Results 251 to 260 of about 165,068 (285)
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Capital Flow Episodes Shocks, Global Investor Risk and Credit Growth
2017• Show the importance of classifying capital flow episodes, separating between foreign and domestic investor activities • Understand the channels of transmission of capital waves and how they impact real economic activity and credit growth • Show how changes in global risk shocks impact capital flow surges, sudden stop episodes, credit growth
Eliphas Ndou
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Do Investors Trade Industry Sector-Based Credit Risk Differently Than Systematic Credit Risk?
The Journal of Alternative Investments, 2021The authors examine price discovery and informational flow between the industry sector-based subindices of the Markit CDX.NA.IG index and matched portfolios of stocks to ascertain whether they differ from the composite index and one another, possibly due to differing business risk and exposure to systematic factors or investor preferences.
William J. Procasky, Brian Petrus
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A BEHAVIORAL STUDY ON THE PERCEPTION OF MARKET AND CREDIT RISK BY THE INVESTOR
Journal of International Finance Studies, 2012The objective of this study is to analyze the perception of the individual regarding market risk and credit risk. The methodology used to obtain the data was an experiment involving a questionnaire carried out with 93 business administration from the Universidade Catolica de Brasilia.
Jose L. B. Fernandes +3 more
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Credit Risk Transfers: Investor and GSE Perspectives
The Journal of Structured Finance, 2014In 2013, the government-sponsored enterprises (GSEs) began issuing credit risk transfer (CRT) transactions in order to transfer some of the credit risk on the mortgages they were guaranteeing to private investors. This article analyzes these CRT transactions from the investor and the GSE perspectives. The authors use two different approaches to project
Scott Anderson, Janet Jozwik
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The Credit Risk Premium: Should Investors Overweight Credit, When, and By How Much?
The Journal of Investing, 2011The authors revisit the case for maintaining a strategic overweight to corporate bonds in fixed income portfolios based on the notion of the credit risk premium. Using a series of excess returns to investment-grade corporate bonds going back to 1926, the authors find evidence of a positive risk premium of corporate bonds over Treasuries.
Bac Van Luu, Peiyi Yu
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International Review of Economics and Finance
Abdallahi M'beirick, Samira Haddou
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Abdallahi M'beirick, Samira Haddou
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Credit Risk Taking by Japanese Investors: Is Skewness Risk Priced in Japanese Corporate Bond Market? [PDF]
, 2004 This paper aims to analyze risk premium of corporate bonds considering skewness as an additional risk factor under a portfolio selection framework. With skewness, risk premium can be expressed as a weighted average of beta-risk under the orthodox beta-CAPM and gamma-risk arising from skewness. We call the pricing model with gamma-risk gamma-CAPM.
Shinichi Nishioka, Naohiko Baba
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SSRN Electronic Journal, 2011
The Securities and Exchange Commission (SEC) has asked whether credit rating agencies (CRA) committed fraud by misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the detriment of investors, the CRA did not incorporate information available to securitizers in their ratings of subprime ...
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The Securities and Exchange Commission (SEC) has asked whether credit rating agencies (CRA) committed fraud by misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the detriment of investors, the CRA did not incorporate information available to securitizers in their ratings of subprime ...
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INTEREST RATES, CREDIT RISK, AND INVESTOR BEHAVIOUR IN FIXED-INCOME MARKETS
Revista ftThis article examines how fixed-income markets and investors react to changes in benchmark interest rates and credit risk conditions. Using evidence from empirical research on sovereign bonds, corporate credit, and private-credit markets, it explains how rising or falling interest-rate cycles affect duration decisions, cross-asset allocation, and the ...
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European Business Law Review, 2016
The risk of over-reliance on external credit ratings by investors and market participants was highlighted in the context of the recent post-crisis credit rating agencies’ reforms. This problem stems from the inclusion of credit ratings into legislation.
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The risk of over-reliance on external credit ratings by investors and market participants was highlighted in the context of the recent post-crisis credit rating agencies’ reforms. This problem stems from the inclusion of credit ratings into legislation.
openaire +2 more sources