Journal of Risk Finance: Volume 16 Issue 4

Are credit rating agency analysts valuable?

Rahmi Erdem Aktug, Nandu (Nandkumar) Nayar, Jesus M Salas

This paper aims to determine the equity and debt market reactions of firms to the news of their hiring a credit rating agency (CRA) analyst. Due to recent controversies related to…

What drives tail risk in aggregate European equity markets?

Harald Kinateder

– The paper aims to analyse the drivers of changes in European equity tail risk.

Securitization of disability risk via bonds and swaps

Alexander Hendrik Maegebier

– Two strands of the literature are combined, namely the modeling of disability insurance and the design, valuation and discussion of insurance-linked securities.

Regulation of uncovered sovereign credit default swaps – evidence from the European Union

Florian Kiesel, Felix Lücke, Dirk Schiereck

This study aims to analyze the impact and effectiveness of the regulation on the European sovereign Credit Default Swap (CDS) market. The European sovereign debt crisis has drawn…

Issuers’ credit risk and pricing of warrants in the recent financial crisis

Andrea Schertler, Saskia Stoerch

The purpose of this paper is to investigate whether factor sensitivities of margins of bank-issued warrants depend on issuers’ credit risk during the period of economic turmoil…

The dynamics of risk premium: the case of the Taiwan real estate market

Vijay Kumar Vishwakarma

This paper aims to examine the risk premium for investors in a changing information environment in the Taiwan, New York and London real estate markets from March 2006 to November…