scholarly journals Contingent Claims Analysis of Sovereign Debt Sustainability in Asian Emerging Markets

2016 ◽  
Author(s):  
Marie Briire ◽  
Benno Ferrarini
Keyword(s):  
Emerging Markets ◽  
Sovereign Debt ◽  
Contingent Claims ◽  
Claims Analysis ◽  
Debt Sustainability ◽  
Contingent Claims Analysis ◽  
Asian Emerging Markets

scholarly journals The Impact of Banking Competition on Firm Credit Risk and Leverage

SAGE Open ◽  
2021 ◽  
Vol 11 (4) ◽  
pp. 215824402110615
Author(s):  
Chengxiao Feng ◽  
Zhubo Li ◽  
Zhen Peng
Keyword(s):  
Default Risk ◽  
Credit Constraints ◽  
Contingent Claims ◽  
Claims Analysis ◽  
Banking Competition ◽  
Leverage Ratio ◽  
Contingent Claims Analysis ◽  
Credit Risks ◽  
Default Risks ◽  
The Impact

A firm’s default risk is closely related to its macrofinancial stability. As financial reform deepens, banking competition may ease firms’ credit constraints, encouraging them to increase their leverage and default risks. This study uses contingent claims analysis to examine firms’ asset–liability ratio and default distance. We find that companies have low leverage and low overall default risks. Moreover, a pro-cyclical effect exists between leverage and economic growth. As banking competition becomes more intense, the default risk decreases, but firms’ leverage ratio rises significantly. The impact is more prominent for highly leveraged firms. Our findings also indicate that utilizing the contingent claims analysis method to measure firms’ leverage and default risks provides more accurate results. Moreover, we provide empirical evidence of the impact of banking competition on firms’ leverage and credit risks. The results suggest that enhancing financial competition has a positive effect on easing credit constraints and reducing default risks.

scholarly journals A contingent claims analysis of optimal investment subsidy

2016 ◽  
Vol 73 ◽  
pp. 354-372 ◽  
Author(s):  
Norvald Instefjord ◽  
Vivekanand Nawosah ◽  
Pei Yang
Keyword(s):  
Optimal Investment ◽  
Contingent Claims ◽  
Claims Analysis ◽  
Contingent Claims Analysis ◽  
Investment Subsidy

scholarly journals Construction and Empirical Research on the Dynamic Provisioning Model of China’s Banking Sector under the Macro-Prudential Framework

2020 ◽  
Vol 12 (20) ◽  
pp. 8527
Author(s):  
Xiaofeng Hui ◽  
Aoran Zhang
Keyword(s):  
Commercial Banks ◽  
Financial Stability ◽  
Banking Sector ◽  
Contingent Claims ◽  
Gaussian Copula ◽  
Accounting System ◽  
Financial Industry ◽  
Claims Analysis ◽  
Contingent Claims Analysis ◽  
Dynamic Provisioning

Since the international financial crisis in 2008, to achieve the political goal of financial stability, academic circles, financial industry, and regulatory authorities worldwide have deeply reflected on the current economic regulatory theories and policy adjustment tools through introducing the macroprudential policy. The dynamic provisioning system is a counter-cyclical policy tool in the macro-prudential adjustment framework widely used in the world. This paper uses the binary Gaussian Copula function to combine the measurement method of the default distance in the contingent claims analysis method with the risk warning idea based on the Probit model and proposes the contingent claims analysis (CCA)–Probit–Copula dynamic provisioning model based on nine forward-looking indicators. Based on China’s actual conditions, this model solves present problems faced by the current dynamic provisioning system in China, such as insufficient historical credit data reserves of commercial banks, excessive reliance on subjective judgments, and conflicts with the current accounting system. Moreover, this model can put forward corresponding counter-cyclical provisioning requirements according to the influence degree of macro-cyclical factors to different commercial banks’ own default risk, which not only takes into account the security and liquidity of commercial banks, but also ensures their profitability and competitiveness. Based on the empirical test of historical data from listed commercial banks in China, it proves that the dynamic provisioning requirements proposed in this model can effectively adjust the overall credit scale of the banking industry in counter-cyclical ways, thereby achieving the policy goals of counter-cyclical adjustment under the macro-prudential framework and maintaining the security of China’s financial system and the sustainable development of the macroeconomy.

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