The purpose of this paper is to elucidate whether the supply side played a crucial role in causing credit crunch in 1990s. To this end, we estimated the supply and demand functions using prefectural panel data from 1990 to 2001, and calculate the shift of those functions. The results reveal that until 1996, the supply function largely shifted toward right, indicating that the supply side was no...

Hong Kong has long been under a fixed exchange rate regime, relying on the currency board to maintain currency stability. Currency board is a rule-based system, but because of the gradual dilution of the rules started in the late 1980s as a result of a number of monetary reforms, the currency board has gradually emphasized more on discretion in setting its policy. Such change in the board’s pol...

Over the past fifteen years, U.S. households in the aggregate have devoted an increasing share of their after-tax income to the payment of financial obligations. Much of the increase is attributable to a rise in the level of credit card debt, which has raised the share of households’ aggregate after-tax income that is devoted to credit card payments. In turn, the rising share of credit card deb...

credit enhancements are methods that are used in structured finance for promoting the credit quality of financial instruments. one of the most important mechanisms for improving the credit quality is tranching financial instruments. this mechanism is mentioned as a structural and internal credit enhancement. tranching decreases financing costs and improves the quality of financial instruments. ...

Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements This Paper analyses the response of stock and credit default swap (CDS) markets to rating announcements by the three major rating agencies during 2000-2. Applying event study methodology, we examine whether and how strongly these markets respond to rating announcements in terms of abnorm...

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period. Based on the testing result from the common principal components model, this study finds that the eigen...

The focus of the Spatial Verification Intercomparison Project (ICP) is meta-verification, that is, learning about the verification methods themselves. For a verification method to be useful it must inform the user on the nature of the forecast errors. The "fake data" component of the ICP attempts to evaluate how well the verification methods provide information on known applied errors in real a...

∗This work was completed during our visit to the Isaac Newton Institute for Mathematical Sciences in Cambridge. We thank the organizers of the programme Developments in Quantitative Finance for the kind invitation. †The research of T.R. Bielecki was supported by NSF Grant 0202851 and Moody’s Corporation grant 5-55411. ‡The research of M. Jeanblanc was supported by Zéliade, Itô33, and Moody’s Co...

decision trees as one of the data mining techniques, is used in credit scoring of bank customers. the main problem is the construction of decision trees in that they can classify customers optimally. this paper proposes an appropriate model based on genetic algorithm for credit scoring of banks customers in order to offer credit facilities to each class. genetic algorithm can help in credit sco...