Credit Risk Premium
Empirical Analysis of Yield Determinants in Japan’s Municipal Bond Market: Does Credit Risk Premium Exist?
... the credit risk indicators, had no impact on the yield spreads, suggesting the absence of credit risk ...other credit risk indicators also significantly impact the yield spread, ...
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Evaluation of methods for determining the credit risk premium for mortgages
... A new set of regulations is currently being developed to form the Basel III standard (BCBS, 2011). The main concern is improving both quantity and quality of capital to be kept. This is an addition of extra buffer ...
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Determinants of Asia-Pacific government bond yields
... currency risk and focuses on the credit risk, which is what most studies on EMEs have concentrated ...the credit factor enters highly significantly. Higher credit risk raises ...
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Credit Risk Management and Financial Performance of Deposit Taking Savings and Credit Co-Operative Societies in Nairobi City County, Kenya
... of risk assessment, Risk Monitoring, Information, Communication, Control Activities as well as the Control Environment are present and working (Hayes et ...of credit risk management and SACCOs ...
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The Forward Premium Puzzle And Risk Premiums
... the risk premium, which relaxes the assumption of the CIRP about investors’ risk neutrality and introduces their risk aversion behaviors in the ...
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Managing Credit Risk with Credit Derivatives
... Managing Credit Risk with Credit Derivatives Gilroy, Bernard Michael and Broll, Udo... lUB:lSUl q;t3~lB tpIB~M JO klIlln IBUlä1BW IBUläl'eW ~ql wnUJlldo ~ql UI lUB:1SUlq;B~ lB ~nu..[r] ...
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Risk-free Yields, Risk Aversion, and Volatility
... between risk aversion and the RF ...the risk aversion coefficient is indeterminate, ...equity risk premium is estimated to be between ...this premium (Azar, ...variable risk ...
8
The Risk Premium of Treasury Bonds in China
... In summary, there seem a lot of macro variables which can be used as factors in Macro Dynamic Term Struc- ture Model, but it seems that they don’t contain so much macro information predicting the excess return. And the ...
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Volatility Forecasting and Volatility Risk Premium
... After empirical research with different models in the American S & P500 index option market, we found that, as a result of the model-free implied volatility method not relying on the option pricing model and ...
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The achievements of the European Monetary System
... Radaelli 1987 provides corroborating evidence of a non-zero risk premium between the franc and the mark over this period by estimating a particular parameterisation of the risk premium s[r] ...
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Credit Risk Modelling- A wheel of Risk Management
... Credit risk models treat such ‘credit related optionality’ associated with a line of credit by treating the draw-dawn rate as a known function of the customer’s end-of-period credit ...
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Volume I Issue II 2015 EXPORT CREDIT INSURANCE PREMIUM: OECD AND OPTION VALUATION METHODS COMPARISON
... export credit insurance of Option valuation approach and OECD method of calculation of premium is ...export credit insurance is a derivative which behaves like put ...export credit insurance ...
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THE BIOECONOMICS OF SHADE-GROWN COFFEE PRODUCTION UNDER CLIMATE AND PRICE RISKS IN PUERTO RICO
... monoculture. Results showed that the unshaded monoculture farm type was the most profitable and the farm under traditional polyculture was the only risk-free investment. Current et al. (1995) employed a ...
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The Skew Risk Premium in the Equity Index Market
... The obvious solution to the ageing problem is to rebalance the portfolio so that its risk exposure remains constant. The challenge is to do so in a way that is not model-dependent. As Anderson et al. (2000) have ...
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The Importance of the Volatility Risk Premium for Volatility Forecasting
... volatility risk premium adjusted model-free implied volatility (RMFIV) vis-`a-vis other models that include historical volatility (HIST) and GARCH-type ...
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Certainty equivalent, risk premium and asset pricing
... systematic risk or market risk rather than the total risk or firm ...systematic risk and the non-systematic risk should be taken into ...or risk-adjusted discount ...
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Index Catalog // Carolina Digital Repository
... The actual test for significant difference between the two premia is given by analyzing confidence intervals of the mean transitory premium. Point estimate goes from -0.5% for one day of forecasting to -0.1% for ...
199
Social credit: a comprehensive literature review
... the credit risk of various agents has been and remains the major concern in the field of social ...in credit rating prediction and vary across different target ...country risk in- cludes a ...
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Interest rate and loan repayment in commercial banks in Nyeri County, Kenya
... a credit rationing tool as a means of avoiding the adverse impacts of the people who have borrowed from ...the risk factor of a loan, have not been directly examined as it influences the non-performance of ...
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SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR
... Our study has several differences from previous studies , first, our empirical model is simpler. Using reduce form, we directly estimate the relationship between CDS premium and macroeconomic variables through ...
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