underlying Modern Portfolio Theory's dynamic optimization framework. The paper derives a general outline of a stochastic … and then investigates the role of unsystematic (credit) risk in this continuous time stochastic asset allocation model …

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 … problem via a weighted volatility measure of market and credit risk. The model's optimal strategy was then compared to that …

policies and markets. The empirical analysis of this paper, focused on market discipline, shows that before the crisis credit …

This research titled "Analysis of Influence of Credit and Interest Rate Increase Economic Growth in Disability Sumatera … determine the influence of credit and interest rate of economic growth in 1989-2008 of North Sumatra. This research uses … that the higher credit demand, then economic growth will increase. Meanwhile, the higher the interest rate, then economic …

determining short-term interest rates, which moves mainstream macroeconomics closer to Post Keynesian monetary theory. The current …

This dissertation investigates aspects of sovereign credit risk in advanced and emerging economies. It consists of two … chapters.Chapter 1 studies the determinants of sovereign credit default swap (CDS) spreads for 16 advanced economies during the … the dynamics of emerging market sovereign CDS spreads. In this chapter, I propose a structural model of sovereign credit …

increase in restructuring premia is higher for low-credit-quality firms than for high-credit-quality firms. We propose a …

Credit derivatives are among the most criticized financial instruments in the current credit crises. Given their short … in credit derivatives, especially in turbulent market conditions.Many credit portfolios have been struggling to find out … appropriate tools and techniques to help them navigate the current credit crises and hedge mark-to-market volatility in their …