This paper investigates the link among Spanish effective real exchange rate relative to the EU, the terms of trade and real interest differentials over the period 1980-1994.

This paper studies the extent to which macro-economic variables govern the dynamics of emerging markets sovereign CDS spreads. I propose a structural model of sovereign credit risk based on observed exports, imports and international reserves. Using these macro fundamentals, I define a country's...

This paper explores the potential for US investors to diversify credit risk exposure with international corporate bonds. Using a newly compiled dataset of firm-level monthly corporate bond quotes for foreign and domestic issues, I show that by adding foreign corporate bonds to a benchmark of US...

I show that banks place investment and borrowing restrictions on firms that are in lending relationships so that the banks can continue extracting surplus from the firms over multiple periods. This agency problem is more pronounced for firms that have larger information asymmetries with the...

Foreign diversification has a long history in financial economics. In this paper, we re-examine this issue with foreign companies that are listed on US exchanges, combining features of three different literatures. One literature suggests that domestic portfolios including cross-listed stocks can...

Since I circulated a working paper (coauthored with Kabir Dutta) entitled "Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach" on the Wharton Financial Institutions Center website in March of 2010, many different questions have been received concerning...

Africa is a continent made up of 53 countries. The continent is economically and culturally diverse, with different regional economic blocs. The financial systems in these countries are as diverse as the countries. Reviewing the financial systems of such a heterogeneous group of countries...