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Добірка наукової літератури з теми "Default bonds"

Автор: Grafiati

Опубліковано: 4 червня 2021

Оновлено: 17 лютого 2022

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Статті в журналах з теми "Default bonds"

Swank, Thomas A., and Thomas H. Root. "Bonds in Default." Journal of Fixed Income 5, no. 1 (June 30, 1995): 26–31. http://dx.doi.org/10.3905/jfi.1995.408132.

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Belhaj, Riadh. "The Valuation of Options on Bonds with Default Risk." Multinational Finance Journal 10, no. 3/4 (December 1, 2006): 277–305. http://dx.doi.org/10.17578/10-3/4-5.

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Wang, Anjiao, and Zhongxing Ye. "Credit Risky Securities Valuation under a Contagion Model with Interacting Intensities." Journal of Applied Mathematics 2011 (2011): 1–20. http://dx.doi.org/10.1155/2011/158020.

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We study a three-firm contagion model with counterparty risk and apply this model to price defaultable bonds and credit default swap (CDS). This model assumes that default intensities are driven by external common factors as well as other defaults in the system. Using the “total hazard” approach, default times can be generated and the joint density function is obtained. We represent the pricing method of defaultable bonds and obtain the closed-form pricing formulas. By the approach of “change of measure,” analytical solutions of CDS swap rate (swap premuim) are derived in the continuous time framework and the discrete time framework, respectively.

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Izvorski, Ivailo. "Brady Bonds and Default Probabilities." IMF Working Papers 98, no. 16 (1998): 1. http://dx.doi.org/10.5089/9781451843378.001.

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Uhlig, Harald. "Sovereign Default Risk and Banks in a Monetary Union." German Economic Review 15, no. 1 (February 1, 2014): 23–41. http://dx.doi.org/10.1111/geer.12039.

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Abstract This study seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank, and that their sovereign partially backs up any losses should the banks not be able to repurchase the bonds. I argue that regulators in risky countries have an incentive to allow their banks to hold home risky bonds and risk defaults, whereas regulators in other ‘safe’ countries will impose tighter regulation. As a result, governments in risky countries get to borrow more cheaply, effectively shifting the risk of some of the potential sovereign default losses on the common central bank.

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Han, Song, and Hao Zhou. "Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data." Quarterly Journal of Finance 06, no. 03 (August 4, 2016): 1650012. http://dx.doi.org/10.1142/s2010139216500129.

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We estimate the non-default component of corporate bond yield spreads and examine its relationship with bond liquidity. We measure bond liquidity using intraday transactions data and estimate the default component using the term structure of credit default swaps (CDS) spreads. With swap rate as the risk free rate, the estimated non-default component is generally moderate but statistically significant for AA-, A-, and BBB-rated bonds and increasing in this order. With Treasury rate as the risk free rate, the estimated non-default component is the largest in basis points for BBB-rated bonds but, as a fraction of yield spreads, it is the largest for AAA-rated bonds. Controlling for the unobservable firm heterogeneity, we find a positive and significant relationship between the non-default component and illiquidity for investment-grade bonds but no significant relationship for speculative-grade bonds. We also find that the non-default component comoves with indicators for macroeconomic conditions.

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Maris, Brian A. "Duration for Bonds with Default Risk." CFA Digest 27, no. 3 (August 1997): 20–21. http://dx.doi.org/10.2469/dig.v27.n3.107.

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Fooladi, Iraj J., Gordon S. Roberts, and Frank Skinner. "Duration for bonds with default risk." Journal of Banking & Finance 21, no. 1 (January 1997): 1–16. http://dx.doi.org/10.1016/s0378-4266(96)00018-0.

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Meres, Bernardo, and Caio Almeida. "Extracting Default Probabilities from Sovereign Bonds." Brazilian Review of Econometrics 28, no. 1 (May 1, 2008): 77. http://dx.doi.org/10.12660/bre.v28n12008.1518.

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Takahashi, Akihiko, Takao Kobayashi, and Naruhisa Nakagawa. "Pricing Convertible Bonds with Default Risk." Journal of Fixed Income 11, no. 3 (December 31, 2001): 20–29. http://dx.doi.org/10.3905/jfi.2001.319302.

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Дисертації з теми "Default bonds"

Yao, Xiao. "Modelling loss given default of corporate bonds and bank loans." Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/26020.

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Loss given default (LGD) modelling has become increasingly important for banks as they are required to comply with the Basel Accords for their internal computations of economic capital. Banks and financial institutions are encouraged to develop separate models for different types of products. In this thesis we apply and improve several new algorithms including support vector machine (SVM) techniques and mixed effects models to predict LGD for both corporate bonds and retail loans. SVM techniques are known to be powerful for classification problems and have been successfully applied to credit scoring and rating business. We improve the support vector regression models by modifying the SVR model to account for heterogeneity of bond seniorities to increase the predictive accuracy of LGD. We find the proposed improved versions of support vector regression techniques outperform other methods significantly at the aggregated level, and the support vector regression methods demonstrate significantly better predictive abilities compared with the other statistical models at the segmented level. To further investigate the impacts of unobservable firm heterogeneity on modelling recovery rates of corporate bonds a mixed effects model is considered, and we find that an obligor-varying linear factor model presents significant improvements in explaining the variations of recovery rates with a remarkably high intra-class correlation being observed. Our study emphasizes that the inclusion of an obligor-varying random effect term has effectively explained the unobservable firm level information shared by instruments of the same issuer. At last we incorporate the SVM techniques into a two-stage modelling framework to predict recovery rates of credit cards. The two-stage model with a support vector machine classifier is found to be advantageous on an out-of-time sample compared with other methods, suggesting that an SVM model is preferred to a logistic regression at the classification stage. We suggest that the choice of regression models is less influential in prediction of recovery rates than the choice of classification methods in the first step of two-stage models based on the empirical evidence. The risk weighted assets of financial institutions are determined by the estimates of LGD together with PD and EAD. A robust and accurate LGD model impacts banks when making business decisions including setting credit risk strategies and pricing credit products. The regulatory capital determined by the expected and unexpected losses is also important to the financial market stability which should be carefully examined by the regulators. In summary this research highlights the importance of LGD models and provides a new perspective for practitioners and regulators to manage credit risk quantitatively.

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Keswani, Aneel. "Essays on the pricing of default and catastrophe risk." Thesis, London Business School (University of London), 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.325629.

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Shibata, Michiru. "Pricing models and analysis of corporate coupon-bonds and credit default swaptions." [Tampa, Fla] : University of South Florida, 2007. http://purl.fcla.edu/usf/dc/et/SFE0001938.

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Hariparsad, Sanveer. "The valuation and calibration of convertible bonds." Diss., Pretoria : [s.n.], 2009. http://upetd.up.ac.za/thesis/available/etd-05052009-115008.

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Azevedo, José Henrique Sousa de. "Macroeconomics determinants of loss given default." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10719.

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Mestrado em Finanças
Esta dissertação modeliza a base de dados Moody's Ultimate Recovery Database, concluindo que o ambiente macroeconómico influencia o loss given default (LGD)e que as taxas de recuperação no crédito concedido são menos susceptíveis a serem influenciadas pelas condicionantes macroeconómicas do que as taxas de recuperação das obrigações. A metodologia econométrica tem por base a regressão OLS. São também discutidas outras metodologias passíveis de serem utilizadas.
This dissertation models Moody's Ultimate Recovery Database to show that general macroeconomic conditions influence loss given default and that loans' recovery rates are less susceptible to macroeconomic conditions than bonds'. Available data was studied with Ordinary Least Squares regressions. Alternative methodologies are also discussed.

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Schiemert, Richard [Verfasser], and Marco [Akademischer Betreuer] Wilkens. "Credit Default Swaps : Bewertungsunterschiede zu Corporate Bonds und implizite Marktrisikoprämien / Richard Schiemert. Betreuer: Marco Wilkens." Eichstätt-Ingolstadt : Universitätsbibliothek der Katholischen Universität Eichstätt-Ingolstadt, 2012. http://d-nb.info/1020487712/34.

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Oguz, Hatice Dilek. "Pricing Us Corporate Bonds By Jarrow/turnbull (1995) Model." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/2/12611174/index.pdf.

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In this study Jarrow Turnbull (1995) Model, which is a reduced form approach for credit risk models, is employed to estimate the default intensity of US corporate bonds conditionally based on a fixed recovery rate. The estimations are performed with respect to the ratings of the bonds and the results were consistent with the ratings. US Treasury Bills are also used to since zero coupon default free prices, modeled by Svensson (1994) are necessary for pricing the default risky coupon bonds.

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Roux, Karla Christelle. "Developing of a model to determine the default bond spreads of African countries in the absence of active bond markets." Thesis, Stellenbosch : Stellenbosch University, 2010. http://hdl.handle.net/10019.1/19799.

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Thesis (MBA) -- Stellenbosch University, 2010.
As major corporate entities are investing into Sub-Saharan Africa and other African countries at a fast pace, percentages like the weighted average cost of capital (WACC) and the impairment discount rate, are becoming important measurements of assessing current investments for impairment and/or proposals of future capital investments. One of the important constituents of these percentages is the country/equity risk premium. The country risk premium can be defined as the price for taking risk for investing in that specific country. A widely used method to determine the country risk premium is to multiply the country bond default spread with an equity to bond market risk adjustment. Country bond default spreads are the spreads that investors charge for buying bonds issued by the country. These ratings measure default risk, rather than equity risk, but they are affected by many factors that drive equity risk, like the stability of a country’s currency, the budget and trade balances and the political stability. Analysis that uses spreads as a measure of country risk, usually adds them to both the cost of equity and debt of entities that trade in that country. There are several ways in determining the bond default spreads, but it is most often done in a random and unsystematic manner. Two of the major obstacles in determining these spreads for countries, especially countries of sub-Saharan Africa, are when countries do not issue bonds in another currency such as Euro or US dollar and/or do not have a sovereign credit rating. What could also be a measure of country risk, are the two major country risk polls conducted globally: 1) Euromoney Country Risk Poll; and 2) PRS (Political Risk Group) Composite Risk Ratings. Most of sub-Saharan African countries form part of these risk polls. The usefulness of the PRS scores as a measure of country risk has been previously examined to find that they are correlated with the cost of capital of emerging markets. The aim of the research is to overcome the obstacles in determining default spreads for countries such as sub-Saharan Africa where bond markets are inactive and/or sovereign credit ratings are not assigned, by deriving a predictive model. The predictive model is derived by analysing the relationship between the available estimated default spreads that are assigned to a specific country, depending on their Moody’s sovereign local currency rating and the countries’ respective country risk scores conducted by Euromoney and PRS respectively. The stability of the relationship is also analysed by comparing the prediction of the sub-Saharan’s Africa default spreads based on the 2010 predictive model to the analyses conducted on 2008 data sets. Other similar models have been developed, but this model is focused on the total risk score of a country and not only on the credit risk or related constituents. One of the definitions of country risk is that it relates to the likelihood that changes in the business environment will occur that reduce the profitability of doing business in a country, which can negatively affect operating profits as well as the value of assets. One can conclude that this derived model is a good reflection of prevailing political and economic stability of the countries and a useful measure of country risk that can be used in assessing the profitability of current investments in a specific country and for proposals of future capital investments. Key words: Country bond default spreads, Sovereign credit ratings, Euromoney risk scores, PRS composite ratings, sub-Saharan African countries.

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Mace, Jennifer. "Are CDS Auctions the Tail Wagging the Dog? An Empirical Study of Corporate Bond Return Volatility at the Time of Default." Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/cmc_theses/2212.

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Over the past decade, numerous engineered credit events and cases of market participants manipulating bond prices to influence Credit Default Swap (CDS) auction payouts have occurred. These cases have become increasingly common, and the CFTC has stated they may constitute market manipulation and undermine not only the CDS market but also the credit derivative and default markets. Although there is a plethora of news and media coverage on publicized cases, there is no previous empirical research on evidence of these practices. This paper is motivated by the desire to determine if there is indirect evidence of bond price manipulation around default and of market participants’ attempts to favorably move CDS’s underlying bond prices to achieve more profitable positions around default and emerging from CDS auctions. The analysis is performed by analyzing the effect of a bonds’ inclusion in CDS auctions on bond return volatility around the time of default while controlling for credit risk, illiquidity, firm fundamentals, and other bond-level controls. I find that bond return volatility around default is much higher as a result of a bond’s inclusion in a CDS auction, which serves as indirect evidence of bond price manipulation around default as market participants strive for more profitable CDS auction outcomes and possibly of manufactured credit events. Consistent with previous literature, I also find that bond illiquidity significantly impacts bond return volatility. My results are robust to propensity score matching, implementing double-robust estimators, and controlling for any time-varying cross-sectionally-invariant fluctuations in bond return volatility.

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Augustin, Patrick. "Essays on sovereign credit risk and credit default swap spreads." Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Finansiell ekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2131.

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This doctoral thesis consists of 4 self-contained chapters: Sovereign Credit Default Swap Premia. This comprehensive review of the literature on sovereign CDS spreads highlights current academic debates and contrasts them with contradictory statements from the popular press. Real Economic Shocks and Sovereign Credit Risk. New empirical evidence highlights that global macroeconomic risk unspanned by global financial risk bears some responsibility for the strong co-movement in sovereign spreads. A model with only two global macroeconomic state variables rationalizes the existence of time-varying risk premia as a compensation for exposure to common U.S. business cycle risk. The Term Structure of CDS Spreads and Sovereign Credit Risk. The term structure of CDS spreads is an informative signal about the relative importance of global and country-specific risk factors for the time variation of sovereign credit spreads. An empirically validated model illustrates how local risk matters relatively more when the slope is negative, while systematic risk bears more responsibility when the slope is positive. Squeezed Everywhere - Disentangling Types of Liquidity and Testing Limits-to-Arbitrage. The CDS-Bond basis is used as a laboratory to disentangle different types of liquidity and to test limits-of-arbitrage. While asset-specific liquidity is cross-correlated in both the cash and derivative market, funding and market liquidity matter only for the former. The tests find strong evidence in favor of margin-based asset pricing and flight-to-quality effects.

Diss. Stockholm : Handelshögskolan, 2013. Sammanfattning jämte 4 uppsatser

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Книги з теми "Default bonds"

Moro, Virilo. Sovereign bond default risk: An estimation of Brady bonds default probability with risk aversion. [s.l.]: typescript, 1997.

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New York (State). Legislature. Senate. Standing Committee on Banks. Argentine bond default: Public hearing. New York: s.n., 2010.

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Babbel, David F. Default risk and the effective duration of bonds. Washington, D.C: World Bank, Financial Sector Development Dept., 1995.

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Kostikov, I. V. Defolty na rynke munit︠s︡ipalʹnykh obligat︠s︡iĭ SShA: Ėkonomicheskie aspekty. Moskva: Nauka, 2001.

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Default risk in bond and credit derivatives markets. Berlin: Springer, 2004.

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Andritzky, Jochen R. The pricing of credit default swaps during distress. [Washington, D.C.]: International Monetary Fund, Monetary and Capital Markets Dept., 2006.

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Peressin, Laura. Il mercato degli high yield bonds e la previsione del default. Milano: Giuffrè, 2002.

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Blanco, Roberto. An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps. London: Bank of England, 2004.

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Chan-Lau, Jorge A. Equity prices, credit default swaps, and bond spreads in emerging markets. [Washington, D.C.]: International Monetary Fund, 2004.

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Jorgensen, Erika. Default and renegotiation of Latin American foreign bonds in the interwar period. Cambridge, MA: National Bureau of Economic Research, 1988.

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Частини книг з теми "Default bonds"

Ernstberger, Philip. "Pricing Bonds." In Crisis, Debt, and Default, 83–87. Wiesbaden: Springer Fachmedien Wiesbaden, 2016. http://dx.doi.org/10.1007/978-3-658-13231-6_8.

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Fabozzi, Frank J. "Municipal Credit Default Swaps." In The Handbook of Municipal Bonds, 647–55. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119198093.ch40.

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Barr, David, Oliver Bush, and Alex Pienkowski. "GDP-linked Bonds and Sovereign Default." In Life After Debt, 246–75. London: Palgrave Macmillan UK, 2014. http://dx.doi.org/10.1057/9781137411488_16.

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Huck, Bill. "Super Bowl XXXII Helps Resolve Bond Default." In The Handbook of Municipal Bonds, 1195–200. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119198093.ch80.

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Berger, Verena Anna. "Modelling credit default swap prices." In Impact of Government Bonds Spreads on Credit Derivatives, 27–43. Wiesbaden: Springer Fachmedien Wiesbaden, 2017. http://dx.doi.org/10.1007/978-3-658-20219-4_3.

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Sutherland, Andrew, and Jason Court. "Corporate Bonds, Credit Spreads and Credit Default Swaps." In The Front Office Manual, 187–205. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137030696_10.

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Ross, Michael J. "9/11, Subprime Loans, and the Magnolia Park Apartments Bond Default." In The Handbook of Municipal Bonds, 1153–60. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119198093.ch75.

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Wise, Mark B., and Vineer Bhansali. "Implications of Correlated Default for Portfolio Allocation to Corporate Bonds." In The Credit Market Handbook, 165–85. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119201892.ch8.

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Karmann, Alexander, and Mike Plate. "„Country Risk-Indicator. An Option Based Evaluation“ Implicit Default Probabilities of Foreign USD Bonds." In Wirtschaftswissenschaftliche Beiträge, 43–50. Heidelberg: Physica-Verlag HD, 2000. http://dx.doi.org/10.1007/978-3-642-57656-0_4.

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Kawamura, Enrique. "Comment on “GDP-Linked Bonds and Sovereign Default” by David Barr, Oliver Bush and Alex Pienkowski." In Life After Debt, 276–80. London: Palgrave Macmillan UK, 2014. http://dx.doi.org/10.1057/9781137411488_17.

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Тези доповідей конференцій з теми "Default bonds"

Zhang, Lei, Xiaoxing Liu, and Chao Wang. "Bonds pricing with default risk in the fractional brownian motion environment." In the 3rd International Conference. New York, New York, USA: ACM Press, 2019. http://dx.doi.org/10.1145/3361785.3361799.

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He, Xubiao. "The RBF Method of Pricing Two-Factor Convertible Bonds with Default Risk." In 2008 4th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM). IEEE, 2008. http://dx.doi.org/10.1109/wicom.2008.2319.

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Xu, Ruxing, and Shenghong Li. "A Tree Model for Pricing Convertible Bonds with Equity, Market and Default Risk." In 2009 International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2009. http://dx.doi.org/10.1109/bife.2009.157.

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Li, Guanglu, and Susheng Wang. "Estimation of Default Scale of 2020 Credit Bonds Under the Influence of Epidemic." In 2020 2nd International Conference on Economic Management and Cultural Industry (ICEMCI2020). Paris, France: Atlantis Press, 2020. http://dx.doi.org/10.2991/aebmr.k.201128.101.

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Liang, Kaihao, and Kin Keung Lai. "The Compensation Model for Default-Risk of Corporate Bonds in China under Kalman Filter." In 2009 International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2009. http://dx.doi.org/10.1109/bife.2009.99.

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Bi, Ke. "Research on Bond Issuers’ Default Risk." In 2021 6th International Conference on Social Sciences and Economic Development (ICSSED 2021). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/assehr.k.210407.117.

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Maruddani, Di Asih I., Dedi Rosadi, Gunardi, and Abdurakhman. "Default probability of multiperiods coupon bond based on classical approach." In 2015 International Conference on Research and Education in Mathematics (ICREM7). IEEE, 2015. http://dx.doi.org/10.1109/icrem.2015.7357068.

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Yan, Liu. "Calculation on Bond Default Probability Based on Monte Carlo Simulation KMV Model." In 2020 International Conference on Computer Vision, Image and Deep Learning (CVIDL). IEEE, 2020. http://dx.doi.org/10.1109/cvidl51233.2020.00-10.

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Jiang, Hongyun, and Qiang Li. "Research on Bond Default Reasons: A Case Study of Wintime Energy Co., Ltd." In 2021 International Conference on Transformations and Innovations in Business and Education (ICTIBE 2021). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/aebmr.k.210809.013.

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Chen, Xiao-hong, and Qi Zhang. "Pricing Model of Small-Medium Enterprise Mutual Guarantee Bonds with Unexpected Defaults." In 2008 International Seminar on Business and Information Management (ISBIM). IEEE, 2008. http://dx.doi.org/10.1109/isbim.2008.228.

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Звіти організацій з теми "Default bonds"

Chen, Hui, Rui Cui, Zhiguo He, and Konstantin Milbradt. Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle. Cambridge, MA: National Bureau of Economic Research, October 2014. http://dx.doi.org/10.3386/w20638.

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Jorgensen, Erika, and Jeffrey Sachs. Default and Renegotiation of Latin American Foreign Bonds in the Interwar Period. Cambridge, MA: National Bureau of Economic Research, June 1988. http://dx.doi.org/10.3386/w2636.

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Buser, Stephen, Patric Hendershott, and Anthony Sanders. On the Determinants of the Value of Call Options on Default-Free Bonds. Cambridge, MA: National Bureau of Economic Research, March 1988. http://dx.doi.org/10.3386/w2529.

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Giesecke, Kay, Francis Longstaff, Stephen Schaefer, and Ilya Strebulaev. Corporate Bond Default Risk: A 150-Year Perspective. Cambridge, MA: National Bureau of Economic Research, March 2010. http://dx.doi.org/10.3386/w15848.

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Financial Stability Report - September 2015. Banco de la República, August 2021. http://dx.doi.org/10.32468/rept-estab-fin.sem2.eng-2015.

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Анотація:

From this edition, the Financial Stability Report will have fewer pages with some changes in its structure. The purpose of this change is to present the most relevant facts of the financial system and their implications on the financial stability. This allows displaying the analysis more concisely and clearly, as it will focus on describing the evolution of the variables that have the greatest impact on the performance of the financial system, for estimating then the effect of a possible materialization of these risks on the financial health of the institutions. The changing dynamics of the risks faced by the financial system implies that the content of the Report adopts this new structure; therefore, some analyses and series that were regularly included will not necessarily be in each issue. However, the statistical annex that accompanies the publication of the Report will continue to present the series that were traditionally included, regardless of whether or not they are part of the content of the Report. In this way we expect to contribute in a more comprehensive way to the study and analysis of the stability of the Colombian financial system. Executive Summary During the first half of 2015, the main advanced economies showed a slow recovery on their growth, while emerging economies continued with their slowdown trend. Domestic demand in the United States allowed for stabilization on its average growth for the first half of the year, while other developed economies such as the United Kingdom, the euro zone, and Japan showed a more gradual recovery. On the other hand, the Chinese economy exhibited the lowest growth rate in five years, which has resulted in lower global dynamism. This has led to a fall in prices of the main export goods of some Latin American economies, especially oil, whose price has also responded to a larger global supply. The decrease in the terms of trade of the Latin American economies has had an impact on national income, domestic demand, and growth. This scenario has been reflected in increases in sovereign risk spreads, devaluations of stock indices, and depreciation of the exchange rates of most countries in the region. For Colombia, the fall in oil prices has also led to a decline in the terms of trade, resulting in pressure on the dynamics of national income. Additionally, the lower demand for exports helped to widen the current account deficit. This affected the prospects and economic growth of the country during the first half of 2015. This economic context could have an impact on the payment capacity of debtors and on the valuation of investments, affecting the soundness of the financial system. However, the results of the analysis featured in this edition of the Report show that, facing an adverse scenario, the vulnerability of the financial system in terms of solvency and liquidity is low. The analysis of the current situation of credit institutions (CI) shows that growth of the gross loan portfolio remained relatively stable, as well as the loan portfolio quality indicators, except for microcredit, which showed a decrease in these indicators. Regarding liabilities, traditional sources of funding have lost market share versus non-traditional ones (bonds, money market operations and in the interbank market), but still represent more than 70%. Moreover, the solvency indicator remained relatively stable. As for non-banking financial institutions (NBFI), the slowdown observed during the first six months of 2015 in the real annual growth of the assets total, both in the proprietary and third party position, stands out. The analysis of the main debtors of the financial system shows that indebtedness of the private corporate sector has increased in the last year, mostly driven by an increase in the debt balance with domestic and foreign financial institutions. However, the increase in this latter source of funding has been influenced by the depreciation of the Colombian peso vis-à-vis the US dollar since mid-2014. The financial indicators reflected a favorable behavior with respect to the historical average, except for the profitability indicators; although they were below the average, they have shown improvement in the last year. By economic sector, it is noted that the firms focused on farming, mining and transportation activities recorded the highest levels of risk perception by credit institutions, and the largest increases in default levels with respect to those observed in December 2014. Meanwhile, households have shown an increase in the financial burden, mainly due to growth in the consumer loan portfolio, in which the modalities of credit card, payroll deductible loan, revolving and vehicle loan are those that have reported greater increases in risk indicators. On the side of investments that could be affected by the devaluation in the portfolio of credit institutions and non-banking financial institutions (NBFI), the largest share of public debt securities, variable-yield securities and domestic private debt securities is highlighted. The value of these portfolios fell between February and August 2015, driven by the devaluation in the market of these investments throughout the year. Furthermore, the analysis of the liquidity risk indicator (LRI) shows that all intermediaries showed adequate levels and exhibit a stable behavior. Likewise, the fragility analysis of the financial system associated with the increase in the use of non-traditional funding sources does not evidence a greater exposure to liquidity risk. Stress tests assess the impact of the possible joint materialization of credit and market risks, and reveal that neither the aggregate solvency indicator, nor the liquidity risk indicator (LRI) of the system would be below the established legal limits. The entities that result more individually affected have a low share in the total assets of the credit institutions; therefore, a risk to the financial system as a whole is not observed. José Darío Uribe Governor

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