In recent years, credit risk has played a key role in risk management issues. Practitioners, academics and regulators have been fully involved in the process of developing, studying and analysing credit risk models in order to find the elements which characterize a sound risk management system. In this paper we present an integrated model, based on a reduced pricing approach, for market and cre...

February 2000 www.dcrco.com n recent years, collateralized debt obligations (CDOs) have emerged as one of the largest and fastest growing sectors of the asset-backed securities (ABS) market. Due to increasing use of bond and loan collateral within one transaction, the term collateralized debt obligation is becoming more popular, and the terms collateralized bond obligation (CBO) and collaterali...

This paper shows that the quantitative predictions of an equilibrium asset-pricing model with financial frictions are consistent with key features of the Sudden Stop phenomenon. Foreign traders incur costs in trading assets with domestic agents, and a collateral constraint limits external debt to a fraction of the market value of domestic equity holdings. When this constraint does not bind, sta...

This study aims to determine the effect of trading frequency, financial ratios, and market capitalization on sharia stock returns. The independent variables used in this are earnings per share, return equity, debt equity ratio, capitalization. dependent variable is uses secondary data, namely statements annual reports companies listed Jakarta Islamic Index (JII) index Indonesia Stock Exchange f...

The paper investigates the effects of macroeconomic conditions on firms’ capital structure. We introduce a repeated lender-borrower interaction that allows for debt and equity financing to co-exist as optimal securities in every period. The presence of asymmetric information in the market for loans is responsible for endogenous fluctuations to take place.It is possible to state sufficient condi...

Muddling through isn’t working. This commentary argues that troubled eurozone nations should simultaneously open restructuring talks while continuing to service their debts normally. Germany, France and other core eurozone nations would have to stand ready to recapitalise the banks most exposed to the restructured debt. The ECB would then stabilise the banking system and the EFSF would stabilis...

This paper shows that asymmetric information between lenders and borrowers plays a crucial role in the existence of interactions between ̄nancial decisions and output market strategies. Lenders o®er an optimal, renegotiation-proof ̄nancial contract which resembles a standard debt contract. Computing Cournot equilibria, debt causes ̄rms to compete less aggressively: the usual (positive) limited ...

Systemic financial crises involve debt (leverage). We provide a theory of the optimality of debt, which nevertheless can lead to a crisis. Trade is best implemented by debt because it provides the smallest incentive for private information production, which creates trade-reducing adverse selection. Debt preserves symmetric ignorance between counterparties. Debt is least information-sensitive: t...

The purpose of this paper is to evaluate the influence some financial ratios on management performance, represented by ROA companies listed Vietnamese stock market. study utilizes simultaneous equation model, GMM regression method with data 621 in industrial and consumer goods sectors 2019. research results show three factors that are affect efficiency (represented Ratio return assets), which b...

We examine whether mandating banks to issue subordinated debt would serve to enhance market monitoring and control risk taking. To evaluate whether subordinated debt enhances risk monitoring, we extract the credit-spread curve for each banking firm in our sample and examine whether changes in credit spreads reflect changes in bank risk variables, after controlling for changes in market and liqu...