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The Determinants of Credit Spread Changes.
- Journal of Finance
, 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
Abstract
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Cited by 422 (2 self)
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changes. Below, we investigate the determinants of credit spread changes. From a contingent-claims, or noarbitrage standpoint, credit spreads obtain for two fundamental reasons: 1) there is a risk of default, and 2) in the event of default, the bondholder receives only a portion of the promised payments
Dissertação submetida como requisito parcial para obtenção do grau de Mestre em Finanças
"... An approach based on Extreme Value Theory as a measure to quantify market risk of equity securities and portfolios ..."
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An approach based on Extreme Value Theory as a measure to quantify market risk of equity securities and portfolios
Study of the Tail Dependence Structure in Global Financial Markets Using Extreme Value Theory
"... Abstract: The presence of tail dependencies invalidates the multivariate normality assumptions in portfolio risk management. The identification of tail (in)dependencies has drawn major attention in empirical financial studies. Yet it is still a challenging issue both theoretically and practically. P ..."
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. Previous studies based on either a restrictive model or the null hypothesis of tail (perfect) dependence does not well describe or interpret extreme co-movements in financial markets. This paper examines tail dependence structures underlying a broad range of financial asset classes employing the newly
De-indirection for Flash-based Solid State Drives
, 2013
"... ii iv vTo my parents vi vii Acknowledgements I would first and foremost extend my whole-hearted gratitude to my advisors, An-drea Arpaci-Dusseau and Remzi Arpaci-Dusseau. Andrea and Remzi are the reason that I had the opportunity for this exceptional Ph.D. journey. To this day, I still re-member the ..."
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-member the moment when they took me as their student and the joy and hope in my heart. Andrea and Remzi have showed me what systems research is like and how much fun and challenging it can be. Before this journey with them, I had always liked and believed in the beauty of mathematics and theory. My initial interest
zbw Leibniz-Informationszentrum WirtschaftLeibniz Information Centre for Economics
, 2002
"... Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle ..."
∗Databases and Distributed Systems Group
"... Abstract—Message-oriented middleware (MOM) is increas-ingly adopted as an enabling technology for modern information-driven applications like event-driven supply chain management, transport information monitoring, stock trading and online auctions to name just a few. There is a strong interest in th ..."
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Abstract—Message-oriented middleware (MOM) is increas-ingly adopted as an enabling technology for modern information-driven applications like event-driven supply chain management, transport information monitoring, stock trading and online auctions to name just a few. There is a strong interest
copyright by
, 2009
"... Abstract: Mobile ad hoc networks (MANETs) and wireless sensor networks (WSNs) are two recently-developed technologies that uniquely function without xed infrastructure support, and sense at scales, resolutions, and durations previously not possible. While both offer great potential in many applicati ..."
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, and Servilla. Limone reliably handles high levels of dynamics within MANETs. It does this through lightweight coordination primitives that make minimal assumptions about network connectivity. Agilla enables self-adaptive WSN applications via the integration of mobile agent and tuple space programming models
Title: Banking System Stability. A Cross-Atlantic Perspective
"... A particularly important sector for the stability of financial systems is the banking sector. Banks play a central role in the money creation process and in the payment system. Moreover, bank credit is an important factor in the financing of investment and growth. Faltering banking systems have ..."
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A particularly important sector for the stability of financial systems is the banking sector. Banks play a central role in the money creation process and in the payment system. Moreover, bank credit is an important factor in the financing of investment and growth. Faltering banking systems have
Results 1 - 10
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