This working paper provides an updated overview of the financial block satellite model in COSMO. This block allows for an analysis of macrofinancial relationships and links these back into the main COSMO specification. The critical importance of appropriately assessing macro-financial linkages...

Foreign portfolio flows constitute a key component of economic activity in small open economies such as Colombia. The dynamics of these flows are subject to the influence of both external (push) factors and domestic (pull) factors. Consequently, economic crises and episodes of financial distress...

This study aims to determine whether the CAMEL ratios can be used to show symptoms of financial distress the banks listed on the Indonesia Stock Exchange in 2007-2009. Independent variables used in this study is adquate capital ratio (CAR), loan to deposit ratio (LDR), net interest margin (NIM),...

It’s neccesary an early warning system to predict financial distress firm. Prediction model could be used as early warning system for user of financial ratio such as lender, investor, regulator, auditor, and management in decision making that relevant with likelihood of financial distress for...

Theoretical research argues that convertible bonds mitigate the contracting costs of moral hazard, adverseselection, and financial distress. Using firm-specific and macroeconomic factors of the contracting costs,we examine the extent to which they impact the likelihood of issuance and the...

This paper examines the role buyout specialists play in structuring the debt used to finance the LBO and in monitoring management in the post-LBO firm. We find that when buyout specialists control the majority of the post-LBO equity, the LBO transaction is likely to be financed with less...

We derive multivariate risk neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...

We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...

We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic fragility indicators for euro area banks and sovereigns, based on CDS...

This dissertation consists of three essays, of which two are related. In the first essay I model the interaction between a franchisor and its franchisees. I examine how a franchisor uses the investment requirements she asks franchisees as a tool to reduce franchisees' underprovision of sales...