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Working Paper
A comparative anatomy of credit risk models

Within the past two years, important advances have been made in modeling credit risk at the portfolio level. Practitioners and policy makers have invested in implementing and exploring a variety of new models individually. Less progress has been made, however, with comparative analyses. Direct comparison often is not straightforward, because the different models may be presented within rather different mathematical frameworks. This paper offers a comparative anatomy of two especially influential benchmarks for credit risk models, J.P. Morgan's CreditMetrics and Credit Suisse Financial ...
Finance and Economics Discussion Series , Paper 1998-47

Journal Article
Characterizing the 2014–16 Slowdown in Investment

Investment growth slowed from 2014 to 2016, a period when the overall economy was expanding. Using a statistical model, the author found a clear evidence that investment growth fluctuates between high and low growth regimes that usually correspond to expansions and recessions. However, during 2014?16, the investment sector experienced an isolated recession within an overall expansion, which is unusual by historical standards.
Macro Bulletin

No good deals—no bad models

Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model uncertainty. We construct a notion of a model-uncertainty-induced utility function and show that model uncertainty increases investors? effective risk aversion. Using this utility function, we extend the ?no good deals? methodology of Cochrane and Sa-Requejo (2000) to compute lower and upper good-deal bounds in the presence of model uncertainty. We illustrate the methodology using some numerical examples.
Staff Reports , Paper 589

Working Paper
Asymmetric Information, Dynamic Debt Issuance, and the Term Structure of Credit Spreads

We propose a tractable model of a firm?s dynamic debt and equity issuance policies in the presence of asymmetric information. Because ?investment-grade? firms can access debt markets, managers who observe a bad private signal can both conceal this information and shield shareholders from infusing capital into the firm by issuing new debt to service existing debt, thus avoiding default. The implication is that the ?asymmetric information channel? can generate jumps to default (from the creditors? perspective) only for those "high-yield" firms that have exhausted their ability to borrow. ...
Working Paper Series , Paper WP-2019-8

Conference Paper
The lender's view of debt and equity: the case of pension funds

Conference Series ; [Proceedings] , Volume 33 , Pages 106-135

Working Paper
Product market competition and the impact of price uncertainty on investment: some evidence from U.S. manufacturing industries

This paper examines the relationship between real exchange rates and real interest rates using three different approaches across four currencies and two horizons with 20 years of data. Each approach gives some encouragement that this relationship might hold, but each approach also encounters problems establishing the form or usefulness of the relationship. On balance, this paper contributes to the literature by finding more encouraging results than in earlier studies, but it still remains to be demonstrated that the real exchange rate-real interest rate relationship is the linchpin to ...
International Finance Discussion Papers , Paper 517

Journal Article
Stock prices and business investment

Is there a link between the stock market and business investment? Empirical evidence indicates that there is. A firm tends to invest more when its stock price increases, and it tends to invest less when the price falls. In ?Stock Prices and Business Investment,? Yaron Leitner discusses existing research that explains this relationship. One question under consideration is whether the stock market actually improves investment decisions.
Business Review , Issue Q4

Working Paper
Uncertainty and investment: an empirical investigation using data on analysts' profits forecasts

We investigate the empirical relationship between company investment and measures of uncertainty, controlling for the effect of expected future profitability on current investment decisions. We consider three measures of uncertainty derived from (1) the volatility in the firm's stock returns; (2) disagreement among securities analysts in their forecasts of the firm's future profits; and (3) the variance of forecast errors in analysts' forecasts of the firm's future profits. We consider two controls for expected profitability: (1) a standard measure of Brainard-Tobin's q constructed from the ...
Finance and Economics Discussion Series , Paper 2004-20

Journal Article
IFF achieving scale throughout the region

IFF (formerly Illinois Facilities Fund) became a regional community development financial institution (CDFI) in 2007, extending its reach beyond Illinois to include Iowa, Missouri, and Wisconsin. This year, the expansion has continued into Indiana. In January 2008, IFF added a new office in St. Louis at 1221 Locust Street to augment the local service of existing offices in Chicago and Peoria. The new office helps support the mission of meeting the real estate financing needs of nonprofits across the region.
Profitwise , Issue Sep , Pages 15-18

Conference Paper
Insurance companies as financial intermediaries: risk and return

Conference Series ; [Proceedings] , Volume 35 , Pages 19-72



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