Swap rates and credit quality

Article Abstract:

This article presents a model for valuing claims subject to default by both contracting parties, such as swaps and forwards. With counterparties of different default risk, the promised cash flows of a swap are discounted by a switching discount rate that, at any given state and time, is equal to the discount rate of the counterparty for whom the swap is currently out of the money (that is, a liability). The impact of credit-risk asymmetry and of netting is presented through both theory and numerical examples, which include interest rate and currency swaps. (Reprinted by permission of the publisher.)

Research, Prices and rates, Swaps (Finance)

---

Credit rationing and financial disorder

Article Abstract:

A model of lender behavior in the presence of default risk and moral hazard is developed, which calculates default premiums and shows the conditions under which borrowers are rationed. A cognitive bias that has been emphasized in the analysis of economic behavior with regard to natural disasters and verified in the empirical literature on decision making under uncertainty provides a dynamic component to the analysis. How an economy becomes vulnerable to a financial crisis and why vulnerability may increase over time is explained.

Debtor and creditor, Default (Finance)

---

Credit ratings and capital structure

Article Abstract:

The impact of credit ratings on decisions of capital structure is discussed.

Washington, Influence, Capital structure

Similar abstracts:

• Abstracts: Stock and compensation. Agency costs, risk management, and capital structure. Agency, Delayed Compensation, and the Structure of Executive Remuneration
• Abstracts: What is an audit? Internal Auditing: An Industry Perspective. Transaction Flow Auditing
• Abstracts: The Credit Internship. Credit and collections: ten rules for effective management
• Abstracts: Another chance for the marketing concept? Large-site prices still declining, survey finds. How Multivariate Analysis Can Enrich Survey Findings
• Abstracts: An analysis of brokers' and analysts' unpublished forecasts of UK stock returns. Good day sunshine: stock returns and the weather

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.