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We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...
This thesis consists of two chapters that study separate subjects in the area of corporate finance.The first chapter, titled âEconomic Gains in Bank Mergers and Acquisitions â Evidence from Targetsâ, investigates economic gains in bank mergers and ac ...
We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...
This article shows that the inability to use monetary policy for macroeconomic stabilization leaves a government more vulnerable to a rollover crisis. We study a sovereign default model with self-fulfilling rollover crises, foreign currency debt, and nomin ...
The green bond market's rapid growth has alerted issuers and investors to this sustainable area of investment. This study ascertains whether green bonds are priced lower than conventional bonds-whether a negative green bond premium exists in both Chinese a ...
We propose a “debt view” to explain the dominant international role of the dollar. Within a simple capital-structure model with debt-currency choice, we show that the “dominant currency” is the one that (1) depreciates in global downturns over horizons of ...
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...
If one carries out a molecular simulation ofNparticlesusing periodic boundary conditions, linear momentum is conserved,and hence, the number of degrees of freedom is set to 3N-3. Inmost programs, this number of degrees of freedom is the defaultsetting. How ...
Innovations in statistical technology, in functions including credit-screening, have raised concerns about distributional impacts across categories such as race. Theoretically, distributional effects of better statistical technology can come from greater f ...
This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets a ...
