Concept
Toxic asset
Related publications (10)
Predicting the stressed expected loss of large US banks
Eric Jondeau, Amir Hossein Khalilzadeh Naghneh
We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...
ELSEVIER2022Essays in Banking and Financial Regulation
Susanne Johanna Petronella Léonie Vissers
This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets a ...
EPFL2021Short-term debt and incentives for risk-taking
Erwan Morellec, Francesca Maria Zucchi
We challenge the view that short-term debt curbs moral hazard and demonstrate that, in a world with financing frictions and fair debt pricing, short-term debt generates incentives for risk-taking. To do so, we develop a model in which firms are financed wi ...
ELSEVIER SCIENCE SA2020Three Essays in Banking and Finance
This thesis develops three models that study the motivation of various agents to take on debt,
and the impact that excessive financial leverage can have on social welfare.
In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...
EPFL2019Financial Stability and the Macroeconomy
The financial crisis of 2007-2009 drew attention to the essential role of banks for the macroeconomy and to the importance of having a resilient financial sector. A vulnerability in the financial sector spills over to the real economy and can drive it into ...
EPFL2018To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
Damir Filipovic, Léo Hamed Amini
We show that partial versus full multilateral netting of interbank liabilities increases bank shortfall and reduces clearing asset price and aggregate bank surplus. We also show that partial multilateral netting can be worse than no netting at all. ...
Informs2016Optimal incentives and securitization of defaultable assets
We study optimal securitization in the presence of an initial moral hazard. A financial intermediary creates and then sells to outside investors defaultable assets, whose default risk is determined by the unobservable costly effort exerted by the intermedi ...
Elsevier2013Essays on Equilibrium Asset Pricing
Rodolfo Javier Prieto Katunaric
This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...
EPFL2010Credit Supply and Corporate Policies
This paper develops a model of corporate investment and financing decisions that differs from previous contributions by recognizing that firms may face uncertainty regarding their future access to credit markets. We show that accounting for credit supply u ...
Swiss Finance Institute Research Paper Series2010A General Formula for Valuing Defaultable Securities
Previous research has shown that under a suitable no-jump condition, the price of a defaultable security is equal to its risk-neutral expected discounted cash flows if a modified discount rate is introduced to account for the possibility of default. Below, ...
2004