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AbstractResearch Question/IssueThis study examines the effect of weak corporate governance in terms of concentrated ownership, low board effectiveness, low financial transparency and higher shareholder rights on default correlation when firms have different credit qualities.Research Findings/InsightsUsing historical default data in the United States from 2000 to 2015, we find that the degree of default correlation increases disproportionately for firms with concentrated ownership, low board effectiveness, low financial transparency and disclosures, and higher shareholder rights. More importantly, the effect of weak corporate governance on default correlation is high during a financial crisis.Theoretical/Academic ImplicationsThis is one of the first studies testing the impact of corporate governance on the correlation in corporate defaults. It indicates new avenues of research for both corporate governance and credit risk management in relation to why joint default probabilities vary among firms.Practitioner/Policy ImplicationsOur results imply that good corporate governance is essential for credit risk management because poor corporate governance may increase individual default risk and create the domino effect of credit defaults. Practitioners and policy makers should enhance control over poor governance practices to reduce the probabilities of default. Moreover, the impact of corporate governance on correlation in corporate defaults is more pronounced in financial crises and warrants consideration from policy makers to take steps toward cushioning its effects.

This book provides an advanced guide to correlation modelling for credit portfolios, providing both theoretical underpinnings and practical implementation guidance. The book picks up where pre-crisis credit books left off, offering guidance for quants on the latest tools and techniques for credit portfolio modelling in the presence of CVA (Credit Value Adjustments). Written at an advanced level, it assumes that readers are familiar with the fundamentals of credit modelling covered, for example, in the market leading books by Schonbucher (2003) and O'Kane (2008). Coverage will include the latest default correlation approaches; correlation modelling in the 'Marshall-Olkin' contagion framework, in the context of CVA; numerical implementation; and pricing, calibration and risk challenges. The explosive growth of credit derivatives markets in the early-to-mid 000's was bought to a close by the 2007 financial crisis, where these instruments were held largely to blame for the economic downturn. However, in the wake of increased regulation across all financial instruments and the challenge of buying and selling bonds in large amounts, credit derivatives have once again been found to be the answer and the market has grown significantly. Written by a practitioner for practitioners, this book will also interest researchers in mathematical finance who want to understand how things happen and work 'on the floor'. Building the reader's knowledge from the ground up, and with numerous real life examples used throughout, this book will prove a popular reference for anyone with a mathematical mind interested credit markets. .--

The debt crisis in the European Monetary Union, emphasized the importance of keeping a responsible fiscal policy, especially in the context of issues of public debt sustainability and solvency of the member countries. Common rules for control of the public debt was introduced in the EU provide for mandatory measures for all Member States when their public debt exceeds the limit of 60% of GDP, as well as rules on the maximum amount of deficit percentage of GDP. Te intensity of the debt crisis is determined by the confidence of investors, which depends on economic fundamentals as well as assessing whether the government will consistently meet their obligations. Te aim of the research is to determine whether the ratio of debt to GDP positively correlated to movements in interest rates on government bonds and to determine the degree of their coherence. In a sample of 17 EMU member countries and time periods pre-crisis and crisis period, correlation and regression analysis indicate a causal connection between these indicators and their impact on the solvency of the country. Results show that in the event of a crisis in public debt due to the increase in interest rates on long-term government bonds, significantly increasing the share of public debt in GDP, which increases the risk of non-payment of debt and consequent insolvency of member states. Fiscal aspect of integration of BiH observed through the prism of fiscal criteria of the EU show a minimum deviation from the reference value, however, given that the movement of the public debt servicing is directly dependent on the degree of increase/decrease of GDP, exports and disposable income to service the debt, decisions on further borrowing must be associated with manufacturing projects or production projects that will contribute to further economic growth and competitiveness. ; ???????? ????? ? ??????? ???????? ????????? ????? ??????? ?? ?????? ?????? ????????? ???????? ????????, ??????? ? ?????? ?????? ?????????? ?????? ???? ? ???????????? ?????? ???????. ????? ??????? ?? ???????? ????? ?????? ????, ??????? ? ??, ?????????? ??????????? ????? ?? ??? ??????? ???? ????? ????? ??? ????? ??????? ?? 60% ???-?, ??? ? ??????? ? ??????????? ?????? ?????? ???????? ? ???-?. ?????????? ???????? ????? ??????? ?? ?????????? ??????????? ???? ?????? ?? ?????????? ???????????, ??? ? ???????? ?? ?? ?? ????? ???????? ?????????? ????? ???????. ??? ??????????? ????? ?? ???????? ?? ?? ?? ????? ???? ????? ???-? ????????? ????????? ?? ???????? ???????? ????? ?? ??????? ????????? ? ?? ???????? ?????? ?????? ???????????. ?? ?????? ?? 17 ?????? ??????? ??? ? ?????????? ??????????? ??????????? ? ??????? ???????, ???????????? ? ??????????? ???????? ????????? ?? ???????-?????????? ?????????? ????????? ?????????? ? ????? ?????? ?? ??????????? ?????. ????????? ???????? ?? ?? ? ??????? ????? ?????? ???? ??????? ???????? ???????? ????? ?? ????????? ??????? ?????????, ???????? ???????? ???? ?????? ???? ? ???-? ??? ???? ????? ?????? ????????? ???? ? ?????????? ?????????????? ?????? ???????. ???????? ?????? ??????????? ???, ?????????? ???? ?????? ????????? ??????????? ??, ???????? ????????? ????????? ?? ??????????? ???????????. ???????, ??????? ? ???? ?? ??????? ????? ?????? ????, ?? ?????? ???????????, ???????? ?????? ?? ??????? ????????/??????? ???-?, ?????? ? ???????????? ??????? ?? ??????????? ????, ?????? ? ????? ?????????? ?????? ???? ???????? ?? ??????????? ?????????? ??? ???????????? ????????? ???? ?? ??????????? ????? ?????????? ????? ? ????? ??????????????.