Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics

Understanding why some firms default, while others do not, is an important issue for the assessment of financial stability. In this domain, it may be interesting to understand if credit risk is driven mostly by idiosyncratic firm characteristics or by systematic factors, which simultaneously affect all firms. In order to empirically examine the determinants of loan default, we begin by exploring the links between credit risk and macroeconomic developments at an aggregate level. The results obtained seem to confirm the hypothesis that in periods of economic growth, which are sometimes accompanied by strong credit growth, there may be some tendency towards excessive risk-taking, even though the imbalances created in such periods only become apparent when economic growth slows down. After examining the determinants of credit risk at an aggregate level, we focus our attention on an extensive dataset with detailed financial information for more than 30.000 firms. The results obtained suggest that default probabilities are influenced by several firm-specific characteristics, such as their financial structure, profitability and liquidity, as well as by their recent sales performance or their investment policy. When time-effect controls or macroeconomic variables are taken into account together with the firms’ characteristics, the results seem to improve substantially. Hence, though the firms’ financial and operational situation has a central role in explaining default probabilities at the micro level, overall macroeconomic conditions are also very important when assessing default probabilities over time.

Absence of Chaos in Bohmian Dynamics

The Bohm motion for a particle moving on the line in a quantum state that is a superposition of n+1 energy eigenstates is quasiperiodic with n frequencies.Comment: 1 pag

Self-dual Hopfions

We construct static and time-dependent exact soliton solutions with non-trivial Hopf topological charge for a field theory in 3+1 dimensions with the target space being the two dimensional sphere S**2. The model considered is a reduction of the so-called extended Skyrme-Faddeev theory by the removal of the quadratic term in derivatives of the fields. The solutions are constructed using an ansatz based on the conformal and target space symmetries. The solutions are said self-dual because they solve first order differential equations which together with some conditions on the coupling constants, imply the second order equations of motion. The solutions belong to a sub-sector of the theory with an infinite number of local conserved currents. The equation for the profile function of the ansatz corresponds to the Bogomolny equation for the sine-Gordon model.Comment: plain latex, no figures, 23 page