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Franklin de O. Gonçalves,Luiz Otavio Calôba
Pág. pp. 89 - 112
Brady bond securities represent a substantial fraction of emerging markets countries internationally tradable sovereign debt. The credit risk spread above and beyond the U.S. treasury curve for these securities is usually large in size and volatility. Mo...
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Jorge C. Kapotas,Pedro Paulo Schirmer,Marcelo M. Taddeo
Pág. pp. 159 - 182
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Silviu Eduard Dinca
During the past few years, in the recent post-crisis aftermath, global asset managers are constantly searching new ways to optimize their investment portfolios while financial and banking institutions around the world are exploring new alternatives to be...
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Dean Fantazzini
In this paper, we analyzed a dataset of over 2000 crypto-assets to assess their credit risk by computing their probability of death using the daily range. Unlike conventional low-frequency volatility models that only utilize close-to-close prices, the da...
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Mubanga Mpundu
Pág. 1873 - 1883
Securitization involves the transformation of illiquid assets into liquid and easy to sell ones. The paper focuses on the effect of unexpected negative shocks on Low Quality-asset price and input, Collateralized Debt Obligation price and output as well a...
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