Table of contents
Shadow credit in the middle market: the decade after the financial collapse
Craig Anthony Zabala, Jeremy Marc JosseThe purpose of this paper is to review the continued development of the “shadow banking” market in the USA, namely, lending to the private middle market, defined as financings of…
Does market response to S&P additions reflect adjustment for risk?
Marek Marciniak, Deborah Drummond SmithThe purpose of this study is to investigate the value investors place on S&P index additions relative to uncertainty surrounding the firm and the market. Investors look for…
Bank failure intensity modeling: an ACD model approach
Vasileios SiakoulisThe purpose of this study is to employ a duration-based approach to model the inter-arrival times of bank failures in the US banking system for the period of 1934-2014, in line…
Assigning Eurozone sovereign credit ratings using CDS spreads
Rick van de Ven, Shaunak Dabadghao, Arun ChockalingamThe credit ratings issued by the Big 3 ratings agencies are inaccurate and slow to respond to market changes. This paper aims to develop a rigorous, transparent and robust credit…
Real exchange rate volatility and domestic consumption in Ghana
Bernard Njindan Iyke, Sin-Yu HoThis paper aims to examine the effects of exchange rate volatility on consumption by focusing on a small open sub-Saharan Africa (SSA) country, Ghana, which has experienced…
A multi-factor HJM and PCA approach to risk management of VIX futures
Philippe Bélanger, Marc-André PicardPrevious studies have shown the VIX futures tend to roll-down the term structure and converge towards the spot as they grow closer to maturity. The purpose of this paper is to…
A deforming time approach to the treatment of risk in projects evaluation
Salvador Cruz-Rambaud, Ana Maria Sanchez-PerezThe purpose of the paper is to introduce a novel methodology to identify and quantify the difference of financial risks exhibited by listed and unlisted companies in their debt…
Risk aversion decomposition and the impact of monetary policy surprises on aggregate tail risk aversion
Denghui ChenThe purpose of this paper is to present theoretical and empirical support that the fear component associated with rare events has an impact on risk premium and market returns.
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1526-5943Online date, start – end:
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Emerald Publishing LimitedOpen Access:
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- Nawazish Mirza