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Leistungsbilanzentwicklung ausgewählter Schwellenländer Asiens und Lateinamerikas: Ursachen und wirtschaftspolitische Konsequenzen.

Schweickert, Rainer - Kiel Institute for the World Economy - 2000

Persistent link: https://www.econbiz.de/10008677628

Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.

Fries, Christian P. - Volkswirtschaftliche Fakultät, … - 2010

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique … risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding …

Persistent link: https://www.econbiz.de/10008530717

Deep drainage modeling for a fertigated coffee plantation in the Brazilian savanna

Pinto, Victor Meriguetti; Reichardt, Klaus; van Dam, Jos; … - In: Agricultural Water Management 148 (2015) C, pp. 130-140

describe hydrological processes, SWAP (Soil, Water, Atmosphere and Plant model) has been successfully used under several ….g. perennial crops, is a new application. This report shows a SWAP application to a mature coffee crop over one-production cycle … annual deep drainage Q=1019mm obtained by SWAP was within 99% of the value determined by the climatologic water balance of …

Persistent link: https://www.econbiz.de/10011116736

A Note on Hedging a Loan Portfolio

Broll, Udo; Welzel, Peter - Institut für Volkswirschaftlehre, Fakultät für … - 2003

In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from the single-risk case are shown to carry over to the...

Persistent link: https://www.econbiz.de/10005392594

The Australian Credit Default Swap Markets

Fabbro, Daniel - In: RBA Bulletin (2011) December, pp. 57-66

The Australian credit default swap (CDS) market has been increasingly used by financial institutions to trade and …

Persistent link: https://www.econbiz.de/10010815278

Modern Banking and OTC Derivatives Markets; The Transformation of Global Finance and its Implications for Systemic Risk

Drees, Burkhard; Schinasi, Garry J.; Kramer, Charles … - International Monetary Fund (IMF) - 2001

Persistent link: https://www.econbiz.de/10005590943

Managing Credit Risk With Credit And Macro Derivatives

Broll, Udo; Schweimayer, Gerhard; Welzel, Peter - In: Schmalenbach Business Review (sbr) 56 (2004) 4, pp. 360-378

We use the industrial organization approach to the microeconomic s of banking, augment Ed by uncertainty and risk aversion, to ex a mine c r edit derivatives and macro derivatives as instruments t o hedge c r edit risk for a large commercial bank. In a partial-analytic framework we distinguish...

Persistent link: https://www.econbiz.de/10005736933

Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices

Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

This paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an important determinant of equity returns. Moreover, the market price of systematic default risk is one order of magnitude higher than the market price of other risk factors. In...

Persistent link: https://www.econbiz.de/10005605000

The Credit Risk Transfer Market and Stability Implications for U.K. Financial Institutions

Ong, Li L.; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

The increasing ability to trade credit risk in financial markets has facilitated its dispersion across the financial and other sectors. However, specific risks attached to credit risk transfer (CRT) instruments in a market with still-limited liquidity means that its rapid expansion may actually...

Persistent link: https://www.econbiz.de/10005826449

Credit Derivatives; Systemic Risks and Policy Options?

Kiff, John; Elliott, Jennifer A.; Kazarian, Elias G.; … - International Monetary Fund (IMF) - 2009

Credit derivative markets are largely unregulated, but calls are increasingly being made for changes to this "hands off" stance, amidst concerns that they helped to fuel the current financial crisis, or that they could be a cause of the next one. The purpose of this paper is to address two basic...

Persistent link: https://www.econbiz.de/10008497598