We examine the microstructure of liquidity provision in the COVID-19 corporate bond
liquidity crisis. During the two weeks leading up to Federal Reserve System interventions …

The COVID-19 pandemic shows significant impacts on credit risk, which is the key concern
of corporate bond holders such as insurance companies. Credit risk, quantified by agency …

In this paper we study the structural robustness of the Italian business system, using the
Covid-19 pandemic as an exogenous event to test it. To this aim, we use the ROC (Receiver …

Debt securities markets have grown globally. Exploring the BIS international debt securities
statistics, we find that the offshore affiliates of non-financial corporates (NFCs) have played …

В статье анализируется поведение кредитного цикла в период после глобального
финансового кризиса, а также последствия изменений «межкризисного» периода 2010 …

While there has been a significant amount of research related to COVID-19's impact on
financial markets, none has addressed the potential change in relative market efficiency and …

The book offers an overview of credit risk modeling and management. A three-step
approach is adopted with the contents, after introducing the essential concepts of both …

Our goal is to present a new classifier of economic-financial solidity (EFSI) of Italian firms,
which can be used to assess the evolution of Italian firms' economic and financial structure …

The BIS indicated in July 2020 an unprecedented rise in default risk correlation as a result of
pandemics-induced credit risks' accumulation. A third of the world banking assets credit risk …

There is a vast amount of literature criticizing the Basel Committee approach to the credit risk
regulation, more specifically, the Internal Ratings-Based (IRB), as an excessively …