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Basis (Futures trading) --- Credit derivatives --- Default (Finance) --- Swaps (Finance)

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This paper mines the experience of capital markets during the 19th century to propose an alternative way of interpreting international default episodes. The standard view is that defaulting on sovereign debt entails exclusion from capital markets. Yet we have observed multiple instances of sovereign debt default in which the reaction of lenders was not the one predicted by the punishment story: in some cases, lending ceased for long periods, but in others it was not interrupted. This paper claims that the reaction of lenders after default stems from the additional knowledge about the borrower that lenders acquire during these episodes. The lending relationship is modeled in a costly state-verification environment in which governments have private information about their investment projects (good or bad). It is shown that, in the event of default, it is worthwhile for lenders to find out more about the type of project, and then interrupt lending only if the project is believed to be a bad one.

Debts, Public. --- Default (Finance). --- Electronic books. -- local. --- Default (Finance) --- Debts, Government --- Government debts --- National debts --- Public debt --- Public debts --- Sovereign debt --- Finance --- Finance, Public --- Repudiation --- Debt --- Bonds --- Deficit financing --- Finance: General --- Macroeconomics --- Money and Monetary Policy --- Industries: Financial Services --- Environmental Economics --- Monetary Policy, Central Banking, and the Supply of Money and Credit: General --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Macroeconomics: Consumption --- Saving --- Wealth --- General Financial Markets: General (includes Measurement and Data) --- Environmental Economics: General --- Monetary economics --- Environmental economics --- Credit --- Loans --- Consumption --- International capital markets --- Environment --- Economics --- Capital market --- Environmental sciences --- Bulgaria

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In contrast to corporate defaults, regulators typically take a number of statutory actions to avoid the large fiscal costs associated with bank defaults. The distance-to-default, a widely used market-based measure of corporate default risk, ignores such regulatory actions. To overcome this limitation, this paper introduces the concept of distance-to-capital that accounts for pre-default regulatory actions such as those in a prompt-corrective-actions framework. We show that both risk measures can be analyzed using the same theoretical framework but differ depending on the level of capital adequacy thresholds and asset volatility. We also use the framework to illustrate pre-default regulatory actions in Japan in 2001-03.

Bank capital -- Econometric models. --- Bank failures -- Econometric models. --- Default (Finance) -- Econometric models. --- Electronic books. -- local. --- Risk -- Econometric models. --- Finance --- Business & Economics --- Banking --- Bank capital --- Bank failures --- Default (Finance) --- Risk --- Econometric models. --- Failure of banks --- Economics --- Uncertainty --- Probabilities --- Profit --- Risk-return relationships --- Finance, Public --- Repudiation --- Business failures --- Capital --- Banks and Banking --- Financial Risk Management --- Public Finance --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Financial Institutions and Services: Government Policy and Regulation --- Trade Policy --- International Trade Organizations --- International Financial Markets --- Financial services law & regulation --- Public finance & taxation --- Economic & financial crises & disasters --- Capital adequacy requirements --- Post-clearance customs audit --- Deposit insurance --- Asset valuation --- Banks and banking --- Asset requirements --- Customs administration --- Crisis management --- Asset-liability management --- United States

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This paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an important determinant of equity returns. Moreover, the market price of systematic default risk is one order of magnitude higher than the market price of other risk factors. In contrast to studies by Fama and French (1993, 1996 ) and Vassalou and Xing (2004), this paper uses a market-based measure of systematic default risk. The measure is constructed using price information from credit derivatives prices, namely the spreads of standardized single-tranche collateralized debt obligations on credit derivatives indices.

Corporations -- Valuation -- Econometric models. --- Credit derivatives -- Prices -- Econometric models. --- Default (Finance) -- Econometric models. --- Electronic books. -- local. --- Risk -- Econometric models. --- Finance --- Business & Economics --- Investment & Speculation --- Corporations --- Credit derivatives --- Default (Finance) --- Risk --- Valuation --- Econometric models. --- Prices --- Business corporations --- C corporations --- Corporations, Business --- Corporations, Public --- Limited companies --- Publicly held corporations --- Publicly traded corporations --- Public limited companies --- Stock corporations --- Subchapter C corporations --- Economics --- Uncertainty --- Probabilities --- Profit --- Risk-return relationships --- Finance, Public --- Repudiation --- Derivative securities --- Business enterprises --- Corporate power --- Disincorporation --- Stocks --- Trusts, Industrial --- Corporate Finance --- Exports and Imports --- Investments: Stocks --- Money and Monetary Policy --- International Lending and Debt Problems --- Monetary Policy, Central Banking, and the Supply of Money and Credit: General --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Corporate Finance and Governance: General --- International economics --- Monetary economics --- Investment & securities --- Ownership & organization of enterprises --- Debt default --- Credit default swap --- Credit --- Corporate sector --- Debts, External --- United States

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Past cycles of sovereign lending and default in emerging markets suggest that debt crises will recur at some point. In addressing debt crises it has proven helpful to distinguish between situations of illiquidity and insolvency. Solutions range from a voluntary debt swap to a soft or hard restructuring. This book shows why investors should reckon with similar credit events in the future. Insights gained from recent restructurings inspire the design of a valuation model for sovereign bonds. Using the distinction between hard and soft restructurings, the model draws parallels to the concepts of face value and market value recovery. An extension into credit default swap markets explains why bond and CDS spreads diverge during distress. This survey of the sovereign bond market provides investors with a useful toolkit for analyzing sovereign bonds and foreseeing trends in the international financial architecture. The result should be a better understanding of debt crises and more deliberate investment decisions.

Government securities --- Financial risk --- Debts, Public --- Default (Finance) --- Effets publics --- Risque financier --- Dettes publiques --- Défaillance (Finances) --- Valuation --- Evaluation --- Banks and banking. --- Debts, Public. --- Default (Finance). --- Development Economic policy. --- Economics. --- Finance. --- Financial risk. --- Government securities. --- Investment & Speculation --- Finance --- Business & Economics --- Mathematical models --- AA / International- internationaal --- 336.311.2 --- 339.115 --- 336.312.3 --- Buitenlandse leningen van de overheid. --- Buitenlandse schuld. Debt Equity Swap in LDC. --- Solvabiliteit, kredietwaardigheid van de landen. Risicolanden. --- Défaillance (Finances) --- EPUB-LIV-FT LIVECONO LIVGESTI SPRINGER-B --- Debts, Government --- Government debts --- National debts --- Public debt --- Public debts --- Sovereign debt --- Mathematics. --- Management science. --- Macroeconomics. --- Public finance. --- Economic policy. --- Economics, general. --- Mathematics, general. --- Finance, general. --- Macroeconomics/Monetary Economics//Financial Economics. --- Public Economics. --- Economic Policy. --- Finance, Public --- Repudiation --- Debt --- Bonds --- Deficit financing --- Economic nationalism --- Economic planning --- National planning --- State planning --- Economics --- Planning --- National security --- Social policy --- Cameralistics --- Public finance --- Currency question --- Funding --- Funds --- Math --- Science --- Economic theory --- Political economy --- Social sciences --- Economic man --- Government agency securities --- Government bonds --- Public securities --- Treasuries (Securities) --- Treasury bonds --- Securities --- Business risk (Finance) --- Money risk (Finance) --- Risk --- Valuation&delete& --- Buitenlandse leningen van de overheid --- Solvabiliteit, kredietwaardigheid van de landen. Risicolanden --- Buitenlandse schuld. Debt Equity Swap in LDC --- Public finances --- Quantitative business analysis --- Management --- Problem solving --- Operations research --- Statistical decision --- Mathematical models.