BNDES: Financing the Brazilian Development
... Investments are necessary … as a consequence, infrastructure investments dropped over the last 20 years Yearly infrastructure growth in the selected sectors (%) ...
... Investments are necessary … as a consequence, infrastructure investments dropped over the last 20 years Yearly infrastructure growth in the selected sectors (%) ...
Chapter 6 The Risk and Term Structure of Interest Rates
... The risk structure of interest rates is (a) the structure of how interest rates move over time. (b) the relationship among interest rates of different bonds with the same maturity. (c) the relationship among the term to maturity of different bonds. (d) the relationship among interest rates on bonds ...
... The risk structure of interest rates is (a) the structure of how interest rates move over time. (b) the relationship among interest rates of different bonds with the same maturity. (c) the relationship among the term to maturity of different bonds. (d) the relationship among interest rates on bonds ...
Financial Instability and Monetary Policy: The Swedish Evidence
... have experienced financial crises or recessions often attributed to sharp declines in asset prices and problems in the banking sector, see, e.g., Borio, Kennedy and Prowse (1994), Bank for International Settlements (1998) and International Monetary Fund (2000). There is an ongoing debate among policy ...
... have experienced financial crises or recessions often attributed to sharp declines in asset prices and problems in the banking sector, see, e.g., Borio, Kennedy and Prowse (1994), Bank for International Settlements (1998) and International Monetary Fund (2000). There is an ongoing debate among policy ...
Credit ratings and credit risk: Is one measure enough?
... rating agencies – credit ratings of structured products have been the topic of several studies (for example, Benmelech and Dlugosz (2009), Bolton, Freixas, and Shapiro (2012), Gri¢ n and Tang (2012)). In this context the distinction between default probability and systematic risk has been made by Co ...
... rating agencies – credit ratings of structured products have been the topic of several studies (for example, Benmelech and Dlugosz (2009), Bolton, Freixas, and Shapiro (2012), Gri¢ n and Tang (2012)). In this context the distinction between default probability and systematic risk has been made by Co ...
Lending-of-last-resort is as lending-of-last
... materialized in the Eurozone starting mid-2011. Acharya and Steffen (2015) find evidence that European banks designed investment strategies from 2007 to 2012 based on the purchasing of peripheral bonds through short-term debt financing. They conclude that moral hazard played a key role, in particula ...
... materialized in the Eurozone starting mid-2011. Acharya and Steffen (2015) find evidence that European banks designed investment strategies from 2007 to 2012 based on the purchasing of peripheral bonds through short-term debt financing. They conclude that moral hazard played a key role, in particula ...
Testing for Rating Consistency in Annual Default
... For example, the default rates in 1991 and 1996 were 9.9% and 1.6% respectively. What is the chance that these two default rates represent draws from the same underlying statistical distribution? Assuming a constant default probability, the probability of this occurring by chance is effectively zero ...
... For example, the default rates in 1991 and 1996 were 9.9% and 1.6% respectively. What is the chance that these two default rates represent draws from the same underlying statistical distribution? Assuming a constant default probability, the probability of this occurring by chance is effectively zero ...
QM 3.2 - SmallParty.org
... of friends or family, or even of people they haven’t met in distant parts of the world. Economics also does not make value judgments about different types of individuals; for example, economists do not say that people who avoid risk are better or worse than people who seek out risk. We simply note t ...
... of friends or family, or even of people they haven’t met in distant parts of the world. Economics also does not make value judgments about different types of individuals; for example, economists do not say that people who avoid risk are better or worse than people who seek out risk. We simply note t ...
Bonds, Stocks, and Sources of Mispricing
... mispricing attributable to either market frictions or biases in investor’s expectations. Indeed, financial economists have often questioned the rationality of market participants. For instance, Baker and Wurgler (2006) show that investor sentiment has a significant impact on stock returns, particula ...
... mispricing attributable to either market frictions or biases in investor’s expectations. Indeed, financial economists have often questioned the rationality of market participants. For instance, Baker and Wurgler (2006) show that investor sentiment has a significant impact on stock returns, particula ...
Receivable management in non banking finance companies with
... of Science and Technology, Cochin. I further declare that this has not previously formed the basis for the award of nay Degree, Diploma, Associateship, Fellowship ...
... of Science and Technology, Cochin. I further declare that this has not previously formed the basis for the award of nay Degree, Diploma, Associateship, Fellowship ...
Implied Expected Returns and the Choice of a Mean–Variance
... and covariance matrix Σ, then there exists a linear relation between the assets’ expected return μ and their covariance with that efficient portfolio, i.e., Σw . Hence, if a mean– variance efficient weight vector is known and a covariance matrix has been accurately estimated, the above-mentioned lin ...
... and covariance matrix Σ, then there exists a linear relation between the assets’ expected return μ and their covariance with that efficient portfolio, i.e., Σw . Hence, if a mean– variance efficient weight vector is known and a covariance matrix has been accurately estimated, the above-mentioned lin ...
A Model of Capital and Crises Zhiguo He Arvind Krishnamurthy May 2011
... common characteristics: risk premia rise, interest rates fall, conditional volatilities of asset prices rise, correlations between assets rise, and investors “‡y to the quality” of a riskless liquid bond. This paper o¤ers an account of a …nancial crisis in which intermediaries play the central role. ...
... common characteristics: risk premia rise, interest rates fall, conditional volatilities of asset prices rise, correlations between assets rise, and investors “‡y to the quality” of a riskless liquid bond. This paper o¤ers an account of a …nancial crisis in which intermediaries play the central role. ...
Affine Term Structure Modeling and Macroeconomic Risks at the
... under the physical measure allows to compute macroeconomic forecasts, nominal and real interest rate forecasts, and impulse-response functions with closed-form formulas. Last, the gamma-zero distribution produces lifto probabilities available as closed-form functions of macroeconomic variables und ...
... under the physical measure allows to compute macroeconomic forecasts, nominal and real interest rate forecasts, and impulse-response functions with closed-form formulas. Last, the gamma-zero distribution produces lifto probabilities available as closed-form functions of macroeconomic variables und ...
Cheap Talk, Fraud, and Adverse Selection in Financial Markets
... which only the lowest quality assets trade. This behavioral baseline may differ from the theoretical baseline of complete adverse selection because adverse selection is an equilibrium phenomenon. Buyers must anticipate that sellers with the highest quality assets may not be willing to trade if the p ...
... which only the lowest quality assets trade. This behavioral baseline may differ from the theoretical baseline of complete adverse selection because adverse selection is an equilibrium phenomenon. Buyers must anticipate that sellers with the highest quality assets may not be willing to trade if the p ...
Global Fixed Income Portfolio
... Yield Curve Risk The yield curve risk is the risk that the value of a bond portfolio will deteriorate because of the change in the shape of the yield curve The yield curve is a graphical representation of interest rates across all maturities. When interest rates move, they do not change in an equal ...
... Yield Curve Risk The yield curve risk is the risk that the value of a bond portfolio will deteriorate because of the change in the shape of the yield curve The yield curve is a graphical representation of interest rates across all maturities. When interest rates move, they do not change in an equal ...
An Overview of Fee Structures in Real Estate Funds and Their
... potentially missing better risk-adjusted return possibilities had they invested more deliberately and possibly increasing vintage-year risk), o investing in non-core assets is a more time-consuming and intensive process (as compared to investing in core properties) requiring (not only the level of f ...
... potentially missing better risk-adjusted return possibilities had they invested more deliberately and possibly increasing vintage-year risk), o investing in non-core assets is a more time-consuming and intensive process (as compared to investing in core properties) requiring (not only the level of f ...
2006 Annual Report - Media Corporate IR Net
... This strong financial performance has enabled us to continue our record of returning capital to shareholders. 2006 was our 29th consecutive year of raising our quarterly dividend, which increased by 12 percent to $0.56. Over that time, our dividend has increased at a compound annual growth rate of 1 ...
... This strong financial performance has enabled us to continue our record of returning capital to shareholders. 2006 was our 29th consecutive year of raising our quarterly dividend, which increased by 12 percent to $0.56. Over that time, our dividend has increased at a compound annual growth rate of 1 ...
State of the Markets
... principal and/or interest payments and do not evaluate the risks of fluctuations in market value. Accordingly, the credit ratings may not fully reflect the true risks of the Transaction. Also, rating agencies may fail to make timely changes in credit ratings in response to subsequent events, so that ...
... principal and/or interest payments and do not evaluate the risks of fluctuations in market value. Accordingly, the credit ratings may not fully reflect the true risks of the Transaction. Also, rating agencies may fail to make timely changes in credit ratings in response to subsequent events, so that ...
Bonds, Stocks, and Sources of Mispricing
... icantly lower returns following periods of high sentiment. This suggests that institutions may be susceptible to waves of sentiment. On the other hand, we also find that institutional investors significantly decrease their holdings of distressed stocks prior to credit rating downgrades, which lends ...
... icantly lower returns following periods of high sentiment. This suggests that institutions may be susceptible to waves of sentiment. On the other hand, we also find that institutional investors significantly decrease their holdings of distressed stocks prior to credit rating downgrades, which lends ...
CHAPTER 5 INTRODUCTION TO VALUATION: THE TIME VALUE
... maturity if it is to its advantage, i.e. interest rates decline. Given the drop in interest rates needed to make this viable for TMCC, it is unlikely the company will repurchase the security. This is an example of a ―call‖ feature. Such features are discussed at length in a later chapter. ...
... maturity if it is to its advantage, i.e. interest rates decline. Given the drop in interest rates needed to make this viable for TMCC, it is unlikely the company will repurchase the security. This is an example of a ―call‖ feature. Such features are discussed at length in a later chapter. ...
The Stock Market, Credit, and Capital Formation
... in any meaning other than that which they have been assigned in the newest Keynesian language. The present book adheres to pre-Keynesian language, employing terms such as Saving and Hoarding in the traditional sense (corresponding most nearly to D. H. Bobertson's definitions). In order to avoid misu ...
... in any meaning other than that which they have been assigned in the newest Keynesian language. The present book adheres to pre-Keynesian language, employing terms such as Saving and Hoarding in the traditional sense (corresponding most nearly to D. H. Bobertson's definitions). In order to avoid misu ...
US CORNER - Paul, Weiss
... how much cushion there is between those covenants and the first lien covenants, and (ii) the terms of the intercreditor agreement, where the second lien lenders may have given back some approval rights. Each situation will be unique not only because of the circumstances surrounding the borrower but ...
... how much cushion there is between those covenants and the first lien covenants, and (ii) the terms of the intercreditor agreement, where the second lien lenders may have given back some approval rights. Each situation will be unique not only because of the circumstances surrounding the borrower but ...
Cabot Corporation - Investor Relations Solutions
... availability of raw materials for our Specialty Fluids business and the life of our pollucite ore reserves; the sufficiency of our cash on hand, cash provided from operations and cash available under our credit and commercial paper facilities to fund our cash requirements; anticipated capital spendi ...
... availability of raw materials for our Specialty Fluids business and the life of our pollucite ore reserves; the sufficiency of our cash on hand, cash provided from operations and cash available under our credit and commercial paper facilities to fund our cash requirements; anticipated capital spendi ...
The Base Rate Book - research-and-analytics.csfb.com.
... company will perform in the future. Market psychology also comes into play. The fundamental analyst has to have a sense of a company’s future performance to invest intelligently. There is a natural and intuitive approach to creating a forecast of any kind. We focus on an issue, gather information, s ...
... company will perform in the future. Market psychology also comes into play. The fundamental analyst has to have a sense of a company’s future performance to invest intelligently. There is a natural and intuitive approach to creating a forecast of any kind. We focus on an issue, gather information, s ...
... central banks. Should central banks lend against low quality collateral? We characterize efficient central bank collateral policy in a model where a bank borrows from the interbank market or the central bank. Collateral has favorable incentive effects but is costly to transfer to lenders who value t ...
Credit rationing
Credit rationing refers to the situation where lenders limit the supply of additional credit to borrowers who demand funds, even if the latter are willing to pay higher interest rates. It is an example of market imperfection, or market failure, as the price mechanism fails to bring about equilibrium in the market. It should not be confused with cases where credit is simply ""too expensive"" for some borrowers, that is, situations where the interest rate is deemed too high. On the contrary, the borrower would like to acquire the funds at the current rates, and the imperfection refers to the absence of equilibrium in spite of willing borrowers. In other words, at the prevailing market interest rate, demand exceeds supply, but lenders are not willing to either loan more funds, or raise the interest rate charged, as they are already maximising profits.