Showing 1 - 10 of 23
the stochastic correlation. Thanks to its flexibility, this model enables a better fit of market data than the Heston …
Persistent link: https://www.econbiz.de/10008793719
We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset returns in a multi-asset setting. Our results enable to quantify the impact of fire sales on the covariance structure of asset returns and provide a quantitative explanation for...
Persistent link: https://www.econbiz.de/10010548433
small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation …
Persistent link: https://www.econbiz.de/10010618170
The one-year prediction error (one-year MSEP) proposed by Merz and Wüthrich has become a market-standard approach for the assessment of reserve volatilities for Solvency II purposes. However, this approach is declined in a univariate framework. Moreover, Braun proposed a closed-formed...
Persistent link: https://www.econbiz.de/10010899719
the issue of infrastructure funding. For instance the financial profitability is more important than the socio …
Persistent link: https://www.econbiz.de/10008790453
L'objectif de cet article est de montrer les limites des principaux indicateurs de performance des banques et de proposer une approche en terme de rendement et de risque calculés pour chaque banque à partir de plusieurs facteurs de risque.
Persistent link: https://www.econbiz.de/10008790623
the extent of such chartering practices, the characteristics of vessels chartered and if an impact on liner profitability … whether the chartering rate and the size of these 17 liner companies have had an influence on their observed profitability in … 2007, 2008 and 2009. Our results suggest that those variables impact profitability, but in variable ways over time. …
Persistent link: https://www.econbiz.de/10010593615
L'objectif de cet article est d'analyser l'impact de la structure du capital sur la profitabilité. Cet impact peut être expliqué par trois théories essentielles: la théorie du signal, l'influence de la fiscalité et la théorie de l'agence. Nous montrons, à partir d'un échantillon de 9136...
Persistent link: https://www.econbiz.de/10010618158
The objective of this article is to analyze the impact of capital structure on profitability. This impact can be … structure on profitability. The empirical analysis allowed us to distinguish three different groups of sectors: for the first … group (industry, energy and service), the capital structure has no impact on profitability. The second group, containing …
Persistent link: https://www.econbiz.de/10010821251
Current study aims to provide new empirical evidence on the impact of debt on corporate profitability. This impact can … (GMM) econometric technique on three measures of profitability ratio (PROF1, PROF2 and ROA), we show that debt ratio has no … effect on corporate profitability, regardless of the size of company (VSEs, SMEs or LEs). …
Persistent link: https://www.econbiz.de/10010821293