the debt is one of the principal component of accounting equation and capital structure of most companies. during last fifteen years the usage trend of debt was increasingly improved in companies' eps. american ones. in this research we tried to answer the following question: is there any meaningful relation between debt ratio and return on assets (roa) in sec of tehran and its industries?...

This paper empirically analyzes the effect of competition on rating quality under the "issuerpay" compensation scheme. Using hand-collected data of collateralized debt obligations (CDOs), we specify the competition among credit rating agencies with a discrete game framework and test its influence on the rating quality. We find that competition raised the probability of choosing lenient rating b...

We study optimal macroprudential policy in a model in which unconventional shocks, in the form of news about future fundamentals and regime changes in world interest rates, interact with collateral constraints in driving the dynamics of financial crises. These shocks strengthen incentives to borrow in good times (i.e. when “good news” about future fundamentals coincide with a low-world-interest...

We study optimal macroprudential policy in a model in which unconventional shocks, in the form of news about future fundamentals and regime changes in world interest rates, interact with collateral constraints in driving the dynamics of financial crises. These shocks strengthen incentives to borrow in good times (i.e. when “good news” about future fundamentals coincide with a low-world-interest...

Loan spreads are analysed for two types of loans. The …rst takes losses at maturity only; the second one follows the formulation of CFOs (Collateralized Fund Obligations), with losses registered over the lifetime of the contract. In both cases, the implementation requires the choice of a process for the underlying asset value and the identi…cation of the parameters. The parameters of the proces...

Abstract. The evaluation of structured credit products like baskets and collateralized debt obligations (CDOs) most often relies on the simulation of correlated default times for the underlying pool of credit instruments. Given the distribution of a default time vector one can find the distribution of the corresponding (cumulative) default quote path for a portfolio. In this note we show that t...

abstract the global economy faces crisis every so often. in recent years, the financial crisis has affected the global economy; all countries, directly or indirectly, are involved. the purpose of this research is to study the impact of the global economic crisis on the capital structure of listed companies in tehran stock exchange. to test this effect, 87 companies listed in tehran stock exchan...

one of the economic problems in the developing countries is the debt problem. external debt occurs in the developing countries due to the elimination of the restrictions on the savings gap, the foreign exchange gap, and the fiscal gap in order to form the capital to accelerate the economic growth (karakoy et al., 2012, p. 491). in contrast, borrowing and rising the external debt could be little...

This paper studies a dynamic equilibrium model of financial innovation with heterogeneous beliefs and competition among sellers of a new security. We show that both volume and price of the security after it is introduced are sensitive to the differing beliefs of participating players. We present conditions for the innovator to continue issuing the new security and for the imitator to enter the ...