منابع مشابه
Default , Efficiency and Uniqueness
An adequate description of economic dynamics requires the introduction of a monetary system including default penalties and expectations in a society whose economy utilizes money and credit. This essay notes and discusses several of the factors involved in the use of money and credit in a process oriented economy. It links these observations with the general equilibrium treatment of the same un...
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We consider a two-sector overlapping generations model with homothetic preferences. Under standard conditions on technologies, upon large enough values for the share of first period consumption over the wage income, we prove that dynamic efficiency and local uniqueness of the competitive equilibrium hold. On the contrary, for lower values of the share of first period consumption over the wage i...
متن کاملDefault probabilities and default correlations under stress
We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. The analysis is performed in the class of elliptical distributions, a family of light-tailed to heavy-tailed distributions encompassing many distributions commonly found in financial modelling. It turns out that the asymptotic limit of...
متن کاملUniqueness and non-uniqueness in percolation theory
This paper is an up-to-date introduction to the problem of uniqueness versus non-uniqueness of infinite clusters for percolation on Z d and, more generally, on transitive graphs. For iid percolation on Z, uniqueness of the infinite cluster is a classical result, while on certain other transitive graphs uniqueness may fail. Key properties of the graphs in this context turn out to be amenability ...
متن کاملInformational Efficiency of Credit Default Swap and Stock Markets: the Impact of Credit Rating Announcements
Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements This Paper analyses the response of stock and credit default swap (CDS) markets to rating announcements by the three major rating agencies during 2000-2. Applying event study methodology, we examine whether and how strongly these markets respond to rating announcements in terms of abnorm...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.2999991