The valuation model for a risky asset when its risky factors follow gamma distributions
Year of publication: |
September 2016
|
---|---|
Authors: | Tsai, Ming-shann ; Chiang, Shu Ling |
Published in: |
International review of finance. - Richmond, Victoria : Wiley Publishing Asia, ISSN 1369-412X, ZDB-ID 2010708-0. - Vol. 16.2016, 3, p. 421-444
|
Subject: | Kapitalmarktrendite | Capital market returns | Risiko | Risk | Statistische Verteilung | Statistical distribution | Taiwan | 2005-2011 |
-
Nonparametric tail risk, stock returns and the macroeconomy
Almeida, Caio, (2016)
-
Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo, (2016)
-
Verteilungsmodelle und Risikomaße für Minimalrenditen
Mihai, Mihnea-Stefan, (2005)
- More ...
-
Determining an optimal principal limit factor for reverse mortgages under economics-based models
Chiang, Shu Ling, (2021)
-
The valuation of deposit insurance premiums based on a specific bank's official default probability
Chiang, Shu Ling, (2019)
-
The valuation of deposit insurance allowing for the interest rate spread and early-bankruptcy risk
Chiang, Shu Ling, (2020)
- More ...