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by hedging with financial derivatives. But the complementary relationship between risk-management decisions differs …
Persistent link: https://www.econbiz.de/10011099623
This paper studies the characteristics of the Italian nonfinancial firms using derivatives and the purpose of the … derivatives use according to the most important literature in financial risk management. By using the Italian credit register and … balance sheet data this study extends for the first time the derivatives analysis to small and medium firms. The paper finds …
Persistent link: https://www.econbiz.de/10011100366
We develop a dynamic multivariate default model for a portfolio of credit-risky assets in which default times are modelled as random variables with possibly different marginal distributions, and L�vy subordinators are used to model the dependence among default times. In particular, we...
Persistent link: https://www.econbiz.de/10011099644