Credit Risk Models (Annual Review of Financial Economics Book 1)

Annual Review of Financial Economics, Annual Reviews | IDEAS/RePEc

See the RePEc data check for the archive and series. White , Matthew P. Carpenter and Robert F. Whitelaw A Firm's Cost of Capital pp. Lewis Agency Dynamics in Corporate Finance pp. Lambrecht and Stewart C. Myers Credit Supply Disruptions: Theories and Facts pp. David Cummins and Mary A. A Bond Market Perspective pp. Past, Present, and Future pp.

Subrahmanyam , Dragon Y. Tang and Sarah Q. Implicit Labor Contracts Viewed as Options: A Discussion of 'Insurance Aspects of Pensions'. Chapter Recent Advances in Corporate Finance Mason and Robert C. Mathematical Methods ; Corporate Finance ;. The Role of the Stock Market. Stanley Fischer and Robert C.

Macroeconomics ; Financial Markets ;. Chapter Financial Aspects of the U. Compensation and Benefits ; Public Sector ;. Essays in Honor of Paul Cootner Mathematical Methods ; Economics ; Finance ;.

Chapter Handbook of Mathematical Economics On the Microeconomic Theory of Investment under Uncertainty. The Regulation of Financial Institutions Capital Requirements in the Regulation of Financial Intermediaries: Chapter Studies in Risk and Return Capital ; Asset Pricing ; Mathematical Methods ;.

A Framework for Understanding Financial Institutions. Merton and Robert T.

Annual Reviews

Systemic Risk and the Refinancing Ratchet Effect. Zvi Bodie and R. A Case of Israel. The Equity Plus Fund A. Merton and Alberto Moel. Savings and Loans and the Mortgage Markets. Other Unpublished Work Disclose the Fair Value of Complex Securities.

Robert Kaplan, Robert C. Merton and Scott Richard. Value ; Financial Instruments ; Corporate Disclosure ;. Corporate Dividend Dynamics at the Firm Level. Mathematical Methods ; Economics ;. Mathematical Methods ; Price ;. Restrictions on Rational Option Pricing: A Set of Arbitrage Conditions. Stock Options ; Valuation ; Trade ;. Business and Environment Business History Entrepreneurship. Finance Globalization Health Care. Finance General Management Marketing. Technology and Operations Management.

Functional and Strategic Finance Winter Areas of Interest financial engineering financial innovation global risk management Additional Topics capital markets capital structure credit risk equity-based pay financial analysis institutional investing investment banking investment management long-term investing market efficiency mutual funds real options valuation Industries banking brokerage financial services insurance industry investment banking industry retail financial services.

Finance ; Economics ; Citation: Cleeton This book seeks to explain finance through its functions rather than its institutions, concentrating on the three pillars of finance: Bodie, Zvi, Robert C. Merton, and David L. Overview ; Translated into Korean and Hungarian. Lim, Terence, Andrew W. Foundation and Trends in Finance. Risk Management ; Finance ; Citation: Bodie, Zvi, and Robert C. Finance ; Innovation and Invention ; Cases ; Citation: Cite View Details Related.

Book The Global Financial System: A Functional Perspective D. Book Cases in Financial Engineering: Finance ; Financing and Loans ; Citation: History ; Science ; Citation: Merton Corporate America began to really take notice of the looming retirement crisis in the wake of the dot-com crash, when companies in major industries went bankrupt in large part because of their inability to meet their pension obligations.

The result was an acceleration of America's shift away from employer-sponsored pension plans toward defined-contribution DC plans—epitomized by the ubiquitous k —which transfer the investment risk from the company to the employee. With that transfer has come a dangerous shift in investment focus, argues Nobel Laureate Robert C.

Traditional pension plans were conceived and managed to provide members with a guaranteed income. And because that objective filtered right through the scheme, members thought of their benefits in those terms. Ask a member what her pension is worth and she'll reply with an income figure: Most DC schemes, however, are designed and managed as investment accounts with the goal of accumulating the largest possible pot of savings.

Communication with savers is framed entirely in terms of assets and returns. Ask a saver what his k is worth and you'll hear a cash amount and perhaps a lament to the value lost in the financial crisis. The trouble is that investment value and asset volatility are simply the wrong measures if your goal is to secure a particular future income. In this article, Merton explains a liability-driven investment strategy whose aim is to improve the probability of achieving a desired retirement income rather than to maximize the capital value of the savings.

Merton and Jan Snippe Keywords: Cost ; Price ; Conflict and Resolution ; Citation: Merton Against the backdrop of financial crisis, a distinguished group of academics and practitioners discusses the contribution of financial management and innovation to corporate growth and value, along with the pitfalls and unintended consequences of such innovation.

Merton Traditional conventions of accounting and actuarial science distort the valuation of capital risk in corporations with pension plans because under these conventions, pension assets and liabilities are not included in balance sheet calculations.

The modern risk management tools of derivatives technologies can improve both corporate decision making and external analysis of corporations. Merton and Zvi Bodie This paper proposes a new approach to measure, analyze, and manage sovereign risk based on the theory and practice of modern contingent claims analysis CCA. The paper provides a new framework for adapting the CCA model to the sovereign balance sheet in a way that can help forecast credit spreads and evaluate the impact of market risks and risks transferred from other sectors.

This new framework is useful for assessing vulnerability, policy analysis, sovereign credit risk analysis, and design of sovereign risk mitigation and control strategies.

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Applications for investors in three areas are discussed. First, CCA provides a new framework for valuing, investing, and trading sovereign securities, including sovereign capital structure arbitrage. Second, it provides a new framework for analysis and management of sovereign wealth funds being created by many emerging market and resource rich countries. Third, the framework provides quantitative measures of sovereign risk exposures which facilitates the design of new instruments and contracts to control or transfer sovereign risk. Merton, and Zvi Bodie. Merton and Zvi Bodie Keywords: Jin, Li, Robert C.

Measurement and Metrics ; Compensation and Benefits ; Citation: Hancock, Peter, Roberto G. Mendoza, and Robert C.

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Risk and Uncertainty ; Citation: Harvard Business Review 83, no. Design ; Finance ; System ; Citation: Compensation and Benefits ; Problems and Challenges ; Citation: Harvard Business Review 82, no. Merton and Peter Hancock Keywords: Valuation ; Stock Options ; Citation: Merton, and Peter Hancock. Article Harvard China Review Foreword: Financial Instruments ; Reports ; Stocks ; Citation: Bodie, Zvi, Robert S. Kaplan, and Robert C.

Stock Options ; Finance ; Citation: Motivation and Incentives ; Employees ; Citation: Theory ; Practice ; Investment ; Management ; Citation: Reprinted in Harvard College Investment Magazine, spring Financial Instruments ; Profit ; Citation: Compensation and Benefits ; Citation: The Shift to Integration Robert C. Theory ; Finance ; Citation: Contracts ; Financial Institutions ; Citation: Merton and Myron Scholes Citation: Fair Value Accounting ; Denmark ; Citation: Merton, and Krishna G.

Past, Present and Future Robert C. Mathematical Methods ; Finance ; Citation: Reprinted in Financial Practice and Education , spring Merton and William Samuelson Keywords: Merton, and William Samuelson. Management ; Finance ; Citation: Finance ; System ; Economics ; Performance ; Citation: Theory ; Finance ; Insurance ; Citation: Reproduced as Chapter 14 in Continuous-Time Finance.

Capital Markets ; Citation: Behavior ; Stocks ; Markets ; Citation: Stocks ; Markets ; Price ; Citation: Risk and Uncertainty ; Investment ; Strategy ; Citation: Scholes, and Matthew L. An Exploratory Investigation Robert C.

Chester S. Spatt

Cost ; Insurance ; Banking Industry ; Citation: Chapter 20 in Continuous-Time Finance. Price ; Mathematical Methods ; Citation: Chapter 13 in Continuous-Time Finance. Price ; Stocks ; Citation: Price ; Stocks ; Assets ; Citation: Chapter 9 in Continuous-Time Finance. Chapter 17 in Continuous-Time Finance. Investment ; Decision Making ; Citation: Chapter 12 in Continuous-Time Finance. Investment ; Finance ; Citation: Competition ; Stocks ; Markets ; Citation: Capital ; Assets ; Citation: Chapter 15 in Continuous-Time Finance.

Theory ; Markets ; Citation: Theory ; Price ; Citation: Chapter 8 in Continuous-Time Finance. Governing Rules, Regulations, and Reforms ; Citation: Chapter I of Ph. Chapter III of Ph. Risk and Uncertainty ; Investment ; Citation: Chapter II of Ph. Is there any dependence between consumer credit line utilization and default probability on a term loan? Evidence from bank-customer data Journal of Empirical Finance, , Vol. Transparency in the Financial System: Canadian Journal of Economics, , Vol.

Trend in Cycle or Cycle in Trend? Prepayment Risk on Callable Bonds: The Payoff Distribution Model: Fund Performance and Subsequent Risk: Underwriting Apophenia and Cryptids: Are Cycles Statistical Figments of our Imagination? Journal of Financial Intermediation, , Vol. Journal of Economic Theory, , Vol. Theory and Practice, , Vol. Mathematics and Economics, , Vol. Currency Total Return Swaps: On Risk Management Determinants: European Journal of Finance, , Vol. Journal of Risk and Uncertainty, , Vol.

Are Underwriting Cycles Real and Forecastable? Journal of Risk and Insurance, , Vol. Is Corporate Governance Risk Valued?