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Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation
Hayette, Gatfaoui - EconWPA - 2004
We extend the credit risk valuation framework introduced by Gatfaoui (2003) to stochastic volatility models. We state a general setting for valuing risky debt in the light of systematic risk and idiosyncratic risk, which are known to affect each risky asset in the financial market. The option...
Persistent link: https://www.econbiz.de/10005134708
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Risk Disaggregation And Credit Risk Valuation In The Merton Like Way
Gatfaoui, Hayette - EconWPA - 2003
Recent literature focuses on the systematic and specific components of credit risk (Dichev [1998], Wilson [1998], Jarrow, Lando & Yu [2001]). It is currently assumed, at least implicitly, that financial data are all subject to one latent systematic factor (Jarrow, Lando & Yu [2001], Lucas,...
Persistent link: https://www.econbiz.de/10005413215
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Financial Market Imperfections and Investment: an Overview
Calmès, Christian - EconWPA - 2004
The paper examines the interpretation of firms' investment-cash flow sensitivity as an artifact of financial market imperfection. Two alternative explanations of the financial constraints are compared. One is based on informational problems (asymmetric information). The other focuses on limited...
Persistent link: https://www.econbiz.de/10005077038
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The Valuation of Corporate Debt with Default Risk
Naqvi, Hassan - EconWPA - 2004
This article values equity and corporate debt by taking into account the fact that in practice the default point differs from the liquidation point and that it might be in the creditors' interest to delay liquidation. The article develops a continuous time asset pricing model of debt...
Persistent link: https://www.econbiz.de/10005134655
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Central counterparty clearing: constructing a framework for evaluation of risks and benefits
Ripatti, Kirsi - EconWPA - 2005
A Central Counterparty (CCP) is an entity that interposes itself between transacting counterparties – a seller vis-à-vis the original buyer and a buyer vis-àvis the original seller – to quarantee execution of the transaction. Thus, the original transacting parties substitute their...
Persistent link: https://www.econbiz.de/10005134670
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Die Fortbestehensprognose - Rechtliche Anforderungen und deren betriebswirtschaftliche Grundlagen
Gross, Paul J.; Amen, Matthias - EconWPA - 2003
Die Prognose, ob ein Unternehmen fortbestehen wird oder nicht, hat weitreichende Konsequenzen für Eigentümer, Gläubiger und Arbeitnehmer der Gesellschaft. In Abhängigkeit von dem Prognoseergebnis sind das Vermögen und die Schulden in der Bilanz und in einem etwaigen Überschuldungsstatus...
Persistent link: https://www.econbiz.de/10005134691
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Verbesserung der Vergleichbarkeit von Schätzgüteergebnissen von Insolvenzprognosestudien (German version of 'Improving the comparability of insolvency predictions')
Bemmann, Martin - EconWPA - 2005
This working paper aims at improving the comparability of forecast quality measures of insolvency prediction studies. For this purpose, in a first step commonly used accuracy measures for categorial, ordinal and cardinal insolvency predictions are presented. It will be argued, that ordinal...
Persistent link: https://www.econbiz.de/10005134720
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Long Memory Options: LM Evidence and Simulations
Jamdee, Sutthisit; Los, Cornelis A. - EconWPA - 2005
to incorporate the various degrees of persistence into the Black-Scholes pricing formula. Long memory options are of … considerable importance in corporate remuneration packages, since stock options are written on a company's own shares for long … valuation of such stock options, the degrees of persistence of the companies' share markets must be precisely measured and …
Persistent link: https://www.econbiz.de/10005134830
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Bayesian Methods for Improving Credit Scoring Models
Posch Peter N.; Gunter, Loeffler; Christiane, Schoene - EconWPA - 2005
We propose a Bayesian methodology that enables banks to improve their credit scoring models by imposing prior information. As prior information, we use coefficients from credit scoring models estimated on other data sets. Through simulations, we explore the default prediction power of three...
Persistent link: https://www.econbiz.de/10005134954
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MODIS: A Market-Oriented Deposit Insurance Scheme
Vaez-Zadeh, Reza; Xie, Danyang; Zoli, Edda - EconWPA - 2002
This paper argues that an optimal deposit insurance scheme would allow the level of insurance coverage to be determined by the market. Based on this principle, the paper proposes an insurance scheme that minimizes distortions and embodies fairness and credibility, two essential characteristics...
Persistent link: https://www.econbiz.de/10005413124