one of the economic problems in the developing countries is the debt problem. external debt occurs in the developing countries due to the elimination of the restrictions on the savings gap, the foreign exchange gap, and the fiscal gap in order to form the capital to accelerate the economic growth (karakoy et al., 2012, p. 491). in contrast, borrowing and rising the external debt could be little...

This paper empirically analyzes the effect of competition on rating quality under the "issuerpay" compensation scheme. Using hand-collected data of collateralized debt obligations (CDOs), we specify the competition among credit rating agencies with a discrete game framework and test its influence on the rating quality. We find that competition raised the probability of choosing lenient rating b...

We study optimal macroprudential policy in a model in which unconventional shocks, in the form of news about future fundamentals and regime changes in world interest rates, interact with collateral constraints in driving the dynamics of financial crises. These shocks strengthen incentives to borrow in good times (i.e. when “good news” about future fundamentals coincide with a low-world-interest...

We study optimal macroprudential policy in a model in which unconventional shocks, in the form of news about future fundamentals and regime changes in world interest rates, interact with collateral constraints in driving the dynamics of financial crises. These shocks strengthen incentives to borrow in good times (i.e. when “good news” about future fundamentals coincide with a low-world-interest...

Loan spreads are analysed for two types of loans. The …rst takes losses at maturity only; the second one follows the formulation of CFOs (Collateralized Fund Obligations), with losses registered over the lifetime of the contract. In both cases, the implementation requires the choice of a process for the underlying asset value and the identi…cation of the parameters. The parameters of the proces...

Abstract. The evaluation of structured credit products like baskets and collateralized debt obligations (CDOs) most often relies on the simulation of correlated default times for the underlying pool of credit instruments. Given the distribution of a default time vector one can find the distribution of the corresponding (cumulative) default quote path for a portfolio. In this note we show that t...

this study attempts to investigate the effect of oil returns and external debt on the government expenditure in syria over the period 1970-2010. the johansen cointegration test showed that oil returns and external debt have a positive and significant long run relationship with government expenditure. the granger causality test indicates unidirectional short-run causality relationships running f...

Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The recent crisis has shown that the standard market models fail to measure and forecast financial risks and their characteristics. This work studies risk of collateralized debt obligations (CDOs) by investigating the evolution of tranche spread surfaces and base correlation surfaces using a dynamic sem...

I conduct an empirical investigation into the pricing of subprime asset-backed collateralized debt obligations (CDOs) and their contagion effects on other markets. Using data for the ABX subprime indexes, I find strong evidence of contagion in the financial markets. The results support the hypothesis that financial contagion was propagated primarily through liquidity and risk-premium channels, ...