Showing 1 - 10 of 10
This valuable book discusses in detail, through a blend of theory and empirical research, the processes of innovation and the diffusion of new financial instruments.
Persistent link: https://www.econbiz.de/10011176428
Following the debate on the role of credit risk transfer (CRT) in exacerbating the 2007–2009 crisis, this paper investigates the usage and effects of loan sales, securitization, and credit derivatives in U.S. commercial banks over the last decade, with special emphasis on the financial crisis....
Persistent link: https://www.econbiz.de/10010580925
In this paper we test how different choices for the dependence function can affect the prices of a set of multiasset equity options. We conduct the analysis for various 5-dimensional baskets of UK shares, and a wide range of payoffs for the multiasset options, consistent with the instruments...
Persistent link: https://www.econbiz.de/10008522824
In this article we analyze the slope of the term structure of credit spreads. We investigate the explanatory role of interest rate, market, and idiosyncratic equity variables that the recent empirical literature highlights as important determinants of credit spread levels. This study extends the...
Persistent link: https://www.econbiz.de/10005161625
Much attention has been devoted to understanding and modeling the dynamics of implied volatility curves and surfaces. This is crucial for both trading, pricing and risk management of option positions. We suggest a simple, yet flexible, model, based on a discrete and linear Kalman filter updating...
Persistent link: https://www.econbiz.de/10005213207
I analyze whether the higher financing costs following the idiosyncratic bankruptcy or default of one firm affect the real investment decisions of non-distressed competitors. Results show that firms which are more affected by the higher financing costs (“treated firms”) reduce investment by...
Persistent link: https://www.econbiz.de/10011202926
Most people believe that the recent financial crisis had its roots in a boom in housing lending in the United States. After the dot-com bubble, the argument goes, the Federal Reserve Bank lowered the interest rates to stimulate corporate investment and recover from the downturn. As a side effect...
Persistent link: https://www.econbiz.de/10010987742
We analyze the relationship between contracts and returns in private equity (PE) investments. Contractual control in the form of covenants tends to be employed to identify good deals. Better quality firms are more likely to have covenant-rich contracts, as they are less concerned by the...
Persistent link: https://www.econbiz.de/10010636415
Using a supplier–client matched sample, we study the effect of the 2007–2008 financial crisis on between-firm liquidity provision. Consistent with a causal effect of a negative shock to bank credit, we find that firms with high precrisis liquidity levels increased the trade credit extended...
Persistent link: https://www.econbiz.de/10010665557
Using a sample of firms matched with their suppliers, we study the use of trade credit as firms approach a default event. We show that, in the extensive margin, around one third of suppliers exit the relationship well ahead of default, but the rest continue the relationship. Relationships are...
Persistent link: https://www.econbiz.de/10011274001