Narrow search
Showing 1 - 10 of 100
Cover Image
The regime-switching structural default risk model
Milidonis, Andreas; Chisholm, Kevin - In: Risks : open access journal 12 (2024) 3, pp. 1-33
We develop the regime-switching default risk (RSDR) model as a generalization of Merton's default risk (MDR) model. The RSDR model supports an expanded range of asset probability density functions. First, we show using simulation that the RSDR model incorporates sudden changes in asset values...
Persistent link: https://www.econbiz.de/10014497430
Cover Image
The volatility of the "green" option-adjusted spread : evidence before and during the pandemic period
Ortolano, Alessandra; Nissi, Eugenia - In: Risks : open access journal 10 (2022) 3, pp. 1-13
The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk …-pandemic period only the stock market is significant, during the pandemic also conventional bonds and gold are impacting. To the best … deem our findings useful to observe the change of green bonds creditworthiness in a complex market context and interesting …
Persistent link: https://www.econbiz.de/10013093081
Cover Image
On the diversification of fixed income assets
Le Courtois, Olivier - In: Risks : open access journal 10 (2022) 2, pp. 1-21
. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of …
Persistent link: https://www.econbiz.de/10012806470
Cover Image
Bond and CDS pricing via the stochastic recovery Black-Cox Model
Cohen, Albert; Costanzino, Nick - In: Risks : open access journal 5 (2017) 2, pp. 1-17
the amount recovered in the event of default. We then price zero-coupon bonds and credit default swaps under the … work by computing the effect of adding coupons that are paid continuously until default, and price perpetual (consol bonds …
Persistent link: https://www.econbiz.de/10011643417
Cover Image
Desirable portfolios in fixed income markets : application to credit risk premiums
Garrido, José; Okhrati, Ramin - In: Risks : open access journal 6 (2018) 1, pp. 1-21
other in gauging the credit quality of defaultable bonds in a portfolio. We also discuss the model calibration and provide …
Persistent link: https://www.econbiz.de/10011811620
Cover Image
An analysis of bank financial strength ratings and credit rating data
Ruddy, John A. - In: Risks : open access journal 9 (2021) 9, pp. 1-16
In this study, data from two credit rating agencies are analyzed to consider how different Bank Financial Strength Ratings and Credit Ratings from two rating agencies compare. To my knowledge, prior research has not analyzed Bank Financial Strength Ratings from different rating agencies, nor has...
Persistent link: https://www.econbiz.de/10012612481
Cover Image
ESG as a measure of credit ratings
Chodnicka-Jaworska, Patrycja - In: Risks : open access journal 9 (2021) 12, pp. 1-26
The aim of this study was to examine the impact of environmental, social, and governance (ESG) measures on credit ratings given to non-financial institutions by the largest credit rating agencies according to economic sector divisions. The hypotheses were as follows: a strong negative impact on...
Persistent link: https://www.econbiz.de/10012794229
Cover Image
A risk-based approach for asset allocation with a defaultable share
Shen, Yang; Siu, Tak Kuen - In: Risks : open access journal 6 (2018) 1, pp. 1-27
This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a money market account, an ordinary share and a defaultable security are investment opportunities in a general non-Markovian economy incorporating random market parameters. The...
Persistent link: https://www.econbiz.de/10011811551
Cover Image
How does distress acquisition incentivized by government purchases of distressed loans affect bank default risk?
Lin, Jyh-Jiuan; Chang, Chuen-Ping; Chen, Shi - In: Risks : open access journal 6 (2018) 2, pp. 1-16
The topic of bank default risk in connection with government bailouts has recently attracted a great deal of attention. In this paper, the question of how a bank’s default risk is affected by a distress acquisition is investigated. Specifically, the government provides a bailout program of...
Persistent link: https://www.econbiz.de/10011866380
Cover Image
Determining financial uncertainty through the dynamics of Sukuk bonds and prices in emerging market indices
Sial, Muhammad Safdar; Cherian, Jacob; Meero, … - In: Risks : open access journal 10 (2022) 3, pp. 1-13
The main focus of the study is to determine the financial uncertainty while examining the Sukuk bonds prices, Sukuk …
Persistent link: https://www.econbiz.de/10013161520