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Corporate governance, risk assessment and cost of debt
Aldamen, Husam; Duncan, Keith; McNamara, Ray - 2010
This paper examines the impact of corporate governance practices on the reported cost of contracted debt for Australian listed companies. Good governance decreases the variability in cash flows, reduces the probability of default (reduces default risk), increases the quality of value-relevant...
Persistent link: https://www.econbiz.de/10009441686
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Dynamic Asset (and Liability) Management under Market and Credit Risk
Jobst, N J; Mitra, G; Zenios, S A - 2003
We introduce a modelling paradigm which integrates credit risk and marketrisk in describing the random dynamical behaviour of the underlying fixed income assets.We then consider an asset and liability management (ALM) problem and develop a mul-tistage stochastic programming model which focuses...
Persistent link: https://www.econbiz.de/10009465480
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Optimal Interest Rate for a Borrower with Estimated Default and Prepayment Risk
Howard, Scott T 1982- - 2008
Today's mortgage industry is constantly changing, with adjustable rate mortgages (ARM), loans originated to the so-called "subprime" market, and volatile interest rates. Amid the changes and controversy, lenders continue to originate loans because the interest paid over the loan lifetime is...
Persistent link: https://www.econbiz.de/10009456726
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Essays in Pricing of Credit Risk in Bond and Equity Markets.
This work consists of two essays that investigate the pricing of credit risk in the equity and bond markets.The first essay, ?Is there a Distress Risk Anomaly? Bond Spread as a Proxy for Default Risk,? investigates the pricing of default risk in the cross section of equity returns. The...
Persistent link: https://www.econbiz.de/10009482950
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The Impact of the FOMC's Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox
Dunbar, Kwamie - 2008
Credit risk is influenced by interest rates and market liquidity. This paper examines the direct and indirect impacts … direction of the response. The results surprisingly indicate that monetary policy and liquidity impulses move counter to each … other in their effects on credit risk ("The monetary policy-liquidity paradox"). The analysis indicates that while …
Persistent link: https://www.econbiz.de/10009430174
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The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach
Dunbar, Kwamie - 2009
The study investigates the role of credit risk in a continuous time stochastic asset allocation model, since the traditional dynamic framework does not provide credit risk flexibility. The general model of the study extends the traditional dynamic efficiency framework by explicitly deriving the...
Persistent link: https://www.econbiz.de/10009430231
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Financial Markets and Public Information
Storkenmaier, Andreas - 2011
Newswire messages make up a major part of the public information set available to investors. The last decades have seen drastic changes in trading technology and the way that financial markets operate. As trading technology advances, news providers have kept pace and deliver news to market...
Persistent link: https://www.econbiz.de/10009434499
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The Economics of Algorithmic Trading
Riordan, Ryan - 2009
. This work presents one of the first studies of algorithmic trading and its impact on information and liquidity in equity …
Persistent link: https://www.econbiz.de/10009434601
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Financial markets and public information
Storkenmaier, Andreas - 2011
The last decades have seen dramatic changes in trading technology and the way that financial markets operate. As trading technology advances, news providers have kept pace and deliver news to market participants around the world within fractions of a second using electronic systems. Currently,...
Persistent link: https://www.econbiz.de/10009434669