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on Corporate Finance |
| By: | James Ang |
| Abstract: | Although theory emphasizes the role of financial market frictions in explaining income inequality, there is little empirical research exploring how financial development and financial sector reforms influence the evolution of income inequality. This paper examines how finance impacts on income inequality in India using annual time series data for over half a century. The results indicate that while financial development helps reduce income inequality, financial liberalization seems to have exacerbated income inequality in India. Our results are robust to the use of different measures for financial development and financial liberalization. |
| Keywords: | Financial development; financial liberalization, income inequality; India. |
| JEL: | G28 O16 O53 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2008-08&r=cfn |
| By: | Giandomenico, Rossano |
| Abstract: | The model, by using a contingent claim approach, determines the fair value of the banks liabilities accounting for the protection and the surrender possibility. Furthermore, it determines the implied duration of banks liabilities so to show that the surrender possibility will reduce the effective duration of banks liabilities. Implications for the immunization are also treated. |
| Keywords: | Contingent Claim; Duration |
| JEL: | G13 G21 |
| Date: | 2008–07–05 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:15757&r=cfn |
| By: | Jan Pieter Krahnen (Goethe University Frankfurt, CFS, and CEPR); Christian Wilde (Goethe University Frankfurt) |
| Abstract: | This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of individual ABS tranches can directly be compared to those of corporate bonds, within and across rating classes. By applying Monte Carlo Simulation, we find that the risk properties of ABS differ significantly and systematically from those of straight bonds with the same rating. In particular, loss given default, the sensitivities to macroeconomic risk, and model risk differ greatly between instruments. Our findings have implications for understanding the credit crisis and for policy making. On an economic level, our analysis suggests a new explanation for the observed rating inflation in structured finance markets during the pre-crisis period 2004-2007. On a policy level, our findings call for a termination of the 'one-size-fits-all' approach to the rating methodology for fixed income instruments, requiring an own rating methodology for structured finance instruments. |
| Keywords: | Credit Risk, Risk Transfer, Systematic Risk |
| JEL: | G21 G28 |
| Date: | 2009–06–24 |
| URL: | http://d.repec.org/n?u=RePEc:cfs:cfswop:wp200911&r=cfn |