This paper investigates the potential impact of the growing influence of the opinions of credit rating agencies (CRAs) on market dynamics. This impact can be seen as a consequence of the information content of the ratings themselves or indirectly as a consequence of the "hardwiring" of ratings...

We estimate a model of natural default probabilities conditional on credit ratings and macroeconomic drivers. The output is an issuer-specific expected default rate at variable horizons, which can be combined to form an expected default rate for a given portfolio of rated credits. This permits...

Micro, Small and Medium Enterprises (MSMEs) have been identified as the catalyst for the economic growth of a country. They are a major source of income and employment and consequently poverty reduction. Small and Medium Enterprises (SMEs) contributed 49% of Ghana's GDP in 2012 which impact...

This paper applies dynamic panel estimates on 22 commercial banks in Pakistan to determine the factors that affect their asset quality. Consequently, the study tests for a comprehensive array of both bank-specific and macroeconomic variables collected quarterly from 2008 to 2016. The empirical...

Bonds are widely accepted and used as collateral assets for their inherent stability of value. Based on a review of scenarios where bonds are used as collateral, this paper discusses the impact of using bonds as collateral on the bond market by a combination of theory and practice. The author...

Credit default swaps ("CDSs") were widely blamed as a primary cause of the recent financial crisis; CDSs fomented panic as the price of credit protection spiked and contributed to the Federal Reserve's decision to bail out American International Group. To reduce the likelihood that credit...

We show that accounting information releases generate large and immediate price impacts, i.e. jumps, in credit default swap (CDS) spreads. Our approach is multivariate, which allows for identification of information events under the presence of confounding news, such as credit events and other...

Financial constraints and risk taking are two well-established determinants of firm performance, however, no research analyzes how these variables are connected in the context of a high risk environment. Using data from micro-finance clients in Tanzania, we derive a novel financial constraints...

Default auctions at central counterparties (or 'CCPs') are critically important to financial stability. However, due to their unique features and challenges, standard auction theory results do not immediately apply. This paper presents a model for CCP default auctions that incorporates the CCP's...