Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management.The book stresses the logic of theoretical models from the structural and the reduced-form kind, their applications and extensions. It shows the...

Using an international Thomson Reuters Datastream database, where size coverage is unusually wide and data errors have been reduced to a low level, we show that some specification decisions, and especially those related to size, may have a significant impact on asset-pricing test results. We...

Entering the remittances market should allow microfinance institutions (MFIs) reaching their social and financial objectives, and should also contribute increasing the economic impact of remittances in receiving countries. In this paper we evaluate the involvement of Latin American and Caribbean...

With the completion of the single European market and the full liberalization of capital markets two separate trilemmas emerged in the early 1990s: a monetary trilemma between free capital movements, fixed exchange rates, and national monetary autonomy; and a financial trilemma between free...

Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing this swap credit risk. We implement a recent credit risk pricing model in an attempt to evaluate one of the main lines of research in...