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Persistent link: https://www.econbiz.de/10005118996
logit model and half as big as that arising from a model assuming a lognormal distribution for the VTTS. Such findings …
Persistent link: https://www.econbiz.de/10005119038
good approximate of the standard normal one is 500. …
Persistent link: https://www.econbiz.de/10005408278
This paper presents an analytical model of underwriting capacity and insurance market equilibrium under an asymmetric corporate tax schedule. It is shown that reinsurance markets enable risk-neutral insurers to allocate tax shields to those firms that have the greatest capacity for utilizing...
Persistent link: https://www.econbiz.de/10005413066
Die vorliegende Arbeit stellt einen Beitrag zur Bewertung von Mitarbeiterrisiken in Unternehmen dar. Es werden Ursachen determiniert, die einen Mitarbeiterausfall zur Folge haben. Diese werden auf ihre Eintrittswahrscheinlichkeit sowie möglicher Schäden hin untersucht. Darauf aufbauend wird...
Persistent link: https://www.econbiz.de/10005118593
Value-at-Risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given time period due to adverse market conditions with a particular level of confidence. Value-at-Risk has received considerable attention from financial economists and financial practitioners...
Persistent link: https://www.econbiz.de/10005076967
Liberalization of Singapore's financial sector causes its fund management industry to expand rapidly. As of December 1, 1998 there were 191 unit trusts to choose from. Eventually, Singapore, like the USA and Hong Kong, will have more unit trusts than stocks listed on its exchange. Many...
Persistent link: https://www.econbiz.de/10005076989
be set on open overnight positions in foreign currencies. Usually, these limits are determined by using a normal …
Persistent link: https://www.econbiz.de/10005126103
This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to confine our analysis on four indices which are the...
Persistent link: https://www.econbiz.de/10005134650
Many interest rates are as volatile as exchange rates and thus represent an equally important source of risk for corporations. While this is true not only for financial institutions, but for other corporations as well, little is known about the interest rate exposure of nonfinancial firms....
Persistent link: https://www.econbiz.de/10005134675