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Political Uncertainty and Finance : A Survey
Dai, Lili - 2020
An emerging stream of literature investigates the impact of political uncertainty on financial markets. In this survey, we review this line of literature from four perspectives, namely, asset prices, corporate policies, financial intermediaries, and economy and households, suggesting that...
Persistent link: https://www.econbiz.de/10012848947
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CoCo Bonds with Extension Risk
De Spiegeleer, Jan - 2014
This article provides an in-depth analysis of the pricing and structuring of contingent convertibles (CoCos) with extension risk. Under the new regulatory Basel III framework, CoCo bonds can be categorised as either belonging to the Additional Tier 1 or Tier 2 capital category. The Tier 1 CoCo...
Persistent link: https://www.econbiz.de/10013059528
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Banks, debts and workers
Denk, Oliver; Fialho, Priscilla - 2020
measures that aim to avoid credit overexpansion are two policies that can improve the links of private debt with labour income …
Persistent link: https://www.econbiz.de/10012421215
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Credit risk modeling and valuation : an introduction
Giesecke, Kay - 2002
Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or … issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities …. We consider individual as well as correlated credit risks. -- compensator ; intensity ; credit risk ; default risk …
Persistent link: https://www.econbiz.de/10009625799
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Subsidy Uncertainty and Microfinance Mission Drift
Armendariz, Beatriz; D'Espallier, Bert; Hudon, Marek; … - 2013
We demonstrate that subsidy uncertainty in microfinance can lead to mission drift and defeat poverty alleviation … agencies, we find a positive relationship between subsidy uncertainty and the interest rate charged to borrowers. The policy …
Persistent link: https://www.econbiz.de/10014187786
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Are Banks' Internal Risk Parameters Consistent? Evidence from Syndicated Loans
Firestone, Simon - 2014
parameters affect bank credit supply …
Persistent link: https://www.econbiz.de/10013065553
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Disclosures, Rollover Risk, and Debt Runs
Carre, Sylvain - 2020
How do opacity and disclosure policies impact the likelihood of debt runs and economicefficiency? I construct a dynamic model where debt yields are endogenous and mappedexplicitly to the degree of transparency, the regulatory disclosure regime and the stateof the economy. I find that: opacity is...
Persistent link: https://www.econbiz.de/10012855836
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Economic Policy Uncertainty and Banks’ Loan Pricing
Ashraf, Badar Nadeem - 2019
Using news-based government economic policy uncertainty (EPU) index of Baker et al. (2016) and bank-level data from 17 countries over the period 1998-2012, we find that government economic policy uncertainty has significant positive association with interest rates on bank gross loans....
Persistent link: https://www.econbiz.de/10012859755
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Are Banks' Internal Risk Parameters Consistent? Evidence from Syndicated Loans
Firestone, Simon - 2014
This paper examines consistency in the estimates of probability of default (PD) and loss given default (LGD) that nine large U.S. banks assign to syndicated loans for regulatory capital purposes. Using internal bank data on loans that had PDs and LGDs assigned by more than one bank, we find...
Persistent link: https://www.econbiz.de/10013061902
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Any Regulation of Risk Increases Risk
Maymin, Philip - 2012
We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken on by those financial entities than would otherwise be the case. Furthermore, the risks taken on by the regulated financial entities are far more...
Persistent link: https://www.econbiz.de/10013116216