Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model [PDF]
In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread.
Carl Chiarella +2 more
core
Abacus, EarlyView.Relevance and faithful representation are identified by standard‐setters as fundamental qualitative characteristics for useful accounting information. We critically assess whether current pension measurement guidance under International Financial Reporting Standards (IFRS) and US generally accepted accounting principles (GAAP) results in pension ...
Divya Anantharaman, Darren Henderson
wiley +1 more source
An Extended Structural Credit Risk Model (forthcoming in the Icfai Journal of Financial Risk Management; all copyrights rest with the Icfai University Press) [PDF]
This paper presents an extended structural credit risk model that pro- vides closed form solutions for fixed and floating coupon bonds and credit default swaps. This structural model is an "extended" one in the following sense.
Marco Realdon
core
The Lifecycle of Typical IPOs: The Characteristics of Surviving Firms
Accounting &Finance, EarlyView.ABSTRACT This paper explores the dynamics of firm evolution by analysing the timing and sequencing of a firm's innovation, investment, financing and payout decisions following an IPO. We apply real options theory to analyse our sample that includes all IPOs listed on the NYSE, NYSE MKT and NASDAQ since 1976, categorised into surviving, voluntarily ...
Jennifer Gippel +4 more
wiley +1 more source
Beyond verbal self‐explanations: Student annotations of a code‐tracing solution produced by ChatGPT
British Journal of Educational Technology, EarlyView.Abstract ChatGPT is a generative Artificial Intelligence (AI) that can produce a variety of outputs, including solutions to problems. Prior research shows that for students to learn from instructional content, they need to actively process the content.
Abbey Gandhi, Kasia Muldner
wiley +1 more source
The effects of need‐based financial aid on educational decisions and outcomes: Evidence from Canada
Canadian Journal of Economics/Revue canadienne d'économique, EarlyView.Abstract Using administrative data from Canada, this paper presents new evidence on the causal effects of a large‐scale need‐based financial aid program on undergraduate students' educational decisions and outcomes, including the understudied institution and major choices.
Qian Liu
wiley +1 more source
Disentangling the Information Content of Government Bonds and Credit Default Swaps: An Empirical Analysis on Sovereigns and Banks [PDF]
, 2016 Michele Leonardo Bianchi, Marco Rocco
openalex +1 more source
Restructuring Risk in Credit Default Swaps: An Empirical Analysis [PDF]
This paper estimates the price for restructuring risk in the U.S. corporate bond market during 1999-2005. Comparing quotes from default swap (CDS) contracts with a restructuring event and without, we find that the average premium for restructuring risk ...
Antje Berndt +2 more
core
From farms to tables: Quantifying the effect of emissions pricing on Canadian food prices
Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, EarlyView.Abstract We examine the effect of emissions pricing on the cost of Canadian food. We describe emissions pricing policies relevant to the agriculture and food sectors and the differing design details of various provincial systems and the federal Greenhouse Gas Pollution Pricing Act.
Trevor Tombe, Jennifer Winter
wiley +1 more source
Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work? [PDF]
Entropy (Basel), 2020 Anton SG, Afloarei Nucu AE.
europepmc +1 more source