The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in...

The collapse of the recent housing price bubble precipitated the 2007-2008 financial crisis and caused international funding liquidity to dry up. We investigate how economic policies undertaken by the Federal Reserve and U.S. Treasury around the crisis impacted global liquidity by examining the...

This paper investigates the characteristics of the operational loss data formation mechanism that takes place between the date of discovery of a new operational risk event and the final settlement date on which all losses are materialized. The first loss that characterizes the initial impact of...

We use an empirical model to categorize firms into portfolios based on operational risk. Using these portfolios, we show that a strategy of buying firms in the highest decile of operational risk and shorting firms in the lowest decile of operational risk earned a positive but insignificant...

We study the effect of geographic portfolio diversification of real estate firms on their investment performance before and after the global financial crisis (GFC). In addition to previously used dispersion metrics, we also account for the distance of the properties to the corporate...

This study assesses a new mechanism – the deposit channel – in the transmission of interest rate shock to household consumption using an administrative panel dataset of financial transactions for Turkey. Our empirical strategy exploits variation in consumer's adherence to the Muslim laws...

This paper uses a structural credit risk model, providing an analytical formula to estimate default probabilities implicit in commercial mortgage backed security prices. Empirical studies on CMBS default have focused on the probability of default depending on loan characteristics at the...

Previous research either assumes default free leases or leases subject to default risk using a structural approach. However, structural credit risk models suffer from a common criticism that the firm's asset value process is unobservable. We develop a reduced form credit risk model for leases...

This paper provides a comprehensive default estimation of commercial real estate loans with a complete commercial mortgage backed securites (CMBS) loan history database. Standard survival models assume that eventually every observation will experience the event. However, often there is a high...

This paper uses an HJM model to price TIPS and related derivative securities. First, using the market prices of TIPS and ordinary U.S. Treasury securities, both the real and nominal zero-coupon bond price curves are obtained using standard coupon-bond price stripping procedures. Next, a...