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Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox
Sukhomlin, Nikolay; Santana Jiménez, Lisette Josefina - In: Revista de métodos cuantitativos para la economía y … 10 (2010), pp. 73-98
The main result of this paper consists in the resolution of the inverse problem for the Black-Cox (1976) model, using the method proposed by Sukhomlin (2007). Based on the backward approach, we obtain an exact expression of the implied volatility expressed as a function of quantifiable market...
Persistent link: https://www.econbiz.de/10009957380
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A region’s basic image as a measure of its attractiveness
Angelis, Vasilis; Dimaki, Katerina - In: International journal of economic sciences and applied … 4 (2011) 2, pp. 7-33
The growth or decline of a region depends on its power to pull and retain both business and the right blend of people to run them. This pulling power depends on what we call the "Image" of the region, a variable which expresses the region's present state of development and future prospects and...
Persistent link: https://www.econbiz.de/10009958078
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Constructing enterprise input-output tables : a case study of New Zealand dairy products
Lenzen, Manfred; Lundie, Sven - In: Journal of economic structures : JES; the official … 1 (2012), pp. 1-15
We describe an efficient method for estimating enterprise input-output tables for cases when only information on marginal totals is available. In order to estimate the production structure of enterprises, we utilize engineering knowledge to construct a qualitative prior containing 1 wherever an...
Persistent link: https://www.econbiz.de/10010081824
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Medición del riesgo de renta variable mediante modelos internos en Solvencia II
Durán Sontomil, Pablo; Otero González, Luis A.; … - In: Investigaciones europeas de Dirección y Economía de … 18 (2012) 1, pp. 53-68
This work focuses on developing an internal model for equity risk under Solvency II. We have used monthly data for the series of Ibex 35, Cac 40, FTSE 100 and Dax in the period between January 1992 and December 2008. This work fits by maximum likelihood method the model of normal returns, based...
Persistent link: https://www.econbiz.de/10009958357
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The use of capital market instruments in investment of European insurance companies
Wolski, Rafał - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 4, pp. 92-99
The financial and the insurance markets are increasingly penetrating each other, accounting for the fact that insurers are more and more often seen as major institutional investors of capital markets. The capital market offers a range of new opportunities, although it is not devoid of faults,...
Persistent link: https://www.econbiz.de/10009959726
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Preferences and the level of satisfaction from the provision of insurance services in activity of the LGUs on a municipal level in Podkarpackie voivodship
Skica, Tomasz; Rodzinka, Jacek - In: E-Finanse : finansowy kwartalnik internetowy 8 (2012) 3, pp. 76-84
The article is based on the results of author’s study survey conducted on a representative sample of municipalities of Podkarpackie voivodship. Based on the results of research, the article will present both the current state of insurance in local government units (LGUs) of the municipal...
Persistent link: https://www.econbiz.de/10010078126
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Repositioning insurance industry for operational efficiency : the Nigerian case
Ujunwa, Augustine; Modebe, Nwanneka Judith - In: Journal of applied finance & banking 1 (2011) 3, pp. 15-32
This paper reviews the operational efficiency of the Nigeria insurance industry from a historical perspective. Our paper traced the origin of insurance in Nigeria to 1918, when marine insurance was dominant in the economy. The paper shows that despite the long history of insurance industry in...
Persistent link: https://www.econbiz.de/10010009090
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On the systemic relevance of the insurance industry : is a macroprudential insurance regulation necessary?
Bach, Wolfgang; Nguyen, Tristan - In: Journal of applied finance & banking 2 (2012) 1, pp. 127-149
based on the normative theory of regulation. First, the paper elaborates some basic foundations, such as the … the requirements are fulfilled for a normative theory-compliant macroprudential regulatory foundation. Contrary to the … identifies the fundamental ingredients needed for a theory-based justification of a macroprudential insurance regulation. The …
Persistent link: https://www.econbiz.de/10010009108
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Insurance and the corporate cost of capital
Wieczorek-Kosmala, Monika - In: E-Finanse : finansowy kwartalnik internetowy 8 (2012) 1, pp. 61-71
The purpose of the paper is to provide some support to the thesis that insurance may reduce the cost of capital in a company by influencing both the cost of capital components and the need for rising capital. The problem is here perceived from two perspectives the classical concept related to...
Persistent link: https://www.econbiz.de/10010009381
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EU single financial market : porspects of changes
Mikita, Malgorzata - In: E-Finanse : finansowy kwartalnik internetowy 8 (2012) 1, pp. 53-60
The purpose of the paper is to provide some support to the thesis that insurance may reduce the cost of capital in a company by influencing both the cost of capital components and the need for rising capital. The problem is here perceived from two perspectives the classical concept related to...
Persistent link: https://www.econbiz.de/10010009382