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Corporate bond issuance during the COVID-19 pandemic: a comparison with the global financial crisis

Pascual González, Roberto

COVID-19 pandemic they have been made to address a liquidity problem caused by the restrictive measures adopted to combat …

Persistent link: https://www.econbiz.de/10012629760

Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space

Dunbar, Kwamie - 2009

In this paper we propose a methodology that we believe improves the effectiveness of several common assumptions underlying Modern Portfolio Theory's dynamic optimization framework. The paper derives a general outline of a stochastic nonlinear-quadratic control for analyzing and solving a...

Persistent link: https://www.econbiz.de/10009430131

The Impact of the FOMC's Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox

Dunbar, Kwamie - 2008

Credit risk is influenced by interest rates and market liquidity. This paper examines the direct and indirect impacts … direction of the response. The results surprisingly indicate that monetary policy and liquidity impulses move counter to each … other in their effects on credit risk ("The monetary policy-liquidity paradox"). The analysis indicates that while …

Persistent link: https://www.econbiz.de/10009430174

The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach

Dunbar, Kwamie - 2009

The study investigates the role of credit risk in a continuous time stochastic asset allocation model, since the traditional dynamic framework does not provide credit risk flexibility. The general model of the study extends the traditional dynamic efficiency framework by explicitly deriving the...

Persistent link: https://www.econbiz.de/10009430231

Joint Distributions of Time to Default with Application to the Pricing of Credit Derivatives

Zhang, Min - 2008

Modeling portfolio credit risk involves the default dependencies between the individual securities in a portfolio. The copula is a common approach to construct it. It parameterizes the joint distribution of individual defaults independently of their marginal distributions. The current market...

Persistent link: https://www.econbiz.de/10009431293

Information, Credit Risk, Lender Specialization and Loan Pricing: Evidence from the DIP Financing Market

Daniels, Kenneth; Ramirez, Gabriel G - 2008

We provide an empirical support for theories of lender specialization using the recently developed market for Debtor-in-Possession (DIP) financing. The legal environment in which DIP financing operates represents a natural laboratory for testing determinants of lending specialization (e.g....

Persistent link: https://www.econbiz.de/10009459020

Basel Capital Requirements and Bank Credit Risk Taking In Developing Countries;

Hussain, M. Ershad; Hassan, M. Kabir - 2005

Existing literature has focused attention on the impact of Basle I and similar capital requirement regulations on developed countries where such regulations were found to be effective in increasing capital ratios and reducing portfolio credit risk of commercial banks. In the present study, we...

Persistent link: https://www.econbiz.de/10009468585

Statistical Methods in Credit Risk Modeling.

Zhang, Aijun - 2009

This research deals with some statistical modeling problems that are motivated by credit risk analysis. Credit risk modeling has been the subject of considerable research interest in finance and has recently drawn the attention of statistical researchers. In the first chapter, we provide an...

Persistent link: https://www.econbiz.de/10009476967

Three Essays in Financial Economics.

Sokolowsky, Jan - 2011

Chapter 1 is a critique of a highly influential paper in corporate governance. Chhaochharia and Grinstein (2009) estimate that CEO pay decreases 17% more in firms that were not compliant with the recent NYSE/Nasdaq board independence requirement than in firms that were compliant. We document...

Persistent link: https://www.econbiz.de/10009482961

Business failure prediction using decision trees

Gepp, Adrian; Kumar, Kuldeep; Bhattacharya, Sukanto - 2009

Accurate business failure prediction models would be extremely valuable to many industry sectors, particularly financial investment and lending. The potential value of such models is emphasised by the extremely costly failure of high-profile companies in the recent past. Consequently, a...

Persistent link: https://www.econbiz.de/10009441694