Showing 1 - 10 of 33
This paper analyzes the risk-management practices of a vulnerable credit insurer by studying the effects of time-varying correlations, asset risks and loan maturities on the risk-based capital that backs credit insurance portfolios. Since asset correlations may change over a business cycle, we...
Persistent link: https://www.econbiz.de/10012719233
We propose a framework a la Davis et al. (1993) and Whalley and Wilmott (1997) to study dynamic hedging strategies on portfolios of financial guarantees in the presence of transaction costs. We contrast four dynamic hedging strategies including a utility-based dynamic hedging strategy, in...
Persistent link: https://www.econbiz.de/10012764925
This paper compares two forms of governmental support programmes: loan guarantee and direct investment in public-private partnerships (PPPs). Under the loan guarantee programme, the government supports the project implementation by providing financial guarantees to enhance the project...
Persistent link: https://www.econbiz.de/10012707367
Although a considerable amount of research has been undertaken on detrimental risk taking by managers, much less studies are devoted to endogenizing risk choices in the context of corporate project financing and in the presence of financial guarantees. A firm's risk appetite increases greatly...
Persistent link: https://www.econbiz.de/10012708136
It has been long recognized that insured banks can exploit a mispriced risk-independent flat-rate deposit insurance (DI) system by increasing leverage (i.e., decreasing capital ratios) and/or asset risk. Such a behavior is known as moral hazard. There are, however, factors that can induce...
Persistent link: https://www.econbiz.de/10012722100
Using quarterly financial statements and stock market data from 1982 to 2010 for the six largest Canadian chartered banks, this paper documents positive co-movement between Canadian banks’ capital buffer and business cycles. The adoption of Basel Accords and the balance sheet leverage cap...
Persistent link: https://www.econbiz.de/10011260132
Using quarterly financial statements and stock market data from 1982 to 2010 for the six largest Canadian chartered banks, this paper documents positive co-movement between Canadian banks’ capital buffer and business cycles. The adoption of Basel Accords and the balance sheet leverage cap...
Persistent link: https://www.econbiz.de/10011065577
Persistent link: https://www.econbiz.de/10010148728
Persistent link: https://www.econbiz.de/10005540447
In this paper, we present a new model that takes an arbitrage approach to the valuation of catastrophic risk bonds (CAT bonds). The model considers the sponsor's exposure to currency exchange risk and the risk of catastrophic events. We use a jump-diffusion process for catastrophic events, a...
Persistent link: https://www.econbiz.de/10010786508