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Dollar borrowing, firm credit risk, and FX-hedged funding opportunities
Gálvez, Julio; Gambacorta, Leonardo; Mayordomo, Sergio; … - In: The journal of corporate finance : contracting, … 68 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012585788
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Portfolio optimization of credit risky bonds : a semi-Markov process approach
Pasricha, Puneet; Selvamuthu, Dharmaraja; D'Amico, Guglielmo - In: Financial innovation : FIN 6 (2020) 25, pp. 1-14
bonds. The criteria to optimize the credit portfolio is based on l∞-norm risk measure and the proposed optimization model is … formulated as a linear programming problem. The input parameters to the optimization model are rate of returns of bonds which are … obtained using credit ratings assuming that credit ratings of bonds follow a semi-Markov process. Modeling credit ratings by …
Persistent link: https://www.econbiz.de/10012268914
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The use of credit ratings in the delegated management of fixed income assets
Baghai, Ramin P.; Becker, Bo; Pitschner, Stefan - In: Management science : journal of the Institute for … 70 (2024) 5, pp. 3059-3079
Persistent link: https://www.econbiz.de/10014551059
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Does it matter who pays for bond ratings? : historical evidence
Jiang, John Xuefeng; Standford, Mary Harris; Xie, Yuan - In: Journal of financial economics 105 (2012) 3, pp. 607-621
Persistent link: https://www.econbiz.de/10009667512
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Financial institution credit assessment and implications for portfolio managers
Purda, Lynnette; Sonmez, Fatma; Zhong, Ligang - In: Journal of international financial markets, … 38 (2015), pp. 148-166
Persistent link: https://www.econbiz.de/10011475182
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Ratings versus spreads as indicators of price risk
Fridson, Martin S.; Yavuz, Begum Ipek; Zhao, Kai; Yu, Yan - In: Journal of investment management : JOIM 17 (2019) 4, pp. 42-50
Persistent link: https://www.econbiz.de/10012254322
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A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra; Vázquez, Carlos - In: The journal of computational finance 24 (2020) 3, pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2016
This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...
Persistent link: https://www.econbiz.de/10011975264
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Capital regulation induced reaching for systematic yield : financial instability through fire sales
Boermans, Martijn A.; Kroft, Bram van der - In: Journal of banking and finance 158 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10014451958
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Dissecting the bond profitability premium
Campbell, T. Colin; Chichernea, Doina C.; Petkevich, Alex - In: Journal of financial markets 27 (2016), pp. 102-131
Persistent link: https://www.econbiz.de/10011722223