ERES:conference

ERES:conference

ERES:conference

[abstract missing - contribution appeared in the programme]

We model a portfolio of real options with cost contingency and government subsidy at the operation stage. We demonstrate that the investment value is highly sensitive to cost and revenue uncertainties. Our numerical analysis suggests that the investment value of risky project is higher when net...

[abstract missing - contribution appeared in the programme]

We derive a model of lending under imperfect information for investments with embedded real and financial flexibility. Risk-shifting is shown to be not inherent in loan agreements. Under certain assumptions, there exists an optimal credit expansion policy that fulfils the dual objective of...

This study investigates the dependence structure of returns of different types of equity REIT. Copulas, which provide a tractable way of modelling non-linear dependency among random variables, are employed under financial time series framework. The model consists of two parts: the marginal part,...

We apply a set of structural models (Merton (1974), Black and Cox (1976), Longstaff and Schwartz (1995), Leland and Toft (1996), Ericsson and Reneby (1998) and Collin-Dufresne and Goldstein (2001)) to estimate expected default probabilities (EDPs) for a sample of failed and non-failed UK real...

We apply a set of structural models (Merton (1974), Black and Cox (1976), Longstaff and Schwartz (1995), Leland and Toft (1996), Ericsson and Reneby (1998) and Collin-Defresne and Goldstein (2001)) to estimate expected default probabilities (EDPs) for a sample of failed and non-failed UK real...