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Now showing items 11-20 of 150
Portfolio diversification in the sovereign credit swap markets
(Springer, 2017-05)
We develop models for portfolio diversification in the sovereign credit default swap (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient ...
State Contingent Debt as Insurance for Euro-Area Sovereigns
(2018-04)
The euro-area sovereign debt crisis is receding. Europe is on a recovery path, growth is broad-based and unemployment is falling. One after the other, countries hit hardest by the crisis are exiting their adjustment ...
An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings
(2019)
We investigate the lead-lag relationships between issuer-paid and investor-paid credit rating agencies (CRAs), after the regulatory reforms in the U.S. (2002–2006) also including outlooks. Over our sample period, ratings ...
Dividend increases and initiations and default risk in equity returns
(2011)
This study extends the Grullon, Michaely, and Swaminathan (2002) analysis by incorporating default risk. Using data for firms that either increased or initiated cash dividend payments during the 23-year period 1986-2008, ...
Credit Risk Modelling Under Recessionary and Financial Distressed Conditions
(2016)
This paper provides clear cut evidence that recessionary and financial distressed conditions, as well as banning foreclosure laws, often introduced by governments to mitigate the effects of the economic and/or financial ...
Discussion of "The Association Between Energy Taxation, Participation in an Emissions Trading System, and the Intensity of Carbon Dioxide Emissions in the European Union"
(2015)
Even though the role of energy taxes on emissions has been examined extensively in recent years, there has been limited empirical research on the effect of implicit tax rates on energy on emissions in the European Union. ...
Pricing and hedging GDP-linked bonds in incomplete markets
(2018)
We model the super-replication of payoffs linked to a country’s GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model we obtain a hedging ...
Bulk volume classification and information detection
(2019)
Using European stock data from two different venues and time periods for which we can identify each trade's aggressor, we test the performance of the bulk volume classification (Easley et al. (2016)