Default

MAT8886 exchangeability, credit risk and risk measures

February 10, 2012 | arthur charpentier

Exchangeability is an extremely concept, since (most of the time) analytical expressions can be derived. But it can also be used to observe some unexpected behaviors, that we will discuss later on with a more general setting. For instance, in a old... [Read more...]

The Road to Default: Whaa???

July 29, 2011 | Steven Sabol

Okay so here is what has been happening:The yield curve has been going through a mad flattening- indicating that investors are "flying to safety" and that a recession may be looming around the corner. Why has it been flattening? Well, a string of bad n...

[Read more...]

The Road to Default: Puppy Power!

July 18, 2011 | Steven Sabol

Although Congress can technically dilly dally until August 2nd to come up with an agreement and raise the debt ceiling- markets have anticipated the inevitable. They haven't sat back and decided to wait till August 2nd to panic- they are already in "oh...

[Read more...]

The Road to Default: Deep DooDoo

July 16, 2011 | Steven Sabol

Okay so what is the situation at hand? Well the inevitable default of the United States of course. The U.S. will default regardless of whether Congress raises the debt ceiling. You may be thinking the following: But how can he say such a thing? I...

[Read more...]

The Road to Default: Debt Ratio Comparison’s With Previous Episodes

July 11, 2011 | Steven Sabol

In 2009, Carmen M. Reinhart and Kenneth S. Rogoff wrote a book titled ,"This Time Is Different" about debt and financial crisis. One of their charts will provide a benchmark for us in our analysis. This chart can be found on page 121 of the book ...

[Read more...]

The Road to Default: Who’s getting the most screwed?

July 10, 2011 | Steven Sabol

Let's take a look at who gets the most screwed (who loses the most money) when bond prices collapse and the United States defaults.Well until recently only about 55% of treasury's were held domestically. The rest was externally held by places like Japa...

[Read more...]

The Road to Default: We Crumble Like A Cookie

July 9, 2011 | Steven Sabol

What should we be expecting when the United States defaults and how will this unsavory process unfold? Well for one thing anticipate the downfall with a downgrade in the credit rating. According to recent Bloomberg article in the event of a U.S. ...

[Read more...]

The Road to Default: Let’s Look at the Damage with a Rant.

July 8, 2011 | Steven Sabol

The following graph shows Real GDP as a percentage of the Gross Federal Debt. FRED is the resource I frequently use for United States financial data and it serves us well here. What is Gross Federal Debt? Well, its total government debt out...

[Read more...]