Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk

Credit default swaps (CDS) are derivative contracts that are widely used as tools for credit risk management. However, in recent years, concerns have been raised about whether CDS trading itself affects the credit risk of the reference entities. We use a unique, comprehensive sample covering CDS trading of 901 North American corporate issuers, between June 1997 and April 2009, to address this q…

Credit derivatives and credit linked notes 2nd ed

Includes bibliographies and index

Determinants of Agriculture-Related Loan Default: Evidence from China

This paper investigates agriculture-related loan default in 2002–2009 through a large data set from a leading Chinese state-owned bank. Using logit regression, we find the default rate on agriculture-related loans is significantly higher than that on non agriculture-related loans. We find that base interest rates, loan maturity, the type of collateral, firm size, ownership structure, and mana…

Analisis Determinan Likuditas Surat Berharga Syariah Negara (SBSN) di Pasar S…

-

Bank Risk level and A bank Capital ; The Case of The Indonesian Banking Sector

Artikel ini menganalisis hubungan antara resiko bank dan modal. Dengan mengunakan analisis 3SLS penelitian ini menemukn adanya hubungan negatif antara tingakatan antara tingkat resiko dan modal sektor perbankan. tingaktat aktiva sektor perbankan menunjukan hubungan positif dengan resiko bank, sama halna dengan krisismoneter 1997.

Analisis Perbandingan Kinerja Peer-to-Peer Lending pada Pembatasan Aktivitas …

Dalam beberapa tahun terakhir industri peer-to-peer lending sedang populer dan berkembang di Indonesia, namun pembatasan aktivitas akibat covid-19 berdampak pada perekonomian global terutama pada lembaga keuangan termasuk peer-to-peer lending. Penetapan pembatasan aktivitas akibat covid-19 telah ditetapkan oleh Pemerintah Indonesia pada Maret 2020 dan dilakukan pencabutan pembatasan aktivitas p…

Pengaruh Gender, Usia, dan Pendidikan Perdana Peer-to-Peer Lending terhadap K…

Edisi

-

ISBN/ISSN

-

Deskripsi Fisik

ix, 42 p. ; diagr. ; 30 cm

Judul Seri

-

No. Panggil

T 041/23

Pemodelan Probability of Default Portofolio Pembiayaan Bersama dengan Fintech…

Penelitian ini bertujuan untuk mengetahui teknik pemodelan probability of default yang tepat pada portfolio pembiayaan bersama antara bank dan fintech lending dan perusahaan pembiayaan (multi finance) pada Bank Swasta Nasional. Teknik yang digunakan sebagai perbandingan adalah teknik tradisional regresi logistik dan teknik machine learning. Penelitian dilakukan berdasarkan data Bank Swasta Nasi…

Analisis Manajemen Laba dan Probabilitas Default Perusahaan Non Keuangan di I…

Penelitian ini bertujuan untuk melihat perbedaan jumlah perusahaan yang masuk ke dalam kategori default pada masa sebelum pandemi dan saat pandemi COVID-19. Penelitian juga mempelajari apakah manajemen laba (earnings management) memiliki korelasi dengan probabilitas default saat pandemi COVID-19 khususnya perusahaan non keuangan di Indonesia. Data penelitian diperoleh dari Bursa Efek Indonesia …

Urgensi Keberlanjutan dan Kredibilitas Perusahaan: Studi Empiris Pengaruh ESG…

Upaya mitigasi risiko perusahaan dilakukan, salah satunya, dengan membangun citra baik perusahaan publik melalui penerapan operasional bisnis yang berkelanjutan atau ESG. Penelitian sebelumnya menghadirkan bagaimana penerapan ESG mampu mempengaruhi berbagai variabel dalam operasional bisnis perusahaan. Dua fokus utama dalam penelitian sebelumnya terdapat pada bagaimana ESG mampu memengaruhi kin…

Analisis Pengaruh Penilaian Pengungkapan Environmental, Social, Governance (E…

Penelitian ini menguji pengaruh pengungkapan penilaian Environmental, Social, Governance (ESG) terhadap default risk perusahaan publik pada sector energi di dalam wilayah APEC. Penelitian dilakukan dengan menggunakan regresi data panel yang terdiri dari 65 perusahaan publik di sektor energi dalam wilayah APEC pada periode 2015 hingga 2023. Hasil penelitian menunjukkan bahwa skor penilaian pengu…

Analisis Peringkat Kredit Korporasi Non-Keuangan di Indonesia Ditinjau Dari M…

Penelitian ini merupakan analisis penilaian risiko kredit (credit rating) ditinjau dari model penilaian risiko kredit berbasis data akuntansi dan data pasar, terhadap korporasi non-keuangan di Indonesia pada periode 2013 - 2022. Sampel yang digunakan adalah nilai peringkat kredit dari 20 perusahaan yang terdaftar di Bursa Efek Indonesia dan masuk dalam indeks IDX 80, serta memiliki peringkat kr…

Pengaruh Faktor Makroekonomi dan Kondisi Pasar Finansial Terhadap Pergerakan …

Investment on Indonesian Government 10-year Bonds has had significant improvement in the last few years. The phenomenon has been justified not just by the increase of dependency of the state budget in relation to government bonds, but also the increase of participants investing in government bonds every year. A comprehensive understandment on government bonds and factors affecting their yield c…

Have Rating Agencies Become More Conservative? Implications for Capital Struc…

Rating agencies have become more conservative in assigning corporate credit ratings over the period 1985 to 2009, holding firm characteristics constant, avarage ratings have dropped by three notches..Printed Journal

A Model of Mortgage Default

In this paper, we solve a dynamic model of households mortgage decisions incorporating labor income, house rice, inflation, and interest rate risk..Printed Journal

The Effect of Succession Taxes on Family Firm Investment: Evidence from a Nat…

Printed Journal

Pertimbangan auditor dalam memberikan opini audit going concern

Going concern audit opinion will cause a decline in public trust and may even accelerate the company went bankrupt, as in the hypothesis of a self-fulfilling prophecy. This study examines the financial and non-financial faktors that can be obtained comprehensive model that can be considered by the auditor in assessing business continuity auditee. The purpose of this study was to test the effect…

Debt Maturity and Asymmetric Information: Evidence from Default Risk Changes

Asymmetric information models suggest that a borrower's choice of debt maturity depends on its private information about its default probabilities, i.e., borrowers with favorable information prefer short-term debt while those with unfavorable information prefer long-term debt. We test this implication by tracing the evolution of debt issuers' default risk following debt issuances. We find that …

The Determinants of Attitudes toward Strategic Default on Mortgages

We use survey data to study American households? propensity to default when the value of their mortgage exceeds the value of their house even if they can afford to pay their mortgage (strategic default). We find that 26% of the existing defaults are strategic. We also find that no household would default if the equity shortfall is less than 10% of the value of the house. Yet, 17% of households …

Penentuan Bobot Resiko Kredit Untuk Rumah Tinggal: Studi Kasus Di indonesia

This paper analyzes the appropriateness of the basic risk weight for the fully secured residential mortgage, recommended in Basel II, to be implemented on Indonesian economy. As the supervisory authorities can customize the 35% of recommended risk weight based on the national arrangements, we analyze the practical ground of the residential mortgage in Indonesia focusing on the probability and t…