Business Commons^™

Sovereign Default Risk In The Euro-Periphery And The Euro-Candidate Countries, Hubert Gabrisch, Lucjan T. Orlowski, Toralf Pusch

WCBT Working Papers

This study examines the key drivers of sovereign default risk in five euro area periphery countries and three euro-candidates that are currently pursuing independent monetary policies. We argue that the recent proliferation of sovereign risk premiums stems from both domestic and international sources. We focus on contagion effects of external financial crisis on sovereign risk premiums in these countries, arguing that the countries with weak fundamentals and fragile financial institutions are particularly vulnerable to such effects. The domestic fiscal vulnerabilities include: economic recession, less efficient government spending and a rising public debt. External ‘push’ factors entail increasing liquidity- and counter-party …

Forecasting And Stress-Testing The Risk-Based Capital Requirements For Revolving Retail Exposures, Kwamie Dunbar

WCBT Working Papers

This paper presents a tractable and empirically sound technique for generating stressed probabilities of default (PDs) which are then used to derive loss rates for the provisioning of a bank’s risk-based capital. This work is in response to the recent regulatory findings attributed to the Supervisory Capital Assessment Program (SCAP) stress tests of 2009 which revealed weaknesses in the existing regulatory and economic capital approaches. The SCAP projected losses of approximately $82.4 Billion in banks’ credit card portfolios for 2010, highlighting the need for better forecasting and stress testing of revolving retail exposures.

This study proposes a timely model that …

Invisible Discrimination: Employers & Social Media Sites, Richard L. Pate

WCBT Working Papers

With the advent and popularity of social networks sites, the boundaries of the relationship between the employer-employee/prospective employee have stretched well beyond the work-place and work-hours. Predictably, this relationship expansion has led to unchartered adversarial scenarios between the respective parties. Unfortunately, in this new, vibrant cyber world, traditional employment law considerations are struggling for deference and rumination. Notwithstanding this ostensible indifference, each phase of the relationship is heavily impacted by social network media. Applicant recruitment, information gathering and applicant selection stand to be impacted by the social network communications made by employees or prospective employees. This article examines whether present …