Results 111 to 120 of about 5,454,495 (242)

Borrower‐lender political homophily and loan characteristics

Journal of Financial Research, EarlyView.
Abstract This study investigates political homophily between the top executives of borrowers and lenders. We observe a high level of political homophily between borrowers' and lenders' management teams, with a one‐standard‐deviation increase in homophily associated with an increase in spreads of approximately 126 basis points.
Abdulaziz A. Alshamrani, David Rakowski, Salil K. Sarkar   +2 more
wiley   +1 more source

Banking with Inside Money: An Efficiency Analysis

Journal of Money, Credit and Banking, EarlyView.
Abstract We show that banks do not decentralize the first best in a nominal Diamond–Dybvig economy with inside money. Furthermore, state‐contingent deposit contracts do not expand the consumption possibility set to include the first best either. Central banks can improve welfare but only for savers and only with unconventional monetary policy. Finally,
DAVID RIVERO, HUGO RODRÍGUEZ MENDIZÁBAL   +1 more
wiley   +1 more source

Policymakers, researchers, and practitioners discuss the role of central counterparties [PDF]

This article summarizes a conference, titled “Issues Related to Central Counterparty Clearing,” cosponsored by the Federal Reserve Bank of Chicago and the European Central Bank on April 3–4, 2006.
Douglas D. Evanoff, Robert Steigerwald, Daniela Russo   +2 more
core  

The Evolution of Interest‐Rate Models: From the Yield Curve to the Swaption Cube

Journal of Economic Surveys, EarlyView.
ABSTRACT Interest‐rate modelling is often taught as a catalogue of competing stochastic equations, obscuring why models were created and why modern sell‐side desks use several simultaneously. This survey reorganises the field around five layers of a pricing architecture: curve construction; arbitrage‐free dynamics; volatility‐smile representation ...
Xuan Feng, Salman Huseynov, Diomides Mavroyiannis   +2 more
wiley   +1 more source

Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility

Discrete Dynamics in Nature and Society, 2018
This paper considers the pricing issue of vulnerable European option when the dynamics of the underlying asset value and counterparty’s asset value follow two correlated exponential Lévy processes with stochastic volatility, and the stochastic volatility
Chaoqun Ma, Shengjie Yue, Yishuai Ren
doaj   +1 more source

Credit Derivatives in an Affine Framework [PDF]

We develop a general and efficient method for valuating credit derivatives based on multiple entities in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of multiple firms.
Damir Filipovic, Li Chen
core  

Strategic Stake Acquisitions in Rival Firms: Common vs. Cross‐Ownership

The Journal of Industrial Economics, EarlyView.
ABSTRACT We study how a blockholder who controls a firm should acquire a minority stake in a rival: directly, creating common ownership, or indirectly through the controlled firm, creating cross‐ownership. Common ownership generates stronger internalization of competitive externalities and allows the blockholder to capture the resulting gains without ...
Vincenzo Denicolò, Fausto Panunzi
wiley   +1 more source

Pricing vulnerable options when debts have performance- sensitivity provisions

International Review of Economics & Finance
The objective of this article is to build a new model and use it to investigate the influence of the trading counterparty's PSD obligations on the valuation of vulnerable options.
Yu-Hong Liu, I-Ming Jiang, Mao-Wei Hung
doaj   +1 more source

Let's make it clear: how central counterparties save(d) the day [PDF]

The bankruptcy of Lehman Brothers in 2008 will certainly be featured in history books as one of the greatest financial failures so far, but it will also be recorded as yet another episode of the historically successful performance of clearing ...
Cyril Monnet
core  

Property Rights Theory, Justice, and Reciprocity

Journal of Management Studies, EarlyView.
Abstract What really happens when situations arise that were not anticipated in contracts? The phenomenon of quiet quitting is an example of behaviour that is legally within the bounds of the contract governing a relationship while also generating variance in performance.
Douglas A. Bosse, Robert A. Phillips
wiley   +1 more source