The M&A transactions represent a wide range of unique business optimization opportunities in the corporate transformation deals, which are usually characterized by the high level of total risk. The M&A transactions can be successfully implemented by taking to an account the size of investments,...

The M&A transactions represent a wide range of unique business optimization opportunities in the corporate transformation deals, which are usually characterized by the high level of total risk. The M&A transactions can be successfully implemented by taking to an account the size of investments,...

A review of the general state-space modeling framework. The discussion focuses heavily on the three prediction problems of forecasting, filtering, and smoothing within the state- space context. Numerous examples are provided detailing special cases of the state-space model and its use in solving...

We re-examine the dynamics of returns and dividend growth within the present-value framework of stock prices. We find that the finite sample order of integration of returns is approximately equal to the order of integration of the first-differenced price-dividend ratio. As such, the traditional...

Systemic risk is a very important but very complex notion in banking and how to measure it adequately is challenging. We introduce a new framework for measuring systemic risk by using a risk-adjusted balance sheet approach. The measure models credit risk of banks as a put option on bank assets,...