerging Market
Fonte: World Bank Group, Washington, DC
Publicador: World Bank Group, Washington, DC
EN_US
Relevância na Pesquisa
27.18%
#ACCESS TO CREDIT#ACCESS TO EXTERNAL FINANCE#ACCOUNTING#ADMINISTRATIVE BODY#AFFORDABILITY#AGRICULTURAL CREDIT#AGRICULTURAL DEBT#AGRICULTURAL LOANS#AGRICULTURAL SECTOR#AGRICULTURE#ALLOCATION OF CREDIT
This paper studies the credit market
implications and real effects of one the largest borrower
bailout programs in history, enacted by the government of
India against the backdrop of the 2008-2009 financial
crisis. The study finds that the stimulus program had no
effect on productivity, wages, or consumption, but led to
significant changes in credit allocation and an increase in
defaults. Post-program loan performance declines faster in
districts with greater exposure to the program, an effect
that is not driven by greater risk-taking of banks. Loan
defaults become significantly more sensitive to the
electoral cycle after the program, suggesting the
anticipation of future credit market interventions as an
important channel through which moral hazard in loan
repayment is intensified.
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Microfinance Investors Adjust Strategy in Tougher Market Conditions
Fonte: Washington, DC: World Bank
Publicador: Washington, DC: World Bank
Tipo: Publications & Research :: Brief; Publications & Research
ENGLISH
Relevância na Pesquisa
27.02%
#ACCOUNTING#ASSET GROWTH#ASSET MANAGEMENT#ASSET MANAGERS#BASIS POINTS#CAPITAL INVESTMENT#CASH HOLDINGS#COST STRUCTURE#DEBT#DEBT DEFAULTS#DEBT INVESTMENTS
Microfinance Investment Vehicles (MIVs)
in 2010 are confronting the most challenging investment
environment since the 1990s. Over the past two years,
microfinance investors witnessed a handful of debt defaults
and a major slowdown in demand for capital from microfinance
institutions (MFIs) a sharp contrast after the heady market
growth experienced in previous years. However, MIVs continue
to grow and earn positive returns. This brief presents the
major trends within the MIV sector to emerge from this
year's Consultative Group to Assist The Poorest (CGAP)
MIV survey, powered by Symbiotic. It also highlights the
growing commitment among MIVs to sound environment, social,
and governance (ESG) practices. The last section discusses
MIV challenges and prospects.
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Default, Currency Crises, and Sovereign Credit Ratings
Fonte: Washington, DC: World Bank
Publicador: Washington, DC: World Bank
Tipo: Journal Article; Publications & Research :: Journal Article; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
27.18%
#ARREARS#ASSET PRICE#BAILOUT#BAILOUTS#BALANCE SHEET#BANK DEBT#BANK FAILURES#BANKING CRISES#BOND#BONDHOLDERS#BUDGET DEFICIT
Sovereign credit ratings play an
important part in determining countries' access to
international capital markets and the terms of that access.
In principle, there is no reason to expect that sovereign
credit ratings should systematically predict currency
crises. In practice, in emerging market economies there is a
strong link between currency crises and default. Hence if
credit ratings are forward-looking and currency crises in
emerging market economies are linked to defaults, it follows
that downgrades in credit ratings should systematically
precede currency crises. This article presents results
suggesting that sovereign credit ratings systematically fail
to predict currency crises but do considerably better in
predicting defaults. Downgrades in credit ratings usually
follow currency crises, possibly suggesting that currency
instability increases the risk of default.
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Subnational Insolvency : Cross-Country Experiences and Lessons
Fonte: Banco Mundial
Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH
Relevância na Pesquisa
27.02%
#ABSOLUTE PRIORITY RULE#ALLOCATION OF CREDIT#APR#ARREARS#ASSETS#ASSETS FOR DISTRIBUTION#ASSETS IN BANKRUPTCY#BAILOUT#BAILOUTS#BANK FINANCING#BANK LOANS
Subnational insolvency is a reoccurring
event in development, as demonstrated by historical and
modern episodes of subnational defaults in both developed
and developing countries. Insolvency procedures become more
important as countries decentralize expenditure, taxation,
and borrowing, and broaden subnational credit markets. As
the first cross-country survey of procedures to resolve
subnational financial distress, this paper has particular
relevance for decentralizing countries. The authors explain
central features and variations of subnational insolvency
mechanisms across countries. They identify judicial,
administrative, and hybrid procedures, and show how entry
point and political factors drive their design. Like private
insolvency law, subnational insolvency procedures
predictably allocate default risk, while providing breathing
space for orderly debt restructuring and fiscal adjustment.
Policymakers' desire to mitigate the tension between
creditor rights and the need to maintain essential public
services...
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The Impact of Farm Credit in Pakistan
Fonte: World Bank, Washington, DC
Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper
EN_US
Relevância na Pesquisa
27.02%
#Agricultural development#Rural credit#Farm capital#Creditworthiness#Credit-based livelihood programs#Risk management#Loan defaults#Subsidized credits#Covariate risks#Cost-effectiveness#Landless laborers
Both formal, and informal loans matter in agriculture. But formal lenders provide much more in production lending, than do informal lenders, often at a higher cost than what they can recover. The Agricultural Development Bank of Pakistan (ADBP), for example, providing about 90 percent of formal loans in rural areas, incurs high costs on loan defaults. Like other governments, the Government of Pakistan subsidized the formal scheme on the grounds that lending to agriculture is a high-risk activity, because of covariate risk. Because farm credit schemes are subsidized, policymakers must know if these schemes are worth supporting. Using recent data from a large household survey from rural Pakistan, the authors estimate the cost-effectiveness of the ADBP loans. To estimate credit's impact, they use a two-stage method, which takes into account the endogeneity of borrowing. Clearly, formal lenders are biased toward larger farmers with collateral. Large landowners, who tend to represent only four percent of rural households, get 42 percent of formal loans. Landless, and subsistence farmers, who represent more than 69 percent of rural households, receive only 23 percent of formal loans. ADBP loans improve household welfare but, although large farmers receive most of ADBP finance...
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Default study of commercial mortgages in CMBS pools : an empirical analysis of defaults and loss severity; Default study of commercial mortgages in commercial mortgage backed securities pools
Fonte: Massachusetts Institute of Technology
Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado
Formato: 58, [11] leaves; 3416228 bytes; 3416031 bytes; application/pdf; application/pdf
ENG
Relevância na Pesquisa
27.02%
The commercial mortgage backed securities ("CMBS") market has become a major source of real estate financing over the last 10-12 years. The growth of this market has been accompanied by strong real estate fundamentals. Consequently the collateral in the CMBS pools has not seen a major real estate recession till now. The loss assumptions used by market participants is based on the experience of banks and insurance companies ("Portfolio Lenders"). As the underwriting criteria and the collateral quality in the CMBS market is markedly different than that of the Portfolio Lenders', it can be assumed that the loss experience is going to be different as well. The loss experience for a portfolio is determined by two main factors, the frequency of defaults (or delinquencies) in the pool and the actual severity of loss on the defaulted loans. Each defaulted loan in a pool represents loss severity and eventual yield degradation. As Real Estate is a lagging indicator, historically, every economic downturn has been followed by a surge in default rates. The recession of 2001-03, which appears to be no different from its predecessors, is also indicative of possible rising commercial mortgage default rates. With further alleviating political risks and no signs of economic recovery in sight...
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Multiple defaults and contagion risks
Fonte: Universidade Cornell
Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 16/12/2009
Relevância na Pesquisa
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We study multiple defaults where the global market information is modelled as
progressive enlargement of filtrations. We shall provide a general pricing
formula by establishing a relationship between the enlarged filtration and the
reference default-free filtration in the random measure framework. On each
default scenario, the formula can be interpreted as a Radon-Nikodym derivative
of random measures. The contagion risks are studied in the multi-defaults
setting where we consider the optimal investment problem in a contagion risk
model and show that the optimization can be effectuated in a recursive manner
with respect to the default-free filtration.
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Optimal investment under multiple defaults risk: A BSDE-decomposition approach
Fonte: Universidade Cornell
Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
27.02%
We study an optimal investment problem under contagion risk in a financial
model subject to multiple jumps and defaults. The global market information is
formulated as a progressive enlargement of a default-free Brownian filtration,
and the dependence of default times is modeled by a conditional density
hypothesis. In this Ito-jump process model, we give a decomposition of the
corresponding stochastic control problem into stochastic control problems in
the default-free filtration, which are determined in a backward induction. The
dynamic programming method leads to a backward recursive system of quadratic
backward stochastic differential equations (BSDEs) in Brownian filtration, and
our main result proves, under fairly general conditions, the existence and
uniqueness of a solution to this system, which characterizes explicitly the
value function and optimal strategies to the optimal investment problem. We
illustrate our solutions approach with some numerical tests emphasizing the
impact of default intensities, loss or gain at defaults and correlation between
assets. Beyond the financial problem, our decomposition approach provides a new
perspective for solving quadratic BSDEs with a finite number of jumps.; Comment: Published in at http://dx.doi.org/10.1214/11-AAP829 the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org)
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Graded Causation and Defaults
Fonte: Universidade Cornell
Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 04/09/2013
Relevância na Pesquisa
27.02%
Recent work in psychology and experimental philosophy has shown that
judgments of actual causation are often influenced by consideration of
defaults, typicality, and normality. A number of philosophers and computer
scientists have also suggested that an appeal to such factors can help deal
with problems facing existing accounts of actual causation. This paper develops
a flexible formal framework for incorporating defaults, typicality, and
normality into an account of actual causation. The resulting account takes
actual causation to be both graded and comparative. We then show how our
account would handle a number of standard cases.; Comment: To appear, British Journal for the Philosophy of Science
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Credit contagion and risk management with multiple non-ordered defaults
Fonte: Universidade Cornell
Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
27.02%
#Quantitative Finance - Risk Management#Mathematics - Probability#Quantitative Finance - Computational Finance
The classical reduced-form and filtration expansion framework in credit risk
is extended to the case of multiple, non-ordered defaults, assuming that
conditional densities of the default times exist. Intensities and pricing
formulas are derived, revealing how information driven default contagion arises
in these models. We then analyze the impact of ordering the default times
before expanding the filtration. While not important for pricing, the effect is
significant in the context of risk management, and becomes even more pronounced
for highly correlated and asymmetrically distributed defaults. Finally, we
provide a general scheme for constructing and simulating the default times,
given that a model for the conditional densities has been chosen.; Comment: This paper has been withdrawn by the authors because some of the main
results have significant overlap with others available in the literature
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Probabilistic Semantics and Defaults
Fonte: Universidade Cornell
Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 27/03/2013
Relevância na Pesquisa
27.29%
There is much interest in providing probabilistic semantics for defaults but
most approaches seem to suffer from one of two problems: either they require
numbers, a problem defaults were intended to avoid, or they generate peculiar
side effects. Rather than provide semantics for defaults, we address the
problem defaults were intended to solve: that of reasoning under uncertainty
where numeric probability distributions are not available. We describe a
non-numeric formalism called an inference graph based on standard probability
theory, conditional independence and sentences of favouring where a favours b -
favours(a, b) - p(a|b) > p(a). The formalism seems to handle the examples from
the nonmonotonic literature. Most importantly, the sentences of our system can
be verified by performing an appropriate experiment in the semantic domain.; Comment: Appears in Proceedings of the Fourth Conference on Uncertainty in
Artificial Intelligence (UAI1988)
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Transforming Prioritized Defaults and Specificity into Parallel Defaults
Fonte: Universidade Cornell
Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 20/02/2013
Relevância na Pesquisa
27.5%
We show how to transform any set of prioritized propositional defaults into
an equivalent set of parallel (i.e., unprioritized) defaults, in
circumscription. We give an algorithm to implement the transform. We show how
to use the transform algorithm as a generator of a whole family of inferencing
algorithms for circumscription. The method is to employ the transform algorithm
as a front end to any inferencing algorithm, e.g., one of the previously
available, that handles the parallel (empty) case of prioritization. Our
algorithms provide not just coverage of a new expressive class, but also
alternatives to previous algorithms for implementing the previously covered
class (?layered?) of prioritization. In particular, we give a new
query-answering algorithm for prioritized cirumscription which is sound and
complete for the full expressive class of unrestricted finite prioritization
partial orders, for propositional defaults (or minimized predicates). By
contrast, previous algorithms required that the prioritization partial order be
layered, i.e., structured similar to the system of rank in the military. Our
algorithm enables, for the first time, the implementation of the most useful
class of prioritization: non-layered prioritization partial orders. Default
inheritance...
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