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Eurobonds : a quantitative analysis of joint-liability debt
Tsiropoulos, Vasileios - 2019
This paper assesses the consequences of implementing a joint liability debt system in a two-country small open economy model. With joint liability a default of one country makes the other participant liable for its debt. The results highlight a trade-off between the contagion risk, in the sense...
Persistent link: https://www.econbiz.de/10012114435
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Split ratings and debt-signaling in bond markets : a note
Ismail, Ashraf; Oh, Seunghack; Arsyad, Nuruzzaman - In: Review of financial economics : RFE 24 (2015), pp. 36-41
Persistent link: https://www.econbiz.de/10011317830
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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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Information imprecision
Ball, Ryan T.; Cuny, Christine - In: The accounting review : a publication of the American … 96 (2021) 2, pp. 33-53
Persistent link: https://www.econbiz.de/10012508172
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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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Common sovereign debt instruments : an analytical framework
Monteiro, Daniel P. - 2023
Persistent link: https://www.econbiz.de/10014631586
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Eurobonds : a quantitative approach
Baglioni, Angelo; Cherubini, Umberto - In: Review of law and economics : publ. in cooperation with … 12 (2016) 3, pp. 507-521
Persistent link: https://www.econbiz.de/10011596613
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Location of banks and their credit ratings
Loon, Eric van; Haan, Jakob de - In: Journal of risk finance : the convergence of financial … 16 (2015) 3, pp. 220-232
Persistent link: https://www.econbiz.de/10011418156
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Information reliability and welfare : a theory of coarse credit ratings
Goel, Anand M.; Thakor, Anjan V. - In: Journal of financial economics 115 (2015) 3, pp. 541-557
Persistent link: https://www.econbiz.de/10011347351