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A Further Justification for the Negligence Rule

Demougin, Dominique; Fluet, Claude - 1999

We use a principal-agent framework to reexamine the implications of the negligence and strict liability rules when the tortfeasor is an agency. (...)

Persistent link: https://www.econbiz.de/10005841059

Informational Efficiency of Loans versus Bonds: Evidence from Secondary Market Prices

Altman, Edward; Gande, Amar; Saunders, Anthony - 2003

This paper examines the informational efficiency of loans relative to bonds surrounding loan default dates and bond … default dates. We examine this issue using a unique dataset of daily secondary market prices of loans over the11 …

Persistent link: https://www.econbiz.de/10005846906

US real interest rates and default risk in emerging economies

Nathan Foley-Fisher; Guimarães, Bernardo - London School of Economics and Political Science - 2009

that policy-induced exogenous increases in US rates raise default riskin emerging market economies, as hypothesised in the … and reduce therisk of default dominate the hypothesised relationship. We can only conclude that it’s not a goodidea to …

Persistent link: https://www.econbiz.de/10008911503

Monetary policy, default risk and the exchange rate

Gonçalves, Carlos Eduardo Soares; Guimarães, Bernardo - London School of Economics and Political Science - 2010

In a country with high probability of default, higher interest rates may render the currency lessattractive if … sovereign default is costly. This paper develops that intuition in a simple model andestimates the effect of changes in interest …

Persistent link: https://www.econbiz.de/10008911505

On the distribution of debt and taxes

Caselli, Francesco - London School of Economics and Political Science - 1996

confidence crisis on the public debt. On the other hand, perhapssurprisingly, the probability of a run followed by default is …

Persistent link: https://www.econbiz.de/10009305095

Bank Bailout Menus

Bhattacharya, Sudipto; Nyborg, Kjell G. - Swiss National Centre of Competence in Research North … - 2010

probabilities of default, we characterize the conditions for attaininga similar minimal subsidy outcome, with a Menu of either …

Persistent link: https://www.econbiz.de/10009305107

The Terms of Trade, Repudiation and Default on SovereignDebt

Bleaney, Michael F. - University <Nottingham> / Department of Economics - 2008

A poor country with volatile export prices borrows in international markets. When debtis denominated in foreign currency, there is a temptation to repudiate when export pricesare low...

Persistent link: https://www.econbiz.de/10005868592

THE CURRENCY DENOMINATION OF SOVEREIGNDEBT

Bleaney, Michael F. - University <Nottingham> / Department of Economics - 2006

This paper considers the currency composition of sovereign debt in the context of risksharingthrough excusable defaults. It is shown that monetary credibility is not asufficient condition for borrowing in domestic currency. With real exchange rate risk,debt denominated in a borrowing country’s...

Persistent link: https://www.econbiz.de/10005868758

A note on survival measures and the pricing of options on credit default swaps

Schoenbucher, Phillip J. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

In this note the pricing of options on credit default swaps using the survival-measure -pricing technique is discussed … asset, the fee stream of the underlying forward-starting CDS. As this numeraire becomes worthless in default, certain …

Persistent link: https://www.econbiz.de/10005858552

Fundamental Theorem of Asset Pricing, Stochastic Dimension

Strong, Winslow - National Centre of Competence in Research - Financial … - 2011

equivalent sigma-martingale measurefor the price process, and the equivalence of no arbitrage of the first kind to the existence … of anequivalent local martingale deflator for the set of nonnegative wealth processes.[...] …

Persistent link: https://www.econbiz.de/10009418977