Showing 1 - 10 of 63
This article provides a generalized two-firm model of default correlation, based on the structural approach that incorporates interest rate risk. In most structural models default is driven by the firms' asset dynamics. In this article, a two-firm model of default is instead driven by the...
Persistent link: https://www.econbiz.de/10010643376
In this paper we have formulated a simple theoretical model for the dynamics of the time-varying target leverage ratio of a firm under some assumptions based upon empirical observations. In our theoretical model the time evolution of the target leverage ratio of a firm can be derived...
Persistent link: https://www.econbiz.de/10013116819
This article provides a generalized two-firm model of default correlation, based on the structural approach that incorporates interest rate risk. In most structural models default is driven by the firms' asset dynamics. In this article, a two-firm model of default is instead driven by the...
Persistent link: https://www.econbiz.de/10013099258
Empirical findings and theoretical studies suggest that firms adjust toward time-varying target leverage ratios. This paper studies the performances of the default probabilities generated from two structural credit risk models (one with time-dependent leverage ratios and one with constant target...
Persistent link: https://www.econbiz.de/10012712833
This paper assesses whether agency ratings and market-based default risk measures are consistent for East Asian banks during the period from 1996 to 2006. While the market-based measures are broadly consistent with the credit rating assessments for the banks in the developed economies, the...
Persistent link: https://www.econbiz.de/10012729374
The study conducts an empirical test on dollar-denominated sovereign credit spreads in emerging markets, including Brazil, Colombia, Mexico, the Philippines, the Russian Federation, and Turkey to examine their relationship with each country's exchange rate and the United States (US) Treasury...
Persistent link: https://www.econbiz.de/10012064692
This paper proposes a path-dependent approach for estimating realignment probabilities of targeted exchange rates based on first-passage-time distributions instead of the commonly used path-independent approach. We consider that path dependency is an intrinsic characteristic of realignment risk...
Persistent link: https://www.econbiz.de/10005690168
This paper proposes a path-dependent approach for estimating maximum appreciations of the renminbi expected by the market based on first-passage-time distributions. Using market data of the renminbi spot exchange rates, non-deliverable forward rates and currency option prices from 21 July 2005...
Persistent link: https://www.econbiz.de/10005813737
-reverting lognormal process. The mean-reverting process has material impact on the foreign exchange rate option values and their hedge … associated hedge parameters on target exchange rates. …
Persistent link: https://www.econbiz.de/10005736319
Following the bankruptcy of Lehman Brothers in mid-September 2008, there were severe disruptions in international money markets and banks reportedly faced severe liquidity shocks, in particular US-dollar funding shortages, prompting central banks around the world to adopt unprecedented policy...
Persistent link: https://www.econbiz.de/10010617549