Buscar
Mostrando ítems 11-20 de 596
Extracting default probabilities from sovereign bonds
(Sociedade Brasileira de Econometria, 2008-05-01)
Sovereign risk analysis is central in debt markets. Considering different bonds and countries, there are numerous measures aiming to identify the way risk is perceived by market participants. In such environment, probabilities ...
Reestructuración de pasivos y su efecto en la probabilidad de default de una compañía
(Universidad EAFITMaestría en Administración FinancieraEscuela de Economía y FinanzasCali, 2020)
This paper examined the effect of debt restructuring on a company's default distance in the short and long term, based on the initial understanding of the probability of default by sector and size of companies in Colombia ...
Monetary policy, default risk and the exchange rate
(Escola de Pós-Graduação em Economia da FGV, 2007)
In a country with high probability of default, higher interest rates may render the currency less attractive if sovereign default is costly. This paper develops that intuition in a simple model and estimates the effect of ...
Probabilidade implícita de default em debêntures do mercado brasileiro
(2014-05-30)
This work aims to extract implicit default probabilities curves from Brazilian´s debentures market. This process occurs in two steps. First challenge is to obtain the term structure of Brazilian’s debentures. Diebold and ...
Foreign funding to an emerging market: the Monetary Premium Theory and the Brazilian Case, 1991 - 1998
(Escola de Pós-Graduação em Economia da FGV, 2002-10-23)
We develop a framework to explain the private capital flows between the rest of the world and an emerging economy. The model, based on the monetary premium theory, relates an endogenous supply of foreign capitals to an ...
The Determinants of Household Debt Default
(ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2014)
Efecto de la digitalización en la probabilidad de default en el hogar
(Universidad Peruana de Ciencias Aplicadas (UPC)PE, 2022-06-30)
El aumento en el nivel de digitalización del hogar facilita el uso y acceso de servicios financieros digitales debido a los menores costos de transacción que estos productos poseen. En Perú, la digitalización, medido por ...
Sovereign Bond’s Credit Risk Immunization in a Tax Income Volatility Environment: The Case of a USD Denominated Mexican Bond.
(Universidad Autónoma Metropolitana (México). Unidad Azcapotzalco., 2012)
En este trabajo se utiliza el modelo de Merton (1976) de valuación de opciones y el modelo de volatilidad estocástica Heston-Nandi (2000) cuando el activo subyacente sigue un proceso de difusión con saltos para calcular ...
Pareto : improving default
(Universidad de San Andrés. Departamento de Economía, 2010-05)
This paper answers the question of whether non-strategic default improves welfare, not
only for borrowers with uncertain future income but also for lenders with certain future
endowments, relative to no default. We show ...
Monetary policy, default risk and the exchange rate
(Fundação Getúlio Vargas, 2011)
In a country with high probability of default, higher interest rates may render the currency less attractive if sovereign default is costly. This paper develops that intuition in a simple model and estimates the effect of ...