Pakistan’s new government which assumed office under President Musharraf in October 1999 was faced with four main challenges: heavy external and domestic indebtedness; high fiscal deficit and low revenue generation capacity; rising poverty and unemployment; weak balance of payments. In addition, Pakistan was perceived as a highly corrupt country with poor governance. A survey by Transparency In...

Collateralized Debt Obligations (CDOs) are sophisticated financial products that offer a range of investments, known as tranches, at varying risk levels backed by a collateral pool typically consisting of corporate debt (bonds, loans, default swaps, etc.). The analysis of the risk-return properties of CDO tranches is complicated by the highly nonlinear and time dependent relationship between th...

This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipović, Overbeck and Schmidt (2009) to the case where the forward rates are driven by a finite dimensional Lévy process. The contribution of this work is twofold: we provide conditions for absence of arbitrage in this generalized framework. Furthermore, we ...

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...

One of the most significant developments in international credit markets in recent years has been the trade in Collateralized Debt Obligations (CDO), which has enabled financial institutions to repackage the credit risk of an asset portfolio into tranches to be transferred to investors. The present paper evaluates the credit risk of such a portfolio and the related tranches by applying two prom...

Using data from the 2001 Survey of Consumer Finances, this study examines how the holding of types and amounts of household debt changes over the life cycle. The results show that the likelihood of holding each type of debt and the amount of each type of debt compared to total assets decrease with age. Although the popular press has speculated that older households accumulate excessive amounts ...

The article presents a study to understand the behavior of money velocity for different money stock measures in India for the period 1982 – 2012 along with the important factors by which they get influenced. The first part checks the random walk hypothesis for money velocity fluctuations. The results show that the velocities do not exhibit random walk behavior which proved to be useful for anal...

This paper highlights the role of the domestic tax system in determining the economic consequences of an external debt overhang. The analysis indicates that fairly strong, and probably unrealistic, assumptions about the domestic tax system are needed to argue that the investment disincentives associated with the debt overhang are large enough to place a country on the wrong side of the debt Laf...

Migrant remittances play an important role in many labor exporting countries in the world today. In some cases, remittances are the single most important source of foreign exchange. Because foreign exchange is a scant resource in many of the labor exporting countries, mobilizing remittances could ease foreign exchange bottlenecks, helping thus, to mitigate development finance, improve balance o...