Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Enrique Batiz"'
Publikováno v:
International Journal of Finance & Economics. 27:4741-4755
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cb0df62b713d1a871d36b2b971a5007e
https://doi.org/10.1002/ijfe.2397
https://doi.org/10.1002/ijfe.2397
This paper investigates whether three microeconomic loan characteristics are sources of loan default clustering in the Mexican banking sector by employing survival analysis with frailty. Using a large sample of bank loan level data granted to micro,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fd60f44469845e7d6319c146203805ec
https://doi.org/10.36095/banxico/di.2021.14
https://doi.org/10.36095/banxico/di.2021.14
Autor:
Fabrizio Lopez-Gallo, Serafín Martínez-Jaramillo, Enrique Batiz-Zuk, Juan Pablo Solórzano-Margain
Publikováno v:
Journal of Financial Stability. 27:198-216
We examine the role of imposing tighter limits on interbank exposures in reducing contagion and aggregate losses. In our model contagion risk arises as a result of the individual idiosyncratic failure of each bank in the banking system. Following Gue
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::691ef5fca2489e02a73ac5970ec7213e
https://doi.org/10.1016/j.jfs.2015.04.007
https://doi.org/10.1016/j.jfs.2015.04.007
Publikováno v:
International Review of Financial Analysis. 37:129-139
We generalize existing structural credit risk models that account for contagion effects across economic sectors, to capture the impact of neglected skewness and excess kurtosis in the asset return process, on the shape of the credit loss distribution
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5f19c9323032e2b05f20051196ed17f4
https://doi.org/10.1016/j.irfa.2014.11.014
https://doi.org/10.1016/j.irfa.2014.11.014
Publikováno v:
The Journal of Fixed Income. 23:56-75
In the context of Merton [1974] and Vasicek [1987, 2002] Gaussian single-factor credit risk models, the authors examine the impact of neglected non-normality of the underlying asset return process on the shape of the derived credit loss distribution
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::da899a7885e48ba1ecd632cd622a5787
https://doi.org/10.3905/jfi.2013.23.1.056
https://doi.org/10.3905/jfi.2013.23.1.056
Autor:
Simon Wright, Hilder Somer, Vienna Philharmonia Orch, null Ernst, null Maerzendorfer, Gianetta Baril, Edmonton Symphony Orch, Uri Mayer, Rachel Masters, null City of London Sinfonia, Richard Hickox, Barbara Nissman, Santiago Rodriguez, Cuarteto Latinoamericano, Aurora Natola-Ginastera, Ruben Gonzalez, Laurentian String Quartet, Anna Noakes, Nancy Allen, Oscar Tarrago, Mexico City Orch, Enrique Batiz, Phyllis Curtin, Denver Symphony, Brian Priestman, New World Symphony, Michael Tilson Thomas, St Louis Symphony, Leonard Slatkip
Publikováno v:
The Musical Times. 134:342
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9988f6f8557fe85d96a7f5e1d688dff7
https://doi.org/10.2307/1003067
https://doi.org/10.2307/1003067
Publikováno v:
Scopus-Elsevier
This paper provides Monte Carlo results for the performance of Method of Moments (MM), Maximum Likelihood (ML) and Ordinary Least Square (OLS) estimators of the credit loss distribution implied by the Merton (1974)-Vasicek (1987, 2002) framework, whe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7f710df09707b8ef20874dc61a9d9324
http://www.scopus.com/inward/record.url?eid=2-s2.0-84949150776&partnerID=MN8TOARS
http://www.scopus.com/inward/record.url?eid=2-s2.0-84949150776&partnerID=MN8TOARS