Results 101 to 110 of about 24,543 (234)
Sovereign default network and currency risk premia. [PDF]
Financ Innov, 2023 Yang L, Yang L, Cui X.
europepmc +1 more source
Measuring Credit Spread Risk [PDF]
It is widely known that the small but looming possibility of defaultrenders the expected return distribution for financial productscontaining credit risk to be highly skewed and fat tailed.
Campbell-Pownall, R.A.J., Huisman, R.
core +1 more source
Bank Monitoring with On‐Site Inspections
The Journal of Finance, EarlyView.ABSTRACT Using proprietary transaction‐level data on nonsyndicated construction loans, we provide some of the first empirical evidence on the drivers and consequences of bank monitoring through on‐site inspections. Banks trade off monitoring intensity with favorable origination terms.
Amanda Rae Heitz +2 more
wiley +1 more source
An analysis of euro area sovereign CDS and their relation with government bonds [PDF]
This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010.
Fontana, Alessandro, Scheicher, Martin
core
Conflicts of Interest in Derivatives Clearing [PDF]
, 2011 [Excerpt] The financial crisis implicated the over-the-counter (OTC) derivatives market as a source of systemic risk. In the wake of the crisis, lawmakers sought to reduce systemic risk to the financial system by regulating this market.
Miller, Rena S
core +2 more sources
Credit Modelling: Generating Spread Dynamics with Intensities and Creating Dependence with Copulas
, 2011 The thesis is an investigation into the pricing of credit risk under the intensity framework with a copula generating default dependence between obligors.
Oduneye, Chris Emeka +1 more
core +1 more source
Journal of Supply Chain Management, EarlyView.ABSTRACT Higher education institutions (HEIs) play a crucial role in shaping the future by educating students, advancing research, and fostering innovation. Societies, including those in developing countries, face wicked problems such as climate change, social and economic inequality, and geopolitical tensions that require all stakeholders, including ...
Mohammad Moshtari, Aline P. Seepma
wiley +1 more source
Explaining the Bond-CDS Basis: The role of credit risk and liquidity [PDF]
We explore the relationship between CDS premia and bond asset swap spreads on the same reference entity. As Duffie (1999) shows, there is a clear theoretical link between CDS premia and bond prices if the two quantities are viewed as a pure measure of ...
Bühler, Wolfgang, Trapp, Monika
core
Beyond species means – the intraspecific contribution to global wood density variation
New Phytologist, EarlyView.Summary Wood density is central for estimating vegetation carbon storage and a plant functional trait of great ecological and evolutionary importance. However, the global extent of wood density variation is unclear, especially at the intraspecific level. We assembled the most comprehensive wood density collection to date, including 109 626 records from
Fabian Jörg Fischer +105 more
wiley +1 more source
In [10] we presented a reduced form of risky bond pricing. At the default date a bond seller fail to continue fulfill his obligation and the price of the bond sharply drops down. If the face value of the defaulted bond for no-default scenarios is $1 then
Gikhman, Ilya
core +1 more source