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Sovereign defaults, external debt and real exchange rate dynamics
Asonuma, Tamon - Volkswirtschaftliche Fakultät, … - 2014
incorporates bond issuances in local and foreign currencies, and endogenous determination of real exchange rate and default risk …
Persistent link: https://www.econbiz.de/10011107842
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Serial default and debt renegotiation
Asonuma, Tamon - Volkswirtschaftliche Fakultät, … - 2012
percent recovery rate tends to pay a higher rate of return (relative to a risk-free rate) on subsequently issued debt than do …
Persistent link: https://www.econbiz.de/10011111033
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The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011
Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught … plus a 3x6 months Forward Rate Agreement (FRA), and that Libor was a good proxy of the risk free rate required as basic … building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …
Persistent link: https://www.econbiz.de/10011259157
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Markets Evolution After the Credit Crunch
Bianchetti, Marco; Carlicchi, Mattia - Volkswirtschaftliche Fakultät, … - 2012
We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we focus on the fixed income market and we analyse the most relevant empirical evidences regarding the divergence of the existing basis between interbank rates with different...
Persistent link: https://www.econbiz.de/10011260721
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Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych
Piasecki, Krzysztof - Volkswirtschaftliche Fakultät, … - 2011
under uncertainty and imprecision risk. In the fifth part fuzzy probabilistic sets are applied for actuarial mathematics. …
Persistent link: https://www.econbiz.de/10011260964
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Validity of capital asset pricing model: evidence from Karachi stock exchange
Syed ali, Raza; Syed tehseen, jawaid; Imtiaz, arif; … - Volkswirtschaftliche Fakultät, … - 2011
This study investigates the validity of Capital Asset Pricing (CAP) Model in Karachi stock exchange (KSE). The data of 387 companies of 30 different sectors on monthly, quarterly and semiannual basis are used. The Paired sample t- test is applied to find the difference between actual and...
Persistent link: https://www.econbiz.de/10009220664
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Akciové trhy zemí eurozóny s nejvyšším veřejným zadlužením
Kulhanek, Lumir - Volkswirtschaftliche Fakultät, … - 2013
In this paper, first, we will take notice of the development of the stock markets in six euro area countries with highest public debt: Greece, Italy, Portugal, Ireland, Belgium, and Spain. Subsequently, a comparison of returns and volatility will be made with the development of selected...
Persistent link: https://www.econbiz.de/10011071619
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Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012
, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and … abandoned since March 2010 the classical Single-Curve pricing approach, typical of the pre-credit crunch interest rate world …
Persistent link: https://www.econbiz.de/10011110035
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Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45
Pasaribu, Rowland Bismark Fernando - Volkswirtschaftliche Fakultät, … - 2010
As reaction from market inefficient specified about information distribution, all market participant trying to reduce the effect with various means, among other things by perceiving historical behavior of share price. One of result namely contrarian strategy by believing that loser portfolio...
Persistent link: https://www.econbiz.de/10011110273
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Pricing the Cost of Deposit Insurance and Assessing Moral Hazard Effect: Evidence from Banking Sector in Sudan
Onour, Ibrahim - Volkswirtschaftliche Fakultät, … - 2013
banking sector in Sudan. The analysis of moral hazard in this paper is based on two types of risks, credit default risk …, measured as the ratio of non-performing loans to the total size of loans for each bank, and operational risk measured as … insurance premium to risk based insurance premium policy. …
Persistent link: https://www.econbiz.de/10011110389