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Within the structural approach for credit risk models we discuss the optimal exercise of the callable and convertible bonds. The Vasiček-model is applied to incorporate interest rate risk into the firm’s value process which follows a geometric Brownian motion. Finally, we derive pricing...
Persistent link: https://www.econbiz.de/10010270423
Within a default intensity approach we discuss the optimal exercise of the callable and convertible bonds. Pricing bounds for convertible bonds are derived in an uncertain volatility model, i.e. when the volatility of the stock price process lies between two extreme values.
Persistent link: https://www.econbiz.de/10010270426
extreme market-wide events and the supply of CBs on performance. Out-of-sample tests provide corroborative evidence on our … active in shorting stocks to hedge their exposure than smaller funds. They are also more vulnerable to supply shocks in the … market. However, the friction involved in adjusting the stock of risk capital managed by a large fund can negatively impact …
Persistent link: https://www.econbiz.de/10010303833
The paper shows how aggregate AS-AD can be derived within the standard neoclassical dynamic setting known as the Ramsey-Cass- Koopmans (RCK) model. AS-AD is the stationary equilibrium of the deterministic dynamic general equilibrium framework. The derivation builds a permanent income type...
Persistent link: https://www.econbiz.de/10010494535
Persistent link: https://www.econbiz.de/10011695835
the consequence of the occurrence of credit rationing on farmer's capital accumulation, investment and supply. The method … discount rate. Finally, if the uncertainty is introduced, then the level of investment spending and capital accumulation is … landwirtschaftliche Angebot untersucht. Die Modelle werden mit Hilfe der Kontrolltheorie gelöst. Die Ergebnisse zeigen, dass die …
Persistent link: https://www.econbiz.de/10010299356
This paper is about “Capital in the Twenty-first Century” by Thomas Piketty. It identifies his central macroeconomic …
Persistent link: https://www.econbiz.de/10010352018
Differences in wages, employment, and capital between worker-owned and capitalist enterprises are computed from a …, employment, and capital equations largely corroborate the implications of the behavioral models of the two types of enterprise …
Persistent link: https://www.econbiz.de/10010276248
The elasticity of factor substitution between capital and labor is a crucial parameter in many economic fields. However … and 2016, this paper provides the first meta-regression analysis of capital-labor substitution elasticities for the U …
Persistent link: https://www.econbiz.de/10011539569
The paper analyzes the risk disclosure quality in the prospectus of IPOs in Germany between 2006 and 2008. Quality of risk information is measured as precision and comprehensibility. The relationship between risk disclosure quality and earnings power is tested.
Persistent link: https://www.econbiz.de/10010300003