Farmer Mac is the GSE charged with creating a secondary market in loans backed by agricultural real estate. The Farm Credit Administration (FCA) has estimated a credit risk model for agricultural mortgages. This model is a key determinant of Farmer Mac’s risk based capital (RBC) requirement....

This paper examines the role and determinants of collateral in emerging markets compared to mature ones. Analyzing a data set of 560 credit files of Thai commercial banks, we find that both the incidence and degree of collateralization are higher there than in developed markets. Thai banks use...

In this paper, by applying the potential approach to characterizing default risk, a class of simple affine and quadratic models is presented to provide a unifying framework of valuing both risk-free and defaultable bonds. It has been shown that the established models can accommodate the existing...

The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the Black and Sholes formula (1973) and Cox and Ross (1976 a and b), has been formalized in a general framework by Harrison and Kreps (1979), Harrison and Pliska (1979) and Kreps...

Risk-neutral valuation is used widely in derivatives pricing. It is shown in this paper, however, that the naïve approach of simply setting the growth rate of the underlying security to risk-free interest rate, which happens to work for a geometric Brownian motion (GBM) process, fails to work...

This paper develops a model in which managers can signal their firms' true values by using either a dividend or a stock repurchase or both. The authors explain a number of sylized facts about these cash- disbursement mechanisms, particularly those concerning the relative magnitudes of stock...

The RFIs operating in Maharashtra have not only shown slower growth in their loan advances and other operational indicators during the period between 1991 and 2000 but also poor performance thereafter. The credit cooperatives in particular have shown significantly high NPAs in Maharashtra. In...

This study examines the forecastability of ASEAN-5 stock market returns using linear and non-linear time series models. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the behaviour of these returns do not follow random walk...

This paper tests the hypothesis that irrational market misvaluation affects firms' takeover behavior. We employ two contemporaneous proxies for market misvaluation, pre-takeover book/price ratios and pre-takeover ratios of residual income model value to price. Misvaluation of bidders and targets...

A constraint that consumption cannot fall over time (or can fall only at a limited rate) can arise directly from preferences or indirectly from internal production considerations. For example, much of a university's budget includes expenditures that must be maintained because of implicit and...