Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical determinants are variance risk premia, implied volatility and the...

Informational constraints may turn the Merton Model for corporate credit risk impractical. Applying this framework to the Colombian financial sector is limited to four stock-market-listed firms; more than a hundred banking and non-banking firms are not listed. Within the same framework, firms'...

The aim of this work is to analyse the behaviour of agents in highly concentrated and strongly regulated electricity wholesale markets with rigid demand. In order to accomplish this aim, the analysis was based on the former Spanish electricity generation market, between January 1999 and June...

This paper analyzes the capital structure of a firm in an infinite time horizon following Leland (1994) under the more general hypothesis that the firm’s assets value process belongs to a fairly large class of stochastic volatility models. By applying singular perturbation theory, we fully...

Informational constraints may turn the Merton Model for corporate credit risk impractical. Applying this framework to the Colombian financial sector is limited to four stock-market-listed firms; more than a hundred banking and non-banking firms are not listed. Within the same framework, firms’...

This paper investigates the recent evolution of the oil price, with the objective to analyze the main drivers that during last fifteen years have led the unstable path and the volatility persistence in the international oil market. We assume that the oil price is composed by two components,...

The aim of this work is to analyse the behaviour of agents in highly concentrated and strongly regulated electricity wholesale markets with rigid demand. In order to accomplish this aim, the analysis was based on the former Spanish electricity generation market, between January 1999 and June...