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Les taux d?intérêts des banques luxembourgeoises : une étude sur bases agrégée et individuelle
Wicky, Yann - Central Bank of Luxembourg - 2008
La littérature économique récente a contribué à une meilleure connaissance des mécanismes de transmission de la politique monétaire aux taux des banques. Un certain nombre de ces études a permis de montrer que le niveau des taux d?intérêt, tout autant que le degré et la vitesse de...
Persistent link: https://www.econbiz.de/10009276962
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Risque juridique et rôle des banques dans le gouvernement des entreprises
Vilanova, Laurent - In: Revue Finance Contrôle Stratégie 5 (2002) 4, pp. 137-175
doctrine, whose prime goal is to protect investors against opportunism by banks, limits the involvement of banks in the …
Persistent link: https://www.econbiz.de/10005111190
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Efficacité et productivité des banques de la zone UEMOA dans un contexte de réformes financières. Une application de la méthode DEA (Banks efficiency and productivity in the WAEMU...
DANNON, Hodonou - Laboratoire de Recherche sur l'Industrie et … - 2009
to measure the effects of financial reforms in banks productivity and efficiency in the WAEMU area during the 1996 …-2006 period, and secondly, to draw the mains managerial determinants of banks efficiency. The productivity and efficiency scores … did not permit to banks to increase their technical efficiency. Thirdly, small banks make more efforts to reduce their …
Persistent link: https://www.econbiz.de/10005036069
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Enterprise Adjustment and the Role of Bank Credit in Russia: Evidence from a 420 Firm's Qualitative Survey
Brana, Sophie; Maurel, Mathilde; Sgard, Jérôme - Centre d'études prospectives et d'informations … - 1999
Persistent link: https://www.econbiz.de/10005607356
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Evaluation of SMEs solvency risk by a double approach : an application of the Logit model and the CreditRisk+ model
Levy, Aldo; Baha, Riad; Bouzar, Safia - In: Revue Gestion 2000 : management & prospective 38 (2021) 1, pp. 51-70
Persistent link: https://www.econbiz.de/10012598271
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What's beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - 2013
We introduce a tractable class of non-affine price processes with multifrequency stochastic volatility and jumps. The specifi cations require few fixed parameters and deliver fast option pricing. One key ingredient is a tight link between jumps and volatility regimes, as asset pricing theory...
Persistent link: https://www.econbiz.de/10010505458
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Modelisation des Marches avec Defauts de Paiements et Evaluation des Credits Defaults Swaps (Credit Default Swap Pricing in Default-prone Markets)
Seror, Jonathan - 2020
French Abstract: Les Credit Default Swaps (CDS) sont de plus en plus populaires pour la protection contre les défauts …English Abstract: Credit Default Swaps (CDS) are as of the time of writing, increasingly popular for default protection … brutally changes the assets value (Greece), thus presenting a real modelling challenge in risk management …
Persistent link: https://www.econbiz.de/10012831561
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The Wishart Autoregressive Process of Multivariate Stochastic Volatility
Jasiak, Joan; Sufana, R.; Gourieroux, C. - Department of Economics, York University - 2005
The Wishart Autoregressive (WAR) process is a multivariate process of stochastic positive definite matrices. The WAR is proposed in this paper as a dynamic model for stochastic volatility matrices. It yields simple nonlinear forecasts at any horizon and has factor representation, which separates...
Persistent link: https://www.econbiz.de/10005357414
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La volatilité des prix du pétrole.
Chevalier, Jean-Marie - Université Paris-Dauphine
Le rapport fait le point sur les interactions entre la volatilité des prix du pétrole et les stratégies des acteurs financiers. Il présente également les réflexions et actions en cours au niveau international pour améliorer le fonctionnement des marchés pétroliers. Et au final, il...
Persistent link: https://www.econbiz.de/10009364872
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An Examination of the Effects of Parameter Misspecification
Dudenhausen, Antje; Schlögl, Lutz - University of Bonn, Germany - 2002
It is well-known that Gaussian hedging strategies are robust in the sense that they always lead to a cost process of bounded variation and that a superhedge is possible if upper bounds on the volatility of the relevant processes are available, cf. El Karoui, Jeanblanc-Picque and Shreve (1998)...
Persistent link: https://www.econbiz.de/10004968401