This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital Management crisis period the tech bubble period, and the...

This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for...

This paper analyzes the informational efficiency of OTC currency options on the Czech koruna and the Polish zloty correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art techniques (Chernov 2001). It finds that these markets are more efficient than...

The implementation of the Commercial Rehabilitation Law (CRL) on April 1, 2000, was considered a key event in setting up the official infrastructure supporting corporate restructuring in Japan. This study evaluates the stock price impact of restructuring announcements before and after the CRL...

This paper develops a model of private debt financing under inefficient financial intermediation. It suggests a mechanism that can generate the following sequence of events observed in the recent Asian crisis: A period of relatively low capital flow despite a steady improvement in economic...

A systemically important firm could be too-connected-to-fail and/or too-important-to-fail, two properties which centrality measures and community detection methods can capture respectively. This paper examines the performance of these measures in a variance decomposition global financial...

This study focuses on equity, private debt, and asset-backed securities markets in Central America. These markets are generally under-developed throughout the region due to several structural problems, economic and political factors, and weaknesses in regulation and in institutional investor...

As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for...

Intro -- Contents -- I. INTRODUCTION -- II. WHY DO CURRENCY MISMATCHES MATTER? -- III. THE STRUCTURAL APPROACH TO DEFAULT RISK -- IV. THE DIFUSSION MODEL -- V. THE JUMP-DIFFUSION MODEL -- VI. THE DOUBLE EXPONENTIAL JUMP-DIFFUSION MODEL -- VII. SURVEILLANCE APPLICATIONS -- VIII. CONCLUSIONS --...

Intro -- Contents -- I. INTRODUCTION -- II. WHAT HAPPENS BEFORE A BANK DEFAULT? -- III. A UNIFIED FRAMEWORK FOR DISTANCE MEASURES : DISTANCE-TO-CAPITAL -- IV. CASE STUDY: THE RESONA AND ASHIKAGA BANKS -- V. CONCLUSIONS -- REFERENCES.