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A contract theory approach to Islamic financial securities with an application to diminishing mushārakah

Arbi, Lukman Hanif - In: Journal of risk and financial management : JRFM 14 (2021) 1/17, pp. 1-12

This paper demonstrates how the contract theory framework can and should complement standard financial mathematics for analysing Islamic financial securities (IFSs). It is motivated by the perception that most valuations of IFSs are rather simplistic and are as simple as risk and reward, leading...

Persistent link: https://www.econbiz.de/10012415619

Theoretical investigation on the optimal contracting for directors holding multiple directorships

Lin, Guoyu; Brown, Anna - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-16

This paper is the first (to our knowledge) to analytically model the optimal contracting for a member of the board of directors who holds multiple directorships. Prior literature has found conflicting evidence on the overall effect of multiple directorships on shareholder welfare: busy board...

Persistent link: https://www.econbiz.de/10013273012

Crowd reactions to entrepreneurial failure in rewards-based crowdfunding : a psychological contract theory perspective

Oberoi, Swati; Srivastava, Smita; Gupta, Vishal K.; … - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-26

Rewards-based crowdfunding (RBC) has recently gained popularity as an alternative means of finance to help entrepreneurs bring novel projects to life. We theorize that crowdfunding backers perceive an implicit psychological contract with campaign creators. When promised rewards fail to...

Persistent link: https://www.econbiz.de/10013370377

Predicting insolvency of the construction companies in the creditworthiness assessment process : empirical evidence from Poland

Balina, Rafał; Idasz-Balina, Marta; Achsani, Noer Azam - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-16

Prediction insolvency is one of the most important issues during creditworthiness assessment, especially in the turmoil … environment. That is why the problem of insolvency and bankruptcy prediction has been the subject of numerous studies focused on … effectively used in practice to analyze and signal the risk of insolvency and bankruptcy of a construction firms. Also, the …

Persistent link: https://www.econbiz.de/10012628749

Determinants of the economic vulnerability of businesses to pandemics and similar events

Tisdell, Clement A. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

After providing a general overview of factors that make businesses economically vulnerable to pandemics (such as COVID-19), this article identifies specific elements that increase the vulnerability of businesses to pandemics. These specifics include the extent to which the demand for their...

Persistent link: https://www.econbiz.de/10012795378

Corporate bankruptcy prediction model, a special focus on listed companies in Kenya

Ogachi, Daniel; Ndege, Richard; Gaturu, Peter; Zoltan, Zeman - In: Journal of risk and financial management : JRFM 13 (2020) 3/47, pp. 1-14

Predicting bankruptcy of companies has been a hot subject of focus for many economists. The rationale for developing and predicting the financial distress of a company is to develop a predictive model used to forecast the financial condition of a company by combining several econometric...

Persistent link: https://www.econbiz.de/10012174130

Probability of default and default correlations

Li, Weiping - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-19

We consider a system where the asset values of firms are correlated with the default thresholds. We first evaluate the probability of default of a single firm under the correlated assets assumptions. This extends Merton’s probability of default of a single firm under the independent asset...

Persistent link: https://www.econbiz.de/10011543135

The two defaults scenario for stressing credit portfolio loss distributions

Tasche, Dirk - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-18

The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo...

Persistent link: https://www.econbiz.de/10011544020

Validation of the Merton distance to the default model under ambiguity

Chen, Wei-ling; So, Leh-chyan - In: Journal of risk and financial management : JRFM 7 (2014) 1, pp. 13-27

Bharath and Shumway (2008) provide evidence that shows that it is the functional form of Merton’s (1974) distance to default (DD) model that makes it useful and important for predicting defaults. In this paper, we investigate whether the default predictability of the Merton DD model would be...

Persistent link: https://www.econbiz.de/10011553338

Corporate governance and corporate creditworthiness

Parnes, Dror - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 1-42

We examine the relation between corporate governance and bankruptcy risk as an underlying force affecting a bond’s yield. The level of corporate governance is captured by the G-index, along with the explicit groups of governance provisions. We estimate bankruptcy risk by Z-score, by...

Persistent link: https://www.econbiz.de/10011555892