Search Results for Merton

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This paper examines the association between the default risk of foreign bank subsidiaries in...

The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt...

We propose a model of the interbank money market with an explicit role for central bank...

Program implementation continued to be satisfactory despite a somewhat less favorable external...

A common specification about the behavior of foreign exchange spot and futures prices is that...

Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market...