Results 81 to 90 of about 33,753 (322)
Do Major Customers Affect Firms' Environmental, Social and Governance Activities?
European Financial Management, EarlyView.ABSTRACT We examine the role of major customers in shaping firms' environmental, social and governance (ESG) practices. We find that firms with major customer relationships undertake fewer ESG activities compared to those without such ties. The association is attenuated when institutional ownership is high, firms are less diversified, customers exhibit
Feng Dong +4 more
wiley +1 more source
Pricing Credit Default Swaps Under Default Correlations and Counterparty Risk [PDF]
In this paper, we develop a generalized affine model to characterize correlated credit risk of multi-firms. When valuing credit derivatives, this new approach allows to incorporate correlative market and credit risk, interdependent default risk structure
Damir Filipovic, Li Chen
core
, 2022 This article presents a framework for valuing a credit default swap (CDS) contract by taking counterparty credit risk into account. There are three sources of credit risk in CDS: the buyer, seller and reference entity. Our analysis shows that the effect of default dependencies on a CDS premium from large to small accordingly is i) the default ...
openaire +1 more source
A Theory of the Boundaries of Banks With Implications for Financial Integration and Regulation
Financial Management, EarlyView.ABSTRACT We offer a theory of the “boundary of the firm” that is tailored to banks, recognizing the relevance of deposit financing and interbank lending as a substitute for integration. It is based on a single inefficiency that has been at the core of banking theory: risk‐shifting incentives in the interest of bank shareholders.
Falko Fecht +2 more
wiley +1 more source
Can Credit Default Swaps Predict Financial Crises: An Empirical Test on Emerging Markets [PDF]
We explore the informational value of credit default swaps and the extent to which they may be linked to financial crises. After developing a theoretical framework to model the relationship between credit default swap market and equity and currency ...
Neziri, Hekuran
core +1 more source
VALUING CREDIT DEFAULT SWAPS I: NO COUNTERPARTY DEFAULT RISK [PDF]
, 2000 This paper provides a methodology for valuing credit default swaps when the payoff is contingent on default by a single reference entity and there is no counterparty default risk.
Hull, John +2 more
core
Financial Statement Readability and Firm Debt Choice
Financial Management, EarlyView.ABSTRACT Examining more than 16,000 firm‐year observations in the United States, we provide novel evidence showing that higher financial statement readability leads to a decrease in information asymmetry and the need for external monitoring, thereby reducing the reliance on bank debt relative to public debt.
Wajih Abbassi +3 more
wiley +1 more source
The role of market-implied severity modeling for credit VaR [PDF]
, 2009 En este trabajo proponemos el uso de mixturas de distribciones beta para modelizar la severidad impícita en el mercado. En nuestro análisis extraemos las tasas de recuperación de la cotización de los credit default swaps (CDS) en lugar de utilizar ...
Baixauli Soler, J. Samuel +2 more
core
Geopolitical Risk and Domestic Bank Deposits
Financial Management, EarlyView.ABSTRACT We investigate the relationship between global geopolitical risk and bank deposit flows across a wide panel of European countries. Motivated by the pivotal role of deposit stability for financial intermediation and systemic resilience, we explore whether geopolitical shocks alter depositors’ portfolio choices.
Dimitris Anastasiou +3 more
wiley +1 more source
Taking advantage of credit default swaps in European markets [PDF]
, 2012 Credit default swaps are the leading indicators in bond and equity markets. The movement of credit default swaps can explain sovereign bond and equity market movements in distressed countries.
Kosmitis, Phillip
core +1 more source