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Article
Publication date: 1 February 2002

PATRICE PONCET and VICTOR E. VAUGIRARD

In this article, the authors develop an arbitrage approach to valuing insurance‐linked securities (ILS) for non‐catastrophic events within a framework of stochastic…

Abstract

In this article, the authors develop an arbitrage approach to valuing insurance‐linked securities (ILS) for non‐catastrophic events within a framework of stochastic interest rates. The prices of these transactions are driven by both an interest rate process and a non‐trivial actuarial risk process. The authors find that the duration of ILS is, in most cases, higher than the Macaulay duration of risk‐free bonds, which implies that the alleged relative out‐performance of ILS is illusory.

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The Journal of Risk Finance, vol. 3 no. 3
Type: Research Article
ISSN: 1526-5943

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Book part
Publication date: 1 December 2004

Victor Vaugirard

This paper sets up a model of strategic sovereign default, in which crony capitalism provides policymakers with incentives to service the debt beyond what is socially…

Abstract

This paper sets up a model of strategic sovereign default, in which crony capitalism provides policymakers with incentives to service the debt beyond what is socially optimal. It then considers reforms to deal with the supply side of clientelism: the private sector. This involves tackling agency problems between managers and corporate stakeholders, since a key element to constrain the ability of powerful economic interests to capture the state is good corporate governance. Economic hard times provide such an opportunity, as the implicit coalition between groups of cronies may break down. A model is built along those lines, which highlights international contagion of debt repudiation.

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Corporate Governance
Type: Book
ISBN: 978-0-76231-133-0

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Book part
Publication date: 4 April 2005

Victor Vaugirard

This paper studies banking crises in a framework where the government can be biased in favor of a “business elite.” When the deposit contract is such that the run on the…

Abstract

This paper studies banking crises in a framework where the government can be biased in favor of a “business elite.” When the deposit contract is such that the run on the bank takes place only if the economic system is in a recession, the presence of a “crony” government introduces an element of indeterminacy, i.e. equilibrium can be multiple. Moreover, by means of an information updating mechanism, it is shown that the crisis may spread out to countries “similar” to the one that is examined, i.e. that contagion is possible.

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Latin American Financial Markets: Developments in Financial Innovations
Type: Book
ISBN: 978-1-84950-315-0

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Book part
Publication date: 1 December 2004

Abstract

Details

Corporate Governance
Type: Book
ISBN: 978-0-76231-133-0

To view the access options for this content please click here
Book part
Publication date: 1 December 2004

Abstract

Details

Corporate Governance
Type: Book
ISBN: 978-0-76231-133-0

To view the access options for this content please click here
Book part
Publication date: 4 April 2005

Abstract

Details

Latin American Financial Markets: Developments in Financial Innovations
Type: Book
ISBN: 978-1-84950-315-0

To view the access options for this content please click here
Book part
Publication date: 4 April 2005

Abstract

Details

Latin American Financial Markets: Developments in Financial Innovations
Type: Book
ISBN: 978-1-84950-315-0

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Book part
Publication date: 4 April 2005

Harvey Arbeláez and Reid William Click

This book is an attempt to reflect on what we have learned from financial policies and financial crises in Latin America. The 21 chapters in this volume capture the…

Abstract

This book is an attempt to reflect on what we have learned from financial policies and financial crises in Latin America. The 21 chapters in this volume capture the developments in various ways. They cover theoretical contributions, regional empirical studies, and specific inquiries on Argentina, Brazil, Chile, Colombia, Cuba, Ecuador, Mexico, Peru and Venezuela. The breadth of methodologies implemented suggests that researchers are looking at Latin American financial markets through a variety of lenses. The chapters are divided into 7 parts, including, in Part I, an initial overview. Part II examines the foreign exchange markets in Latin America and their interactions with other markets. Part III discusses dollarization issues in the region. Part IV then takes up the issue of banking in Latin America. Equity and bond markets are considered in Parts V and VI, respectively. Lastly, Part VII considers pension systems in Latin America. Taken as a whole, the 21 chapters seize the excitement of studying Latin America and provide lessons that are applicable around the world.

Details

Latin American Financial Markets: Developments in Financial Innovations
Type: Book
ISBN: 978-1-84950-315-0

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