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Gobert, Karine - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper examines the impact of capital structure on the optimality of contingent financial contracts. The role of financial relationships is not only to provide funds but also to offer insurance to a risk adverse entrepreneur through contingent financial transfers. Since such financial...

Persistent link: https://www.econbiz.de/10005100650

Testing and Comparing Value-at-Risk Measures

Christoffersen, Peter; Hahn, Jinyong; Inoue, Atsushi - Centre Interuniversitaire de Recherche en Analyse des … - 2001

volatility measures, and the VaRs are tested and compared. La valeur exposée au risque (value at risk - VaR) est devenue un outil …

Persistent link: https://www.econbiz.de/10005100810

Microeconometric Evidence of Financing Frictions and Innovative Activity

Tiwari, Amaresh K.; Mohnen, Pierre; Palm, Franz; Loeff, … - Centre Interuniversitaire de Recherche en Analyse des … - 2012

Using a unique panel data of Dutch innovation and financial variables we empirically investigate how financing and innovation vary across firm characteristics. The study also tries to gauge the extent of market failure due to the presence of financing frictions. Our main findings can be...

Persistent link: https://www.econbiz.de/10011183757

Bankruptcy Cost, Financial Structure and Technological Flexibility Choices

Boyer, Marcel; Jacques, Armel; Moreaux, Michel - Centre Interuniversitaire de Recherche en Analyse des … - 2001

We study the interactions between the capital structure and the technological flexibility choices of firms in a duopoly. When there are bankruptcy costs, a leveraged firm may modify its strategic choices in order to decrease its probability of bankruptcy. We show that, when the capacity level of...

Persistent link: https://www.econbiz.de/10005100547

L'évolution des structures financières des grandes entreprises canadiennes

L'Her, Jean-François; Suret, Jean-Marc - Centre Interuniversitaire de Recherche en Analyse des … - 1997

This study deals with the evolution of the financing of large Canadian companies from 1960 to 1994. Part I shows that there hass been no significant increase in total corporate debt in Canada, as there has been in the U.S. Total indebtness increased between 1960 and 1982 and then declined; by...

Persistent link: https://www.econbiz.de/10005101075

Fair Value Accounting: Information or Confusion for Financial Markets?

Menini, Andrea; Magnan, Michel; Parbonetti, Antonio - Centre Interuniversitaire de Recherche en Analyse des … - 2011

The recent financial crisis has led to a critical evaluation of the role that fair value accounting may have played in undermining the stability of the financial system. Reacting to the pressures of banking regulators and governments, standard-setters have brought forward additional guidance on...

Persistent link: https://www.econbiz.de/10009283841

The Market for Reinsurance

Boyer, M. Martin; Dupont-Courtade, Théodora - Centre Interuniversitaire de Recherche en Analyse des … - 2013

Using a unique proprietary dataset of primary insurers and reinsurers, we analyze the structure of the reinsurance market. The dataset, which spans six years, contains the quotes for different reinsurance layers, for different clients, for different treaties, and for different lines of business....

Persistent link: https://www.econbiz.de/10011183726

Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management

Boyer, Marcel; Boyer, M. Martin; Garcia, René - Centre Interuniversitaire de Recherche en Analyse des … - 2011

We characterize a firm as a nexus of activities and projects with their associated cash flow distributions across states of the world and time periods. We propose a characterization of the firm where variations in the market price of risk induce adjustments in the value-maximizing combination of...

Persistent link: https://www.econbiz.de/10009643789

Stochastic Volatility: Univariate and Multivariate Extensions

Jacquier, Éric; Polson, Nicholas G.; Rossi, Peter E. - Centre Interuniversitaire de Recherche en Analyse des … - 1999

Stochastic volatility models, aka SVOL, are more difficult to estimate than standard time-varying volatility models … volatility forecasts especially around crucial periods of high volatility. We extend the basic SVOL needs to allow for the … model diagnostics, such as the identification of outliers for stochastic volatility models or the assessment of the …

Persistent link: https://www.econbiz.de/10005100719

The Value of Real and Financial Risk Management

Boyer, Marcel; Boyer, M. Martin; Garcia, René - Centre Interuniversitaire de Recherche en Analyse des … - 2005

We characterize a firm as a nexus of activities and projects with their associated cashflows. Production and operations activities and real risk management activities distribute cashflows over states of nature and time periods, leading to a transformation possibility frontier similar to a...

Persistent link: https://www.econbiz.de/10005100941