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Full-Text Articles in Finance and Financial Management
Credit Risk Dynamics In Response To Changes In The Federal Funds Target: The Implication For Firm Short-Term Debt, Kwamie Dunbar, Abu S. Amin
Credit Risk Dynamics In Response To Changes In The Federal Funds Target: The Implication For Firm Short-Term Debt, Kwamie Dunbar, Abu S. Amin
WCBT Faculty Publications
The recent credit crisis has raised a number of interesting questions regarding the role of the Federal Reserve Bank and the effectiveness of its expected and unexpected interventions in financial markets, especiallyduring the crisis, given its mandate. This paper reviews and evaluates the impact of expected and unexpected changes in the federal funds rate target on credit risk premia. The paper's main innovation is the use of an ACH-VAR (autoregressive conditional hazard VAR) model to generate the Fed's expected and unexpected monetary policy shocks which are then used to determine the effects of a Federal Reserve policy change on counterparty …
Analysis Of Bank Failure And Size Of Assets, Guancun Zhong
Analysis Of Bank Failure And Size Of Assets, Guancun Zhong
UNLV Theses, Dissertations, Professional Papers, and Capstones
The financial health of the banking industry is an important prerequisite for economic stability and growth. Bank failures in the United States have run in cycles largely associated with the collapse of economic bubbles. The number of bank failures has increased dramatically over the last thirty years (Halling and Hayden, 2007). In this thesis, we try to address the following two questions: 1) What is the relationship, if any, between a bank's asset size and its likelihood of failures? 2) How can we use statistical tools to predict the numbers of bank failures in the future? Various modeling techniques are …