In this paper, we present a novel method to extract the risk-neutral probability of default of a firm from American put option prices. Building on the idea of a default corridor proposed in Carr and Wu (2011), we derive a parsimonious closed-form formula for American put option prices from which...

This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is...

We analyze the main forces affecting financial system pro-cyclicality (the fact that developments in the financial sector can amplify business cycle fluctuations). We first review some major structural developments in financial markets that may influence pro-cyclicality and that have been...

In 2014, the domestic money market saw the onset of a new wave of crisis, manifesting itself in capital outflow, a world's record plunge of the Russian stock indices, the ruble's devaluation, the surge in the key interest rate and interest rates in the interbank lending market. It is external...

Present paper shows that credit regarding job creation is ineffective in the 2000s, while it was effective in 1980s and 1990s. This paper attempts to support the view of (Bouis et al., 2013), that recently growth is sluggish, in spite of the massive monetary stimulus. Further, it will support...

In this paper is shown that financial deepening is good for job creation up to a critical point, beyond which unemployment starts rising. The reason can be the heavy debt the private sector is bearing, so that business sector becomes unable to pay off debts, and thus companies go bankrupt...

The central problem for financial regulation is reducing systemic risk. Systemic risk is the risk that the failure of one significant institution can cause or significantly contribute to the failure of other significant institutions. This paper addresses the five most important policies for...

This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the "Average Crossing Time" or ACT. We argue that the ACT...

The picture of the securities exchanges and financial sectors in CEE countries is still relatively unfavorable. The CEE securities exchanges – with the only exception of the Warsaw Stock Exchange – are, in comparison with their western counterparts, underdeveloped and less important for the...

The European Commission's current initiative to commence consultations on the action plan to build a Capital Markets Union is to be welcomed. The objective must be to create a stable and sustainable financial system, providing all households and companies with appropriate access to financial...