Focal Interest
Focal Interest

Credit Risk and Financial Regulations

External reference: https://openalex.org/T11496

  1. Liquidity shocks spill over to related corporate bond peers
    Analysis of liquidity spillover in corporate bond markets following rating downgrades, showing contagion through information learning across related securities.
  2. Negative interest rates linked to lower loan loss provisioning
    Study of 1958 OECD banks shows that negative interest rate policies reduce loan loss provisioning, with effects varying by inflation, bank size, and specialization.
  3. Sports tokens showed spillover risk in connected markets
    Quantile VAR analysis reveals how sports tokens transmit and receive systemic shocks, with implications for portfolio construction and downside risk mitigation during market stress.
  4. RNN-based distortion models improved CAT bond pricing
    Catastrophe bond pricing framework combining distortion operator theory with recurrent neural networks, capturing discontinuous repricing and tail-risk compensation.