This paper considers the pricing and hedging of collateralized debt obligations (CDOs). CDOs are complex derivatives on a pool of credits which we choose to analyse in the top down model proposed in Filipović et al. [4]. We reflect on the implied forward rates and bring them in connection with the top-down framework in Lipton and Shelton [8] and Schönbucher [11]. Moreover, we derive variance-mi...

We use a heterogeneous-agent model, in which labor income is risky and markets are incomplete, to analyze consumer debt portfolios of secured and unsecured debt in the US. Compared with previous research, we emphasize the role of durables which not only generate utility but also serve as debt collateral. This allows a meaningful joint analysis of secured and unsecured debt and introduces endoge...

Based on the idea of KMV model to build China's local government debt credit risk model, and associate the credit risk with borrowing scale to put forward the moderate debt scale of local government. Studies show that: The credit risks of local government debt is very sensitive to debt scale, When debt scale increases to a certain extent, the government’s default probability will rise sharply, ...

Technical Debt is a term used to classify non-optimal solutions during software development. These solutions cause several maintenance problems and hence they should be avoided or at least documented. Although there are a considered number of studies that focus on the identification of Technical Debt, we focus on the identification of Technical Debt in pull requests. Specifically, we conduct an...

Evidence has been mounting (over the centuries) that the interest based debt financing regime is under ever increasing distress. All of the earlier crises whatever label they carried− exchange rate crisis or banking crisis – have been debt crises in essence. At the present, empirical research suggests that the debt-to-GDP ratio of the richest members of the G-20 threatens to touch 120% m...

We study fiscal and monetary policy in a monetary union with the potential for rollover crises in sovereign debt markets. Member-country fiscal authorities lack commitment to repay their debt and choose fiscal policy independently. A common monetary authority chooses inflation for the union, also without commitment. We first describe the existence of a fiscal externality that arises in the pres...

Managing technical debt effectively to prevent it from accumulating too quickly is of great concern to software stakeholders. To pay off technical debt regularly, software developers must be conscious of the existence of technical debt items. The first step is to make technical debt explicit; that is the identification of technical debt. Although there exist many kinds of static source code ana...

Agency theory in modern corporate finance suggests the presence of a conflict of interest between managers and shareholders. Prior theoretical and empirical research has identified leverage as an important mechanism that is likely to mitigate agency costs. Although debt plays a central role in mitigating corporate agency conflicts, relatively few studies have examined the implications that aris...

This paper examines the optimal priority structure and mix of bank and bond market debt within a continuous-time asset pricing framework. Closed-form expressions are derived for the values of renegotiable bank debt, non-renegotiable bond market debt, equity, and levered firm values. We show that the optimal debt structure hinges upon the ex post division of bargaining power between the firm and...

In this article, we first analyze the process of the fluidity control of short-term national debt and think that the short-term national debt market with certain scale can reduce the impact of fluidity to commercial banks, then compare three tools usually used in open market operations, i.e. middle and long term national debt, central bank bill and short-term national debt and the results show ...