This study empirically examines the impact of the interaction between market and default risk on corporate credit spreads. Using credit default swap (CDS) spreads, we find that average credit spreads decrease in GDP growth rate, but increase in GDP growth volatility and jump risk in the equity...

Analyzing 916 CDOs, we find that a top credit rating agency frequently made positive adjustments beyond its main model that amounted to 12.1% larger AAA tranche sizes. These adjustments are difficult to explain by likely determinants, but exhibit a clear pattern: CDOs with smaller model-implied...

A unique governance structure for mutual funds is a unitary board - one board overseeing all funds in the entire fund family. In this paper, we examine the role played by unitary board in mutual fund governance, along with other governance mechanisms such as board independence and director...

We study a structural model that allows us to examine how credit spreads are affected by the interaction of macroeconomic conditions and firm characteristics. Unlike most other structural models, our model explicitly incorporates equilibrium macroeconomic dynamics and models a firm's cash flow...

We investigate the properties of a graphene system taking into account both the on-site Coulomb repulsion and the Rashba spin-orbit coupling caused by a transverse electric field by using a mean-field approximation of the Hubbard model. It is found that by increasing the strength of the Rashba...

Renewable energy policy evolution of the BRICs is analyzed and assessed quantitatively based on the Bai and Perron’ s structure breaks test. Results indicate no break for time series of renewable production in Russia, while series of renewable production and consumption are characterized as...

In this paper, a modified least squares support vector machine classifier, called the C-variable least squares support vector machine (C-VLSSVM) classifier, is proposed for credit risk analysis. The main idea of the proposed classifier is based on the prior knowledge that different classes may...

Based on the daily price data of the Chinese Yuan (RMB)/US dollar exchange rate and the Shanghai Stock Composite Index, we conducted an empirical analysis of the cross-correlations between the Chinese exchange market and stock market using the multifractal cross-correlation analysis method. The...

Five-category loan classification (FCLC) is an international financial regulation approach. Recently, the application and implementation of FCLC in the Chinese microfinance bank has mostly relied on subjective judgment, and it is difficult to control and lower loan risk. In view of this, this...

Energy strategy evolution of China and US is assessed quantitatively based on Bai and Perron' s structure breaks test. Results indicate no break for time series of energy intensity, while series of carbon emissions per GDP, proportion of renewable energy production and oil importing reliance are...