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The high cost of capital for firms conducting medical research and development (R&D) has been partly attributed to the government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be compensated for it. We analyze new and simple financial...
Persistent link: https://www.econbiz.de/10012957388
derivative usage is most common, followed closely by interest rate derivatives, with commodity derivatives a distant third. In …This paper is a comparative study of the responses to the 1995 Wharton School survey of derivative usage among US non … both size and industry composition. We find that German firms are more likely to use derivatives than US firms, with 78% of …
Persistent link: https://www.econbiz.de/10012788332
beginnings of real estate derivative markets is the advance in home price index construction methods, notably the repeat sales …
Persistent link: https://www.econbiz.de/10012759360
, the hedging activity that requires a variance determined hedge ratio is an important component of the success of a …
Persistent link: https://www.econbiz.de/10013138666
Among the numerous familiar sets of specific assumptions sufficient to derive mean-variance portfolio behavior from more general expected utility maximization in continuous time, the assumptions of constant relative risk aversion and joint normally distributed asset return assessments are also...
Persistent link: https://www.econbiz.de/10012774846
lower bounds on the reservation purchase price of these derivatives are derived in the presence of proportional transaction …
Persistent link: https://www.econbiz.de/10012763033
particularly acute for markets where traders rely heavily on a specific empirical model such as in derivative markets. Asset … intermediary makes a market for a propriety derivative security. The market-maker chooses bid and ask prices for the derivative …
Persistent link: https://www.econbiz.de/10012763071
In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects are taken into consideration the notion of debt sustainability is...
Persistent link: https://www.econbiz.de/10012754612
market countries (Brazil, Russia, India and China), adding constraints that reflect a central bank%u2019s desire to hold a …
Persistent link: https://www.econbiz.de/10012761272
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating...
Persistent link: https://www.econbiz.de/10013106309