Composition of International Capital Flows: A Survey In this survey, we focus on key mechanisms through which liquidity and financial shocks affect major types of capital flows. We focus on a few models that examine the role of asymmetric information, liquidity preferences, limited enforcement, and incomplete markets on the composition of capital flows. We show that the information asymmetry be...

Remittances have emerged as a vital player in the balance of Payments different countries and are pivotal for stability external sector developing such Pakistan. This study analyses macroeconomic determinants remittances well comparative skilled unskilled workers to draw clearer picture current state composition remittances. The makes use Johansen’s co-integration technique check existence long...

A critical issue in the credit risk industry is the accurate, efficient and robust pricing of collateralized debt obligations (CDO) in a variety of mathematical models. These and many similar basket default products are very complex, due to characteristics of the large number of individual firms upon which they depend. Despite this complexity and because of their versatility, such products have...

This paper develops numerical approximations for pricing collateralized debt obligations (CDOs) and other portfolio credit derivatives in the multifactor Normal Copula model. A key aspect of pricing portfolio credit derivatives is capturing dependence between the defaults of the elements of the portfolio. But, compared with an independent-obligor model, pricing in a model with correlated defaul...

Remittances are a very important source of income for many Nicaraguan families. More than 40% of all households receive remittances that on average amount to 12-15% of total household income in these households. More than 30% of these households receive remittances at least monthly, implying that it is a relatively stable source of income. This paper shows that remittances do tend to reduce the...

This paper is part of a series explaining various methodologies for defining and measuring the contributions of systematic factors to economic capital as well as for hedging systematic risk in credit portfolios. Multi-factor credit portfolio models are used widely today for measuring and managing economic capital as well as for pricing credit portfolio instruments such as collateralized debt ob...

February 2000 www.dcrco.com n recent years, collateralized debt obligations (CDOs) have emerged as one of the largest and fastest growing sectors of the asset-backed securities (ABS) market. Due to increasing use of bond and loan collateral within one transaction, the term collateralized debt obligation is becoming more popular, and the terms collateralized bond obligation (CBO) and collaterali...