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We want to assess the relationship between the equity and the debt cost of capital. Using a verysimple dividend discount model we compute the implied discount rate and we compare it with thecorresponding premium on the corporate credit default swap using a cointegration approach. Wedemonstrated...
Persistent link: https://www.econbiz.de/10009486976
We provide a new method to derive the state price density per unit probabilitybased on option prices and GARCH model. We derive the risk neutraldistribution using the result in Breeden and Litzenberger (1978) and thehistorical density adapting the GARCH model of Barone-Adesi, Engle, andMancini...
Persistent link: https://www.econbiz.de/10009522186
The persistence of financial instability calls into question the adequacy of the current regulatory regime. Acritical review of the three pillars at the core of current financial regulation exposes some structural flaws.[...]
Persistent link: https://www.econbiz.de/10005868715