This paper develops a structured dynamic factor model for the spreads between London Interbank O¤ered Rate (LIBOR) and overnight index swap (OIS) rates for a panel of banks. Our model involves latent factors which re‡ect liquidity and credit risk. Our empirical results show that surges in the short term LIBOR-OIS spreads during the 2007-2009 …nancial crisis were largely driven by liquidity risk...

We show that financial sector bailouts and sovereign credit risk are intimately linked. A bailout benefits the economy by ameliorating the under-investment problem of the financial sector. However, increasing taxation of the non-financial sector to fund the bailout may be inefficient since it weakens its incentive to invest, decreasing growth. Instead, the sovereign may choose to fund the bailo...

Recent advances in asset pricing|the reduced-form approach to pricing risky debt and derivatives|are used to quantitatively evaluate several proposals for mandatory bank issue of subordinated debt. We nd that credit spreads on both xed and oating rate subordinated debt provide relatively clean signals of bank risk and are not unduly in uenced by non-risk factors. Fixed rate debt with a put is u...

The growth of credit card application needs to be balanced with the anticipation of bad credit risk because it does not use security collateral as warranty. The usage of credit scoring can be used to help the credit risk analysis in determining the applicant's eligibility. Data mining has been proven as a valuable tool for credit scoring. The aim of this research is to design a data mining mode...

documentary credit or letter of credit (lc) is one of the methods of payment in international commerce. the documentary credit is a binding commitment from the issuing bank to pay a sum of money to the beneficiary on certain conditions. the applicant needs to contract with an issuing bank to open a lc. the legal nature of such contract is a controversy issue and thus different opinions are brou...

We study how corporate financing evolved during the Twentieth century in Britain. We document a remarkable transition from single to multiple firm-bank relationships. Larger, global, or transparent companies with greater needs for bank credit were more likely to add a bank, especially when located in more competitive local banking markets. Deregulation and intensifying competition in the bankin...

Credit risk is the main risk faced by commercial bank during operation, how to manage credit risk is a focus for financial specialists. Therefore effective assessment of credit risk is very important. The risks faced by banks during operation can be regarded as a kind of research of uncertain problems’ study. The essence of multi-sensor data integration is as follows: to have a best decision ac...

Credit scoring models, or score cards, can contribute to bank safety and soundness as long as bank management actively participates in the development, implementation, monitoring, and validation of the model. Operational factors, such as accurate implementation of the credit scoring model and adequate training of data input staff, also can have an impact on the effectiveness of models. Changes ...