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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• RAMAZAN AKTAŞ

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• BERNA KIRKULAK ULUDAĞ