Related papers: Life after (Soft) Default
A novel procedure is presented for finding the true but latent endpoints within the repayment histories of individual loans. The monthly observations beyond these true endpoints are false, largely due to operational failures that delay…
Too many defective compute chips are escaping existing manufacturing tests -- at least an order of magnitude more than industrial targets across all compute chip types in data centers. Silent data corruptions (SDCs) caused by test escapes,…
This article examines the economic effects of an increase in the duration of home loans on households, focusing on the French real estate market. It highlights trends in the property market, existing loan systems in other countries (such as…
While defaults are rare events, losses can be substantial even for credit portfolios with a large number of contracts. Therefore, not only a good evaluation of the probability of default is crucial, but also the severity of losses needs to…
The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions…
This paper develops a structural credit risk model to characterize the difference between the economic and recorded default times for a firm. Recorded default occurs when default is recorded in the legal system. The economic default time is…
Extracting from shared resources requires making choices to balance personal profit and sustainability. We present the results of a behavioural experiment wherein we manipulate the default extraction from a finite resource. Participants…
The fundamental problem of causal inference -- that we never observe counterfactuals -- prevents us from identifying how many might be negatively affected by a proposed intervention. If, in an A/B test, half of users click (or buy, or…
The rapid development of new software and algorithms, fueled by the immense amount of data available, has made the shelf life of software products a lot shorter. With a rough estimate of more than 40,000 new software projects developed…
There is empirical evidence that recovery rates tend to go down just when the number of defaults goes up in economic downturns. This has to be taken into account in estimation of the capital against credit risk required by Basel II to cover…
The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are even assumed constant. This is despite…
Context: The term technical debt (TD) describes the aggregation of sub-optimal solutions that serve to impede the evolution and maintenance of a system. Some claim that the broken windows theory (BWT), a concept borrowed from criminology,…
The Department of Homeland Security in the United States estimates that 90% of software vulnerabilities can be traced back to defects in design and software coding. The financial impact of these vulnerabilities has been shown to exceed 380…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
This paper presents the results of a research study related to software system failures, with the goal of understanding how we might better evolve, maintain and support software systems in production. We have qualitatively analyzed thirty…
We offer evidence that federal emergency assistance (FEMA) in the days following natural disasters mitigate evictions in comparison to similar emergency scenarios where FEMA aid is not provided. We find an approximate 10.9% increase in…
This study analyses the duration dependence of events that trigger volatility persistence in stock markets. Such events, in our context, are monthly spells of contiguous price decline or negative returns for the S&P500 stock market index…
The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of n firms which may default directly or may be infected by…
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk…
The recent "correlation breakdown" in the modeling of credit default swaps, in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and argued to be a fundamental market…