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The surprising use of credit scoring in small business lending by community banks and the attendant effects on credit availability and risk
Berger, Allen N.; Cowan, Adrian M.; Frame, W. Scott - Federal Reserve Bank of Atlanta - 2009
The literature has documented a positive relationship between the use of credit scoring for small business loans and small business credit availability, broadly defined. However, this literature is hampered by the fact that all of the studies are based on a single 1998 survey of the very largest...
Persistent link: https://www.econbiz.de/10004965424
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Stock market uncertainty and the relation between stock and bond returns
Stivers, Chris; Sun, Licheng - Federal Reserve Bank of Atlanta - 2002
-market price formation. Further, their findings imply that diversification benefits increase for portfolios of stocks and bonds …
Persistent link: https://www.econbiz.de/10005721651
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A discrete-time two-factor model for pricing bonds and interest rate derivatives under random volatility
Heston, Steven L.; Nandi, Saikat - Federal Reserve Bank of Atlanta - 1999
This paper develops a discrete-time two-factor model of interest rates with analytical solutions for bonds and many … options on discount bonds (and futures) as well as other interest rate derivatives such as caps, floors, average rate options … of the Vasicek 1977 model) in terms of pricing the cross section of spot bonds. This occurs although the one-factor model …
Persistent link: https://www.econbiz.de/10005401878
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Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium
Donaldson, Glen; Kamstra, Mark; Kramer, Lisa - Federal Reserve Bank of Atlanta - 2003
The equity premium of interest in theoretical models is the extra return investors anticipate when purchasing risky stock instead of risk-free debt. Unfortunately, we do not observe this ex ante premium in the data; we only observe the returns that investors actually receive ex post, after they...
Persistent link: https://www.econbiz.de/10005514563
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Specifying a consistent joint maximum-likelihood (JMLE) approach to testing bond models
Ramamurtie, B. Sailesh; Ulman, Scott - Federal Reserve Bank of Atlanta - 1996
-likelihood estimation technique for the pricing of interest rate instruments. In order to price bonds and their derivative assets … operationalize the theory by assuming that the error processes for all coupon bonds are mutually independent and uniformly …
Persistent link: https://www.econbiz.de/10005721746