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Modelos de risco de crédito: análise de telecoms europeias e bancos americanos

Santana, Carolina Albardeiro
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2014 Português
Relevância na Pesquisa
27.02%
Mestrado em Finanças/ G24, G33; Este trabalho tem como objetivo apresentar e testar modelos quantitativos de risco de crédito para instituições financeiras e não financeiras cotadas em bolsa de valores. Estes modelos consistem no cálculo da probabilidade de default, ou seja, a incapacidade da instituição em pagar as suas responsabilidades financeiras nas respetivas maturidades. A forma mais simples de avaliar a probabilidade de default de instituições financeiras e não financeiras assenta na utilização de modelos de scoring de risco de crédito através da análise de rácios financeiros. Os modelos estruturais têm como base as teorias desenvolvidas por Merton (1973, 1974) e Black & Scholes (1973) conhecidas como a análise de contingent claims. Estas teorias derivaram em diversas extensões originando modelos de elevada notoriedade, tais como, o modelo KMV e o modelo CreditGrades. A vertente teórica do trabalho baseia-se em descrever os modelos e explicar as várias técnicas utilizadas para quantificar o risco de default de instituições financeiras e não financeiras. A vertente prática consiste na implementação dos diferentes modelos para testar e confrontar os resultados obtidos.; The objective of this thesis is to present and test credit risk models for financial and non-financial institutions listed on stock markets. These models provide a default probability calculation...

Genetic Analysis of Default Mating Behavior in Saccharomyces Cerevisiae

Dorer, R.; Boone, C.; Kimbrough, T.; Kim, J.; Hartwell, L. H.
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Publicado em /05/1997 Português
Relevância na Pesquisa
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Haploid Saccharomyces cerevisiae cells find each other during conjugation by orienting their growth toward each other along pheromone gradients (chemotropism). However, when their receptors are saturated for pheromone binding, yeast cells must select a mate by executing a default pathway in which they choose a mating partner at random. We previously demonstrated that this default pathway requires the SPA2 gene. In this report we show that the default mating pathway also requires the AXL1, FUS1, FUS2, FUS3, PEA2, RVS161, and BNI1 genes. These genes, including SPA2, are also important for efficient cell fusion during chemotropic mating. Cells containing null mutations in these genes display defects in cell fusion that subtly affect mating efficiency. In addition, we found that the defect in default mating caused by mutations in SPA2 is partially suppressed by multiple copies of two genes, FUS2 and MFA2. These findings uncover a molecular relationship between default mating and cell fusion. Moreover, because axl1 mutants secrete reduced levels of a-factor and are defective at both cell fusion and default mating, these results reveal an important role for a-factor in cell fusion and default mating. We suggest that default mating places a more stringent requirement on some aspects of cell fusion than does chemotropic mating.

Is default from colposcopy a problem, and if so what can we do? A systematic review of the literature.

Lester, H; Wilson, S
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Publicado em /03/1999 Português
Relevância na Pesquisa
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It has been reported that many women referred to outpatient colposcopy clinics fail to attend for their appointments. The aim of this paper is to search the literature to assess the extent of default from colposcopy and to identify interventions, suitable for implementation within primary care, to reduce the proportion of women defaulting. Searches were performed on MEDLINE, PsychLIT, Bids and Cancerlit from 1986 to September 1997 using the terms colposcopy or cervical/Pap smear in association with default, non-attendance, adherence, patient compliance, treatment refusal, patient dropouts, attendance, barriers or intervention. The inclusion criteria for primary papers were that they contained data that enables the calculation of default rates for colposcopy or the results of interventions aimed at improving the default rates. Thirteen publications describing default rates and four describing interventions were included as primary papers. Combining the data from these studies suggests default rates of 3%, 11%, and 12% for assessment/treatment visits, first review, and second review respectively. The intervention studies suggested a need to tailor the intervention to the population and the type of information to suit the individual. Varying definitions make comparison of default rates difficult...

Default Network Modulation and Large-Scale Network Interactivity in Healthy Young and Old Adults

Spreng, R. Nathan; Schacter, Daniel L.
Fonte: Oxford University Press Publicador: Oxford University Press
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
27.02%
We investigated age-related changes in default, attention, and control network activity and their interactions in young and old adults. Brain activity during autobiographical and visuospatial planning was assessed using multivariate analysis and with intrinsic connectivity networks as regions of interest. In both groups, autobiographical planning engaged the default network while visuospatial planning engaged the attention network, consistent with a competition between the domains of internalized and externalized cognition. The control network was engaged for both planning tasks. In young subjects, the control network coupled with the default network during autobiographical planning and with the attention network during visuospatial planning. In old subjects, default-to-control network coupling was observed during both planning tasks, and old adults failed to deactivate the default network during visuospatial planning. This failure is not indicative of default network dysfunction per se, evidenced by default network engagement during autobiographical planning. Rather, a failure to modulate the default network in old adults is indicative of a lower degree of flexible network interactivity and reduced dynamic range of network modulation to changing task demands.

Default Network Connectivity in Medial Temporal Lobe Amnesia

Hayes, Scott M.; Salat, David H.; Verfaellie, Mieke
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Publicado em 17/10/2012 Português
Relevância na Pesquisa
27.05%
There is substantial overlap between the brain regions supporting episodic memory and the default network. However, in humans the impact of bilateral medial temporal lobe (MTL) damage on a large-scale neural network such as the default mode network is unknown. To examine this issue, resting functional magnetic resonance imaging (fMRI) was performed with amnesic patients and control participants. Seed-based functional connectivity analyses revealed robust default network connectivity in amnesia in cortical default network regions such as medial prefrontal cortex, posterior medial cortex, and lateral parietal cortex, as well as evidence of connectivity to residual MTL tissue. Relative to control participants, decreased posterior cingulate cortex connectivity to MTL and increased connectivity to cortical default network regions including lateral parietal and medial prefrontal cortex was observed in amnesia. In contrast, somatomotor network connectivity was intact in amnesia, indicating bilateral MTL lesions may selectively impact the default network. Changes in default network connectivity in amnesia were largely restricted to the MTL subsystem, providing preliminary support from MTL amnesic patients that the default network can be fractionated into functionally and structurally distinct components. To our knowledge...

WHO Multidrug Therapy for Leprosy: Epidemiology of Default in Treatment in Agra District, Uttar Pradesh, India

Kumar, Anil; Girdhar, Anita; Chakma, Joy Kumar; Girdhar, Bhuwneswar Kumar
Fonte: Hindawi Publishing Corporation Publicador: Hindawi Publishing Corporation
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
27.05%
Aim. To study the magnitude of default, time of default, its causes, and final clinical outcome. Methods. Data collected in active surveys in Agra is analyzed. Patients were given treatment after medical confirmation and were followed up. The treatment default and other clinical outcomes were recorded. Results. Patients who defaulted have comparable demographic characteristics. However, among defaulters more women (62.7% in PB, 42.6% in MB) were seen than those in treatment completers (PB 52.7% and MB 35.9%). Nerve involvement was high in treatment completers: 45.7% in PB and 91.3% in MB leprosy. Overall default rate was lower (14.8%) in ROM than (28.8%) in standard MDT for PB leprosy (χ12 = 11.6, P = 0.001) and also for MB leprosy: 9.1% in ROM compared to 34.5% in MDT (χ12 = 6.0, P = 0.015). Default rate was not different (28.8% versus 34.5%, P > 0.05) in both types of leprosy given MDT. Most patients defaulted at early stage of treatment and mainly due to manageable side effects. Conclusion. The default in standard MDT both for PB and MB leprosy was observed to be significantly higher than in ROM treatment. Most defaults occurred at early stage of treatment and major contribution of default is due to side effects like drowsiness...

Impersonal Default Rules vs. Active Choices vs. Personalized Default Rules: A Triptych

Sunstein, Cass Robert
Fonte: Harvard University Publicador: Harvard University
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
27.05%
Impersonal default rules, chosen by private or public institutions, establish settings and starting points for countless goods and activities -- cell phones, rental car agreements, computers, savings plans, health insurance, websites, privacy, and much more. Some of these rules do a great deal of good, but others might be poorly chosen, perhaps because those who select them are insufficiently informed, perhaps because they are self-interested, perhaps because one size does not fit all. The existence of heterogeneity argues against impersonal default rules. The obvious alternative to impersonal default rules, of particular interest when individual situations are diverse, is active choosing, by which people are required to make decisions on their own. The choice between impersonal default rules and active choosing depends largely on the costs of decisions and the costs of errors. In complex and unfamiliar areas, impersonal default rules have significant advantages, but where people prefer to choose, and where learning is both feasible and important, active choosing may be best, especially if people’s situations are relevantly dissimilar. At the same time, it is increasingly possible for private and public institutions to produce highly personalized default rules...

Alcohol, Hospital Discharge, and Socioeconomic Risk Factors for Default from Multidrug Resistant Tuberculosis Treatment in Rural South Africa: A Retrospective Cohort Study

Kendall, Emily A.; Theron, Danie; Franke, Molly F.; van Helden, Paul; Victor, Thomas C.; Murray, Megan B.; Warren, Robin M.; Jacobson, Karen R.
Fonte: Public Library of Science Publicador: Public Library of Science
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
27.02%
Background: Default from multidrug-resistant tuberculosis (MDR-TB) treatment remains a major barrier to cure and epidemic control. We sought to identify patient risk factors for default from MDR-TB treatment and high-risk time periods for default in relation to hospitalization and transition to outpatient care. Methods: We retrospectively analyzed a cohort of 225 patients who initiated MDR-TB treatment between 2007 through 2010 at a rural TB hospital in the Western Cape Province, South Africa. Results: Fifty percent of patients were cured or completed treatment, 27% defaulted, 14% died, 4% failed treatment, and 5% transferred out. Recent alcohol use was common (63% of patients). In multivariable proportional hazards regression, older age (hazard ratio [HR]= 0.97 [95% confidence interval 0.94-0.99] per year of greater age), formal housing (HR=0.38 [0.19-0.78]), and steady employment (HR=0.41 [0.19-0.90]) were associated with decreased risk of default, while recent alcohol use (HR=2.1 [1.1-4.0]), recent drug use (HR=2.0 [1.0-3.6]), and Coloured (mixed ancestry) ethnicity (HR=2.3 [1.1-5.0]) were associated with increased risk of default (P<0.05). Defaults occurred throughout the first 18 months of the two-year treatment course but were especially frequent among alcohol users after discharge from the initial four-to-five-month in-hospital phase of treatment...

Grameen Bank Lending : Does Group Liability Matter?

Khandker, Shahidur R.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
27.05%
Competing theories increasingly support the positive role of social capital in small loan default costs of group lending; at the same time, potential group collusion may increase loan delinquencies. Findings from the available literature are mixed on the role of the various attributes of group lending. But past studies suffer from estimation bias due to the unobserved sorting behavior of group members and their other attributes. This paper attempts to resolve that estimation bias by utilizing longitudinal data from 297 Grameen Bank groups since their inceptions. A dynamic lagged dependent model with correction for time-varying heterogeneity of group and individual behavior is applied to estimate the effect of group liability in the Grameen Bank. The results suggest that group liability matters in both loan disbursement and repayment, with women less of a credit risk than men and women's groups more homogeneous than men's. Finally, the benefits of social capital outweigh the costs of group collusion, especially for women's groups...

An Econometric Analysis of IBRD Creditworthiness

McKenzie, David
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
27.05%
The author econometrically ascertains the determinants of default to the International Bank for Reconstruction and Development (IBRD) through panel logit analysis. Creditworthiness with a lag of one period is determined by the extent of arrears to private creditors, the proportion of total debt service that is being paid, the government budget deficit, the extent of military involvement in the government of a country, and by the G7's current account balance. Default to the IBRD falls into a graduated hierarchy, whereby default occurs first to Paris Club and commercial bank creditors, with subsequent default triggered by portfolios with high proportions of IBRD and short-term debt, as well as the factors mentioned above. Default to these other creditor groups can be explained by more traditional country risk variables, although Mckenzie's analysis highlights the importance of political and external factors in explaining default to all creditors studied. He finds sovereign default to be a state-dependent process...

Sovereign Debt Distress and Corporate Spillover Impacts

Dailami, Mansoor
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
Relevância na Pesquisa
27.02%
In much of the standard corporate finance literature in which sovereign debt is treated as a risk free asset, corporate bond prices are seen to depend on idiosyncratic risk factors specific to the issuing company, with public debt playing an indirect role to the extent that it affects the term structure of interest rates. In the corporate world, however, the ability of a borrower to access international capital markets and the terms according to which it can raise capital depend not only on its own creditworthiness, but also on the financial health of its home-country sovereign. In times of financial stress, when investors lose confidence in the government's ability to use public finances to stabilize the economy or provide a safety net for corporations in distress, markets' assessment of private credit risk takes on a completely different dynamic than during normal times, incorporating an additional risk premium to compensate investors for the potential consequences of sovereign default. Using a new database that covers nearly every emerging-market corporate and sovereign entity that has issued bonds on global markets between 1995 and 2009...

Inadimplência de dívida soberana em modelo de equilíbrio geral com credores heterogêneos

Souza, Tiago Carvalho Machado de
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
27.05%
Este artigo propõe um modelo de equilíbrio geral com inadimplência de dívida soberana (default soberano), sem setor bancário ou setor externo, em que há heterogeneidade dos agentes da economia. Essa heterogeneidade surge a partir da existência de dois tipos de consumidores com choques de riqueza distintos (mas idênticos em outros aspectos) e o governo, que toma decisão de default, pondera esses agentes de maneira distinta na função de bem-estar. O principal motivador dessa ideia vem da intuição de que a decisão de um país não cumprir com as suas obrigações de dívida pode estar ligada não somente ao valor de face dos títulos emitidos ou à situação econômica, mas também a quem detêm esses títulos (sua distribuição entre agentes). Essa abordagem permitiu que se reproduzissem comportamentos já identificados em estudos empíricos presentes na literatura, os quais encontraram uma relação negativa, porém surpreendentemente fraca, entre moratória da dívida e atividade econômica e lança luz sobre aspectos importantes que podem influenciar a decisão de default, como funcionamento de mercados secundários de títulos públicos.; This paper provides a general equilibrium model of sovereign default with agents' heterogeneity...

Sovereign default probabilities within the european crisis

Coutinho, Cristina Fonseca
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em /09/2012 Português
Relevância na Pesquisa
27.05%
Mestrado em Matemática Financeira; In this thesis we assess the real default probabilities of three groups of European sovereigns - peripheral, central and safe haven - in order to get a forward looking measure of the market sentiment about their default, as well as their evolution within the current European crisis. We follow Moody's CDS-implied EDF Credit Measures and Fair-Value Spreads methodology by extracting risk-neutral probabilities of default, assumed to be Weibull distributed, from CDS spreads and convert them into real probabilities of default, using an adaptation of the Merton model to remove the risk premium. We use CDS spreads data from 2008 to 2011 and country dependent market prices of risk as proxy for the risk premium based on the equity benchmark indices of each country. The obtained real default probabilities proved to be a suitable indicator to predict defaults according to the credit events. They have increased severely since 2009/2010, in particular for the peripheral economies - Greece, Ireland and Portugal. The Greece's 1-year probability of default reached 55% at the end of 2011 and a default took place in March 2012. These three countries had to request a bailout from the EU/IMF authorities, Greece and Ireland in 2010 and Portugal in April 2011. Spain and Italy...

La estructura a plazos del riesgo interbancario

Cangrejo Jiménez, Guillermo Andrés
Fonte: Facultad de Economía Publicador: Facultad de Economía
Tipo: info:eu-repo/semantics/workingPaper; info:eu-repo/semantics/publishedVersion Formato: application/pdf
Publicado em 01/09/2014 Português
Relevância na Pesquisa
27.05%
Este documento propone un modelo para la estructura a plazos del riesgo interbancario a partir del spread entre los Interest Rate Swap (IRS) y los Overnight Indexed Swaps (OIS) en dólares durante la crisis financiera 2007-08 y la crisis del euro en 2010. Adicionalmente hace la descomposición del riesgo interbancario entre riesgo de default y no-default (liquidez). Los resultados sugieren que la crisis financiera tuvo importantes repercusiones en la estructura a plazos del riesgo interbancario y sus componentes: en los años previos a la crisis, el riesgo de no-default explicaba la mayor parte del riesgo interbancario; durante la crisis y posterior a ella, el riesgo de default conducía el comportamiento del riesgo interbancario. Adicionalmente, se encuentra que, a partir de la estructura a plazos de cada componente del riesgo interbancario, la crisis financiera se caracterizó por ser un problema más de corto que de largo plazo, en contraste con la crisis del euro de 2010. Estos resultados siguen lo propuesto por Filipovic & Trolle (2012) y dejan importantes implicaciones sobre el riesgo interbancario durante los periodos de stress financiero.; This paper proposes a model for the term structure of interbank risk measured by the spread between the Interest Rate Swaps (IRS) and the Overnight Indexed Swaps (OIS) in dollars during the 2007-08 financial crises and the crisis of the euro in 2010. Additionally...

La estructura a plazos del riesgo interbancario

Cangrejo Jiménez, Guillermo Andrés
Fonte: Facultad de Economía Publicador: Facultad de Economía
Tipo: info:eu-repo/semantics/masterThesis; info:eu-repo/semantics/acceptedVersion Formato: application/pdf
Publicado em 01/08/2014 Português
Relevância na Pesquisa
27.05%
Este documento propone un modelo para la estructura a plazos del riesgo interbancario a partir del spread entre los Interest Rate Swap (IRS) y los Overnight Indexed Swaps (OIS) en dólares durante la crisis financiera 2007-08 y la crisis del euro en 2010. Adicionalmente hace la descomposición del riesgo interbancario entre riesgo de default y no-default (liquidez). Los resultados sugieren que la crisis financiera tuvo importantes repercusiones en la estructura a plazos del riesgo interbancario y sus componentes: en los años previos a la crisis, el riesgo de no-default explicaba la mayor parte del riesgo interbancario; durante la crisis y posterior a ella, el riesgo de default conducía el comportamiento del riesgo interbancario. Adicionalmente, se encuentra que, a partir de la estructura a plazos de cada componente del riesgo interbancario, la crisis financiera se caracterizó por ser un problema más de corto que de largo plazo, en contraste con la crisis del euro de 2010. Estos resultados siguen lo propuesto por Filipovic & Trolle (2012) y dejan importantes implicaciones sobre el riesgo interbancario durante los periodos de stress financiero.; This paper proposes a model for the term structure of interbank risk measured by the spread between the Interest Rate Swaps (IRS) and the Overnight Indexed Swaps (OIS) in dollars during the 2007-08 financial crisis and the crisis of the euro in 2010. Additionally...

Debt Subordination and The Pricing of Credit Default Swaps

Lee, Peter B.; Wise, Mark B.; Bhansali, Vineer
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
27.02%
First passage models, where corporate assets undergo a random walk and default occurs if the assets fall below a threshold, provide an attractive framework for modeling the default process. Recently such models have been generalized to allow a fluctuating default threshold or equivalently a fluctuating total recovery fraction $R$. For a given company a particular type of debt has a recovery fraction $R_i$ that is greater or less than $R$ depending on its level of subordination. In general the $R_i$ are functions of $R$ and since, in models with a fluctuating default threshold, the probability of default depends on $R$ there are correlations between the recovery fractions $R_i$ and the probability of default. We find, using a simple scenario where debt of type $i$ is subordinate to debt of type $i-1$, the functional dependence $R_i(R)$ and explore how correlations between the default probability and the recovery fractions $R_i(R)$ influence the par spreads for credit default swaps. This scenario captures the effect of debt cushion on recovery fractions.; Comment: 10 pages, 5 figures, LaTeX (v2: minor corrections)

What happens after a default: the conditional density approach

Karoui, Nicole El; Jeanblanc, Monique; Jiao, Ying
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 05/05/2009 Português
Relevância na Pesquisa
27.02%
We present a general model for default time, making precise the role of the intensity process, and showing that this process allows for a knowledge of the conditional distribution of the default only "before the default". This lack of information is crucial while working in a multi-default setting. In a single default case, the knowledge of the intensity process does not allow to compute the price of defaultable claims, except in the case where immersion property is satisfied. We propose in this paper the density approach for default time. The density process will give a full characterization of the links between the default time and the reference filtration, in particular "after the default time". We also investigate the description of martingales in the full filtration in terms of martingales in the reference filtration, and the impact of Girsanov transformation on the density and intensity processes, and also on the immersion property.

Molecular Realism in Default Models for Information Theories of Hydrophobic Effects

Gomez, M. A.; Pratt, L. R.; Hummer, G.; Garde, S.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 19/01/1999 Português
Relevância na Pesquisa
27.02%
This letter considers several physical arguments about contributions to hydrophobic hydration of inert gases, constructs default models to test them within information theories, and gives information theory predictions using those default models with moment information drawn from simulation of liquid water. Tested physical features include: packing or steric effects, the role of attractive forces that lower the solvent pressure, and the roughly tetrahedral coordination of water molecules in liquid water. Packing effects (hard sphere default model) and packing effects plus attractive forces (Lennard-Jones default model) are ineffective in improving the prediction of hydrophobic hydration free energies of inert gases over the previously used Gibbs and flat default models. However, a conceptually simple cluster Poisson model that incorporates tetrahedral coordination structure in the default model is one of the better performers for these predictions. These results provide a partial rationalization of the remarkable performance of the flat default model with two moments in previous applications. The cluster Poisson default model thus will be the subject of further refinement.; Comment: 5 pages including 3 figures

Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps

Brigo, Damiano; Capponi, Agostino
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
27.02%
We introduce the general arbitrage-free valuation framework for counterparty risk adjustments in presence of bilateral default risk, including default of the investor. We illustrate the symmetry in the valuation and show that the adjustment involves a long position in a put option plus a short position in a call option, both with zero strike and written on the residual net value of the contract at the relevant default times. We allow for correlation between the default times of the investor, counterparty and underlying portfolio risk factors. We use arbitrage-free stochastic dynamical models. We then specialize our analysis to Credit Default Swaps (CDS) as underlying portfolio, generalizing the work of Brigo and Chourdakis (2008) [5] who deal with unilateral and asymmetric counterparty risk. We introduce stochastic intensity models and a trivariate copula function on the default times exponential variables to model default dependence. Similarly to [5], we find that both default correlation and credit spread volatilities have a relevant and structured impact on the adjustment. Differently from [5], the two parties will now agree on the credit valuation adjustment. We study a case involving British Airways, Lehman Brothers and Royal Dutch Shell...

On modelling endogenous default

Tsomocos, Dimitrios P.; Zicchino, Lea
Fonte: Financial Markets Group, London School of Economics and Political Science Publicador: Financial Markets Group, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /10/2005 Português
Relevância na Pesquisa
27.05%
Not only in the classic Arrow-Debreu model, but also in many mainstream macro models, an implicit assumption is that all agents honour their obligations, and thus there is no possibility of default. That leads to well-known problems in providing an essential role for either money or for financial intermediaries. So, in more realistic models, the introduction of minimal financial institutions, for example default and banks, becomes a logical necessity. But if default involved no penalties, everyone would do so. Hence there must be default penalties to allow for an equilibrium with partial default. What we show here is that there is an equivalence between a general equilibrium model with incomplete markets (GEI) and endogeneous default, and a model with exogenous probabilities of default (PD). The practical, policy implications are that a key function of regulators (via bankruptcy codes and default legislation), or the markets (through default premia) are broadly substitutable. The balance between these alternatives depends, however, on many institutional details, which are not modelled here, but should be a subject for future research.