This study estimates the parameters of credit derivatives, equity derivatives and structural models for bank … recapitalisation in Nigeria by employing contingent convertibles (CoCos) and using the Nigeria Treasury Bill rate for 2009 as the risk …-free rate, estimated recapitalisation requirements for the banks as at 2009 and relevant banks' share prices for 2008 and 2009 …

– Inflation-indexed financial products enrich capital markets by an asset class that permits hedging against the risk of inflation …

probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility …

terms of the program. We also find that the net value varies widely across banks. We compare our estimates with abnormal … stock price returns for the stress test banks at the time the terms of the CAP announced; we find correlations between 0 ….78 and 0.85, depending on the precise choice of period and set of banks included. These results suggest that our valuation …

' decision of whether to use internal rating based models for credit risk (the IRB-approach) under the new Basel accord (Basel II …I evaluate a bank's incentives to implement a risk sensitive regulatory capital rule and to invest in improved risk … threshold levels of risk. I also evaluate the situation where exercise or non-exercise of the options to implement or invest are …

fundamentals to price global bank credit risk. First, we find that variables predicted by structural models (leverage, volatility …Using a sample of 161 global banks in 23 countries, we examine the applicability of structural models and bank …, and risk-free rate) are significantly associated with bank CDS spreads. Second, some CAMELS indicators, including asset …

that reflect only their credit ratings, or specifically at yields on equivalently ratedcorporate bonds. We distinguish … between credit ratings that are based on probabilities of defaultand ratings that are based on expected default losses. We … thehypothesized pricing system. Increasing the systematic risk or reducing the total risk of the bondcollateral increases the profits …

). We develop a framework to determine the effects of clearing on the credit risk of derivatives portfolio. To facilitate … our analysis, we compare the cost of credit risk of a portfolio of over-the-counter derivatives and a portfolio of similar … but cleared derivatives. We show that, under certain verifiable assumptions, the cost of credit risk of a portfolio of …