The Effects of Inflation on Economic Growth PDF Download
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Author: Jose De Gregorio
Publisher:
ISBN:
Category : Economic development
Languages : en
Pages : 20
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Book Description
Author: Jose De Gregorio
Publisher:
ISBN:
Category : Economic development
Languages : en
Pages : 20
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Book Description
Author: Carlos Caceres
Publisher: International Monetary Fund
ISBN: 1484321545
Category : Business & Economics
Languages : en
Pages : 34
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Book Description
This paper analyzes the potential risks and vulnerabilities of non-financial corporates in Latin America and Canada. We quantify the impact of company-specific, countryspecific, and global factors in driving corporate spreads. Overall, we found that all these factors play a role in explaining corporate risk. In particular, country specific factors such as exchange rate and sovereign CDS spreads are significantly associated with changes in corporate spreads, underscoring the importance of solid policy frameworks. We also find that global conditions, such as the VIX, are dominant drivers of corporate spreads. In recent years, the adverse effects from deteriorating domestic conditions have been broadly offset by relatively bening global financial conditions. However, a sustained reversal in these conditions would put significant pressure on corporate risk.
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
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Book Description
Author: Darrell Duffie
Publisher: Princeton University Press
ISBN: 1400829178
Category : Business & Economics
Languages : en
Pages : 415
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Book Description
In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies. Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the "structura" and "reduced-form" approaches to pricing defaultable securities are presented, and their comparative fits to historical data are assessed. The authors also provide a comprehensive treatment of the pricing of credit derivatives, including credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets. Credit Risk is an indispensable resource for risk managers, traders or regulators dealing with financial products with a significant credit risk component, as well as for academic researchers and students.
Author: Darrell Duffie
Publisher: Princeton University Press
ISBN: 1400829208
Category : Business & Economics
Languages : en
Pages : 488
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Book Description
This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Author: Claudia Girardone
Publisher: Routledge
ISBN: 1317610040
Category : Business & Economics
Languages : en
Pages : 143
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Book Description
This book showcases recent academic work on contemporary issues in financial institutions and markets. It covers a broad range of topics, highlighting the diverse nature of academic research in banking and finance. As a consequence the contributions cover a wide range of issues across a broad spectrum, including: capital structure arbitrage, credit rating agencies, credit default swap spreads, market power in the banking industry and stock returns. This timely collection offers fresh insights and understandings into the ongoing debates within and between the academic and professional finance communities. This book was originally published as a special issue of the European Journal of Finance.
Author: Joseph W. Conard
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 168
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Book Description
Author: Iva Petrova
Publisher: International Monetary Fund
ISBN: 1455252859
Category : Business & Economics
Languages : en
Pages : 28
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Book Description
This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks. Our results indicate that in the long run, fundamentals are significant determinants of emerging market sovereign bond spreads, while in the short run, financial volatility is a more important determinant of sperads than fundamentals indicators.
Author: Tomasz R. Bielecki
Publisher: Springer Science & Business Media
ISBN: 9783540675938
Category : Business & Economics
Languages : en
Pages : 524
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Book Description
The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.
Author: Ádám Kóbor
Publisher: World Bank Publications
ISBN:
Category : Business & Economics
Languages : en
Pages : 64
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Book Description
References p. 45-47.
