This article explores the main features of outward foreign direct investment by Russian corporations and some of the implications of their recent rise to global prominence for the theories of international investment. Surprisingly, lower middle-income Russia is a net capital exporter, and some...

We propose a totally new approach toward assessing sovereign risk by examining rigorously the health and aggregate default risk of a nation’s private corporate sector. Models such as our new Z-Metrics™ approach can be utilized to measure the median probability of default of the non-financial...

This paper deals with the appropriate design of capital adequacy requirements in emerging markets. It divides countries in two groups according to their capacity to enforce regulatory capital. The first group is characterized by an inappropriate accounting standards and reporting systems,...

In this paper I sketch a few ideas about which markets need to be developed and what the role of the international financial institutions is in facilitating the creation and functioning of instruments that allow for hedging and insurance against capital flow reversals in emerging markets.

Events such as the recent global financial crisis, the failure of Lehman Brothers, and the bailout of American International Group, have called increased attention to the opaque workings of the over-the-counter (OTC) derivatives markets which have remained unregulated until now. Nevertheless,...

In this paper, we investigate whether the international version of CAPM can price rational and irrational sentiments of U.S. individual and institutional investor sentiments. The results show that the CAPM prices rational sentiments driven by fundamentals and irrational sentiments not driven by...

We propose an alternative to the conventional risk finance paradigm of enterprise risk management that accounts for not only a loss portfolio’s expected frequency and expected severity, but also its “risk” as captured by an appropriate measure of dispersion/spread. This new paradigm is...

CoCos are contingently convertible debt securities. They are an infant reform instrument that grew out of the 2007-09 crisis. As hybrid capital, they convert to common equity tier 1 (CET1) outside bankruptcy when a built-in trigger level of the regulatory capital ratio with risk-weighted assets...

The complex dynamics of world financial markets yield inherent uncertainty and the prospect of periods of enhanced volatility. The turbulent global economic and regulatory environment of the past few years has certainly illustrated this reality. As investment managers interpret clients’...

This paper reports an investigation into measures of portfolio performance. The Sharpe ratio is the natural performance measure when asset returns come from any elliptically symmetric distribution, regardless of the investor utility function and subject only to regularity conditions. Under such...