Papers & Reviews

  • 11 Agosto 2017
Investment commonality across insurance companies: Fire sale risk and corporate yield spreads

Keywords: yield spread, fire sales, regulation, credit rating, corporate bonds, insurance companies, capital constraints.

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  • 07 Agosto 2017
Credit ratings of domestic and global agencies: What drives the differences in China and how are they priced?

Keywords: Credit ratings, split ratings, state-owned firms, Chinese bond markets.

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  • 02 Agosto 2017
Financial crises and the dynamic linkages between stock and bond returns

Keywords: Bond prices, Financial crisis, Stock prices, Time–varying GARCH models, Volatility spillovers.

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  • 26 Mayo 2017
Assessing the risks of asset overvaluation: models and challenges

Propuesta de nuevos métodos para calcular las bandas de confianza para los valores fundamentales de las acciones y los bonos corporativos.

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  • 10 Abril 2017
Commodity price risk management and fiscal policy in a sovereign default model

Analyze a dynamic stochastic small-open-economy model of sovereign default, featuring endogenous fiscal policy and stochastic commodity revenues.

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