References of "Finance"
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See detailHedge Fund Market Risk Exposures: A Survey
Lambert, Marie ULg

in Finance (2012), 33(1), 39-78

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See detailA Structural Balance Sheet Model of Sovereign Credit Risk
François, Pascal; Hübner, Georges ULg; Sibille, Jean-Roch

in Finance (2011), 1(2), 293-321

This paper studies sovereign credit spreads using a contingent claims model and a balance sheet representation of the sovereign economy. Analytical formulae for domestic and external debt values as well ... [more ▼]

This paper studies sovereign credit spreads using a contingent claims model and a balance sheet representation of the sovereign economy. Analytical formulae for domestic and external debt values as well as for the financial guarantee are derived in a framework where recovery rate is endogenously determined as the solution of a strategic bargaining game. The approach allows to relate sovereign credit spreads to observable macroeconomic factors, and in particular accounts for contagion effects through the corporate and banking sectors. Pricing performance as well as predictions about credit spread determinants are successfully tested on the Brazilian economy. [less ▲]

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See detailInternal Capital Market Efficiency of Belgian Holding Companies
Gautier, Axel ULg; Hamadi, Malika

in Finance (2005), 26(2), 11-34

In this paper, we raise the following two questions. (1) Do Belgian holding companies operate an internal capital market to transfer financial resources amongst their subsidiaries? And if yes, (2) is the ... [more ▼]

In this paper, we raise the following two questions. (1) Do Belgian holding companies operate an internal capital market to transfer financial resources amongst their subsidiaries? And if yes, (2) is the internal capital market efficient? To answer the first question, we check if group cash flow is a determinant of the group members investment spending. The answer is positive if the holding company’s subsidiary is affiliated to a coordination center and negative otherwise. To answer the second question, we evaluate if internal transfers are driven by efficiency. From our estimations, we cannot conclude that Belgian Holding companies have an efficient internal capital market. [less ▲]

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