Results 81 to 90 of about 66,578 (384)
Fiscal Rules, Independent Fiscal Institutions and Sovereign Risk: Evidence From the European Union
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the effects of fiscal rules (FRs) and independent fiscal institutions (IFIs) on sovereign risk. To address potential endogeneity issues, we employ the System Generalised Method of Moments (GMM) estimator in an analysis comprising 24 European Union member states throughout the 2007–2019 period.
Bogdan Căpraru +2 more
wiley +1 more source
Optimisation of an FPGA Credit Default Swap engine by embracing dataflow\n techniques [PDF]
, 2021 Nick Brown +2 more
openalex +1 more source
Exchange Rate Risk and Deviations From Purchasing Power Parity
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper proposes a new solution to the purchasing power parity (PPP) puzzles, arguing that investors' higher‐order risk attitudes, combined with higher‐order uncertainty about nominal exchange rates, as reflected by skewness and kurtosis, drive a risk premium that leads to deviations from PPP.
Michael G. Arghyrou +2 more
wiley +1 more source
ECONOMIC GROUNDS FOR CREDIT RISK MANAGEMENT UNDER UNCERTAINTY
Модернизация, инновация, развитие, 2016 This article examines modern financial insurance techniques with the use of credit default swaps for covering bond default risk. The author examines several mathematical models and specifies variables necessary to determine the swap spread depending on ...
N. V. Strelnikov
doaj
A Structural Credit Risk Model with Jumps Based on Uncertainty Theory
MathematicsThis study, within the framework of uncertainty theory, employs an uncertain differential equation with jumps to model the asset value process of a company, establishing a structured model of uncertain credit risk that incorporates jumps.
Hong Huang +3 more
doaj +1 more source
1) MULTIDIMENSIONAL SCALING FOR CREDIT DEFAULT SWAP (CDS): EVIDENCE FROM OECD COUNTRIES [PDF]
Buletin ştiinţific: Universitatea din Piteşti. Seria Ştiinţe Economice, 2018 The aim of this study is to analyze the similarities and differences between the OECD countries in terms of the change in CDS risk premiums. Accordingly, CDS risk premiums of the related countries are taken on a monthly basis for the 30/06/2011 - 30/09 ...
Ayhan KAPUSUZOGLU, Nildag Basak CEYLAN
doaj
Risks, 2017 The paper deals with defaultable markets, one of the main research areas of mathematical finance. It proposes a new approach to the theory of such markets using techniques from the calculus of optional stochastic processes on unusual probability spaces ...
Mohamed N. Abdelghani +1 more
doaj +1 more source
Sustainability Performance and Corporate Risk: Evidence From the Tourism Industry
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate the impact of sustainability performance (Refinitiv Environmental, Social, and Governance [ESG] scores) on corporate risk (CR). We apply stakeholder theory and the resource‐based view to an international sample of 247 tourism firms from 2002 to 2018.
Omneya Abdelsalam +4 more
wiley +1 more source
ESG Performance and Credit Risk: Evidence From Chinese Manufacturing Companies
International Journal of Finance &Economics, EarlyView.ABSTRACT This study investigates the effect of corporate environmental, social, and governance (ESG) performance on credit risk using a sample of manufacturing firms listed on China's Shanghai and Shenzhen A‐share markets from 2009 to 2021. Employing fixed effects, the generalised method of moments, and instrumental variable models, we find that ...
Yanan Wang +4 more
wiley +1 more source
Procyclicality in tradeable credit risk: Consequences for South Africa
South African Journal of Economic and Management Sciences, 2018 Background: Tradeable credit assets are vulnerable to two varieties of credit risk: default risk (which manifests itself as a binary outcome) and spread risk (which arises as spreads change continuously).
Dirk Visser, Gary W. van Vuuren
doaj +1 more source