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Structural credit risk models in ban...

Imerman, Michael B.

Structural credit risk models in banking with applications to the financial crisis.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Structural credit risk models in banking with applications to the financial crisis.
Author:	Imerman, Michael B.
Description:	148 p.
Notes:	Source: Dissertation Abstracts International, Volume: 72-09, Section: A, page: .
Notes:	Advisers: Ren-Raw Chen; Ben J. Sopranzetti.
Contained By:	Dissertation Abstracts International72-09A.
Subject:	Business Administration, Management.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3460707
ISBN:	9781124729022

Structural credit risk models in banking with applications to the financial crisis.
Imerman, Michael B.

Structural credit risk models in banking with applications to the financial crisis. - 148 p.

Source: Dissertation Abstracts International, Volume: 72-09, Section: A, page: .

Thesis (Ph.D.)--Rutgers The State University of New Jersey - Newark, 2011.

This dissertation uses structural credit risk models to analyze banking institutions during the recent financial crisis.

ISBN: 9781124729022Subjects--Topical Terms:

212493
Business Administration, Management.

Structural credit risk models in banking with applications to the financial crisis.
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245 1 0 $a Structural credit risk models in banking with applications to the financial crisis.
300 $a 148 p.
500 $a Source: Dissertation Abstracts International, Volume: 72-09, Section: A, page: .
500 $a Advisers: Ren-Raw Chen; Ben J. Sopranzetti.
502 $a Thesis (Ph.D.)--Rutgers The State University of New Jersey - Newark, 2011.
520 $a This dissertation uses structural credit risk models to analyze banking institutions during the recent financial crisis.
520 $a The first essay proposes a dynamic approach to estimating bank capital requirements with a structural credit risk model. The model highlights the fact that static measures of capital adequacy, such as a fixed percentage of assets, do not capture the true condition of a financial institution. Rather, a dynamic approach that is forward-looking and tied to market conditions is more appropriate in setting capital requirements. Furthermore, the structural credit risk model demonstrates how market information and the liability structure can be used to compute default probabilities, which can then be used as a point of reference for setting capital requirements. The results indicate that capital requirements may be time-varying and conditional upon the health of the particular bank and the financial system as a whole.
520 $a The second essay develops a structural credit risk model for computing a term-structure of default probabilities for a financial institution. The model uses current market data and the complete debt structure of the financial institution. It incorporates an endogenous default boundary in a generalized binomial lattice framework. This framework is flexible and easily permits alternate capital structure policy assumptions; for example, it can allow for the possibilities of funding maturing debt with new debt, new equity, or a mix of debt and equity. The model is implemented to analyze Lehman Brothers in the midst of the 2008 financial crisis and develop estimates of default probability under these alternate capital structure policy assumptions. The assumptions result in different levels of default probability but all predict higher default probabilities in March of 2008, well before Lehman's bankruptcy in September of 2008. In addition to being used in a descriptive capacity, the model can be used for prescriptive purposes. The lower-bound default probabilities assume de-leveraging by the financial institution and can be used to indicate when debt should be retired with new equity rather than being rolled-over.
590 $a School code: 0461.
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650 4 $a Economics, Finance. $3 212585
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790 1 0 $a Sopranzetti, Ben J., $e advisor
790 $a 0461
791 $a Ph.D.
792 $a 2011
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3460707