Credit Risk and Financial Regulations

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• REFET SOYKAN GÜRKAYNAK

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• TANJU YORULMAZER

Summary We use LASSO methods to shrink, select, and estimate the high‐dimensional network linking the publicly traded subset of the world's top 150 banks, 2003–2014. We characterize static network connectedness using full‐sample estimation and dynamic network connectedness using rolling‐window estimation. Statically,…

ABSTRACT The debt capacity of an asset is the maximum amount that can be borrowed using the asset as collateral. We model a sudden collapse in the debt capacity of good collateral. We assume short‐term debt that must be frequently rolled over, a small transaction cost of selling collateral in the event of default, and…

• TANJU YORULMAZER

For over ten years, the Treasury has issued index-linked debt. This paper describes the methodology for fitting a smoothed yield curve to these securities that is used at the Federal Reserve Board every day, and makes the estimates public. Comparison with the corresponding nominal yield curve allows measures of inflat…

• REFET SOYKAN GÜRKAYNAK

ABSTRACT The paper focuses on two countries, Japan and the U.S., to test the integration of capital markets. In Japan, the enactment of the Foreign Exchange and Foreign Trade Control Law in December of 1980 amounted to a true regime switch that virtually eliminated capital controls. Using multifactor asset pricing mod…

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• LEVENT GÜNTAY

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• LEVENT GÜNTAY

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Purpose The recent financial crises in the world have brought attention to the need for a new international financial architecture which rests on crisis prevention, crisis prediction and crisis management. It is therefore both desirable and vital to explore new predictive techniques for providing early warnings to reg…

• MEHMED ÖZKAN

This paper demonstrates the relationship between CAMELS ratios and credit ratings of deposit banks in Turkey. Annual data was used for the period between 2004 and 2014 in this study. Moreover, 20 deposit banks of Turkey were analyzed and 21 different ratios of CAMELS components were used. In addition to that, credit r…

• SERHAT YÜKSEL
• ÜMİT HACIOĞLU