Auteurs : Olfa Maalaoui (KAIST Graduate School of Finance); Georges Dionne (HEC Montreal); Pascal François (HEC Montreal)
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Intervenants : Olfa Maalaoui (Olfa Maalaoui (KAIST Graduate School of Finance)
Rapporteurs : Grégoire Leblon
Many empirical studies on credit spread determinants consider a single-regime model over the entire sample period and find limited explanatory power. We model the credit cycle independently from macroeconomic fundamentals using a Markov regime switching model. We show that accounting for endogenous credit cycles enhances the explanatory power of credit spread determinants. The single regime model cannot be improved when conditioning on the states of the NBER economic cycle. Furthermore, the regime-based model highlights a positive relation between credit spreads and the risk-free rate in the high regime. Inverted relations are also obtained for some other determinants.
Auteurs : Christophe Villa (Audencia Nantes School of Management and CREST-CSM); Nurmukhammad Yusupov (Audencia Nantes School of Management)
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Intervenants : Christophe Villa (Audencia Nantes School of Management and CREST-CSM)
Theoretical models of microcredit have focused on single lender settings with monopolistic MFIs. In practice however, multiple banking relationships are ubiquitous. In this paper we develop a theoretical model with multiple players on the supply side of microcredit to explain the workings of modern microcredit industry.
Auteurs : Grégoire Leblon (Université de Rennes 1 and CNRS); Franck Moraux (Université de Rennes 1 and CNRS)
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Intervenants : Grégoire Leblon (Université de Rennes 1 and CNRS)
Rapporteurs : Olfa Maalaoui
The family of the Affine Term Structure of interest rate has been a lot
developed in the literature since the first work of Vasicek (1977) and Cox, Ingersoll and Ross (1985b). Although their performances increase, they are still facing several difficulties in their capacity to fully explain the behaviour of the Term Structure of interest rate. Some of these issues are explain by the omission of non linear relation in the affine model (Dai and Singleton, 1999). This paper is in the continuity of this reflexion. It presents, develops, applies and discuses the quadratic model both in discrete and continuous time.