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Default compensator, incomplete information, and the term structure of credit spreads
Giesecke, Kay - 2001
We provide a framework for the analysis of term structures of credit spreads on corporate bonds in the presence of informational asymmetries. While bond investors observe default incidents, we suppose that they have incomplete information on the firm's assets and/or the threshold asset level at...
Persistent link: https://www.econbiz.de/10009620780
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Correlated default with incomplete information
Giesecke, Kay - 2001
We propose a model of correlated multi-firm default with incomplete information. While public bond investors observe issuers' assets and defaults, we suppose that they are not informed about the threshold asset level at which a firm is liquidated. Bond investors form instead a prior on these...
Persistent link: https://www.econbiz.de/10009621426
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An experimental study of the repeated trust game with incomplete information
Anderhub, Vital; Güth, Werner; Engelmann, Dirk - 1999
In the trust game first player 1 decides between non-cooperation or trust in reciprocity and then, in the latter case, player 2 between exploiting player 1 or rewarding him. In our experiment, player 2 can be a notorically rewarding player (this type is implemented as a robot strategy) or a...
Persistent link: https://www.econbiz.de/10009582410
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Sticky information vs. sticky prices : a horse race in a DSGE framework
Trabandt, Mathias (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001916974
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Low-probability insurance decisions : the role of concern
Schade, Christian D.; Kunreuther, Howard; Kaas, Klaus Peter - 2002
On the basis of a real high stakes insurance experiment with small probabilities of losses, we demonstrate that concern … is a more important driver of WTP for insurance than subjective probability estimates when there is ambiguity surrounding … probability insurance "puzzle" well known from the literature, where a part of individuals pays too much and a part nothing for …
Persistent link: https://www.econbiz.de/10009621421
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Quantile hedging
Föllmer, Hans; Leukert, Peter - 1998
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...
Persistent link: https://www.econbiz.de/10009574876
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On model based seasonal adjustment procedures
Breitung, Jörg - 1998
In this note the unobserved component approach underlying the software package SEATS is compared with the Beveridge-Nelson type of decomposition for seasonal time series. The main strength of the SEATS approach lies in the appealing model formulation and the careful specification and adjustment...
Persistent link: https://www.econbiz.de/10009574877
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The monetary model of the exchange rate : a structural interpretation
Moersch, Mathias; Nautz, Dieter - 1998
We emphasize the importance of properly identifying the long-run relations underlying the monetary model of the exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows an interpretation of the various channels affecting the...
Persistent link: https://www.econbiz.de/10009574885
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Sequential versus independent commitment : an indirect evolutionary analysis of bargaining rules
Güth, Werner - 1998 - Rev.
Rational bargaining behavior depends crucially on the rules of bargaining, especially on whether parties decide sequentially or independently. Whereas in ultimatum bargaining the proposer can exploit the responder, independent commitments result in more balanced payoffs. To limit the scope of...
Persistent link: https://www.econbiz.de/10009574886
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Smooth discrimination analysis
Mammen, Enno; Cybakov, Aleksandr B. - 1998
Discriminant analysis for two data sets in IRd with probability densities f and g can be based on the estimation of the set G = {x : f(x) ≥ g(x)}. We consider applications where it is appropriate to assume that the region G has a smooth boundary. In particular, this assumption makes sense if...
Persistent link: https://www.econbiz.de/10009574887