Showing 114,501 - 114,510 of 115,077
This paper studies the link between financial development and economic growth in the West African Economic and Monetary Union (WAEMU). Using panel data for WAEMU countries over the period 1995-2006, the results suggest that while financial development does support growth in the region, long-term...
Persistent link: https://www.econbiz.de/10008533240
The defaultable term structure is modeled using stochastic differential equations in Hilbert spaces. This leads to an infinite dimensional model, which is free of arbitrage under a certain drift condition. Furthermore, the model is extended to incorporate ratings based on a Markov chain.
Persistent link: https://www.econbiz.de/10004971737
We derive a partial integro differential equation (PIDE) which relates the price of a calendar spread to the prices of butterfly spreads and the functions describing the evolution of the process. These evolution functions are the forward local variance rate and a new concept called the forward...
Persistent link: https://www.econbiz.de/10004971757
This paper studies in some examples the role of information in a default-risk framework. We examine three types of information for a firm's unlevered asset value to the secondary bond market: the classical case of continuous and perfect information, observation of past and contemporaneous asset...
Persistent link: https://www.econbiz.de/10004971793
The aim of this paper is to explain empirically the determinants of credit default swap rates using a linear regression. We document that the majority of variables, detected from the credit risk pricing theories, explain more than 60% of the total level of credit default swap. These theoretical...
Persistent link: https://www.econbiz.de/10004971798
We propose a structural model for the valuation of defaultable securities of a firm which models the effect of deliberate misreporting done by insiders in the firm and unobserved by others. We derive exact formulas for equity and bond prices and approximate expressions for the conditional...
Persistent link: https://www.econbiz.de/10004971806
Standard option pricing theory cannot be applied when pricing sovereign debt. In the case of a country, there is no underlying asset that is traded or to which creditors hold claims in the event of default. We propose an empirically tractable model that addresses the distinct features of...
Persistent link: https://www.econbiz.de/10004977146
The innovative information-based framework for credit risk modeling, proposed recently by Brody, Hughston, and Macrina, is extended to a more general and practically important setup of random interest rates. We first introduce the market model, and we derive an explicit expression for...
Persistent link: https://www.econbiz.de/10004977432
This study provides a different perspective in revisiting the racial and gender discrimination issue regarding FSA loans. The Oaxaca-Blinder decomposition method, commonly used in wage discrimination analysis, is employed to determine whether there exist unwarranted differences between the loan...
Persistent link: https://www.econbiz.de/10004979680
Some past studies of credit risk ratings migration have found trend reversals and evidence that the data-generating process is nonstationary. Using a sample of Farm Credit System mortgages, we find no compelling statistical evidence of either phenomenon. We do find evidence that our sample of...
Persistent link: https://www.econbiz.de/10004979846