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I use Financial Economics theory to derive a measure of model risk with clear and actionable implications. The resulting “Model Risk Price” is based on the covariance between the payoffs associated with the model and the Stochastic Discount Factor, setting it fundamentally apart from the...
Persistent link: https://www.econbiz.de/10015214032
Stablecoins are a pivotal and debated topic within decentralized finance (DeFi), attracting significant interest from researchers, investors, and crypto-enthusiasts. These digital assets are designed to offer stability in the volatile cryptocurrency market, addressing key challenges in...
Persistent link: https://www.econbiz.de/10015214602
The popularity of cryptocurrency exchanges has surged in recent years, accompanied by the proliferation of new digital platforms and tokens. However, the issue of credit risk and the reliability of crypto exchanges remain critical, highlighting the need for indicators to assess the safety of...
Persistent link: https://www.econbiz.de/10015214856
In a simple firm value model we consider the impact of the insolvency probability on the valuation of equity and debt, which are assumed to be not publicly traded. For the case of a distressed company, which usually has high debt and low equity, we can show that the impact becomes increasingly...
Persistent link: https://www.econbiz.de/10015215610
In a simple firm value model we consider the impact of the insolvency probability on the valuation of equity and debt, which are assumed to be not publicly traded. For the case of a distressed company, which usually has high debt and low equity, we can show that the impact becomes increasingly...
Persistent link: https://www.econbiz.de/10015215635
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...
Persistent link: https://www.econbiz.de/10015216234
According to Arrow and Lind (1970), the more shareholders participate in an investment and the more dispersed the ownership structure becomes, the lower the discount rate of an individual investor is due to risk sharing. This implies that the valuation of the investment should increase....
Persistent link: https://www.econbiz.de/10015217303
. This study extends Jones, Mason & Rosenfeld (1983) and Eom, Helwege & Huang (2004) by using implicit estimation of key …
Persistent link: https://www.econbiz.de/10015225389
The paper studies the impact of different time-scales on the market risk of individual stock market returns and of a given portfolio in Paris Stock Market by applying the wavelet analysis. To investigate the scaling properties of stock market returns and the lead/lag relationship between them at...
Persistent link: https://www.econbiz.de/10015227592
applied to find the difference between actual and expected returns. Results show that capital asset pricing model (CAPM … that the investors should more focus on CAPM results for short term as compare to long term investments in KSE. …
Persistent link: https://www.econbiz.de/10015228040