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varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production. The analysis demonstrates that … risk shocks to the housing production sector are a quantitatively important impulse mechanism for the business cycle. Also … countercyclical behavior of risk premia on loans to the housing sector …
Persistent link: https://www.econbiz.de/10013142481
varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production. The analysis demonstrates that … risk shocks to the housing production sector are a quantitatively important impulse mechanism for the business cycle. Also … countercyclical behavior of risk premia on loans to the housing sector. -- Agency costs ; credit channel ; time-varying uncertainty …
Persistent link: https://www.econbiz.de/10008657366
, correlation risk became very significant. in 2007, indeed most of the exotic equity portfolios were mismarked because of this risk … Correlation Model (UCM) that takes into account the correlation risk in equity derivatives modelling. We consider two versions of …
Persistent link: https://www.econbiz.de/10013116942
The Association of Southeast Asian Nations (ASEAN) intends to create the ASEAN Economic Community (AEC) as a single market, to be completed by 2020. The single market will boost the competition in both ASEAN's internal and external markets, which will spur innovation. Creative innovation will...
Persistent link: https://www.econbiz.de/10013061529
The binomial model presents a set of properties that make it a suitable approach in order to value the real options, throughout an easy and practical application. This is possible by the adaptation of the valuation principle for non-arbitrage, own of the options pricing theory. However, their...
Persistent link: https://www.econbiz.de/10013230701
investors' effective risk aversion. Using this utility function, we extend the "no good deals" methodology of Cochrane and Saá …
Persistent link: https://www.econbiz.de/10009679505
We study option pricing and hedging with uncertainty about a Black-Scholes reference model which is dynamically recalibrated to the market price of a liquidly traded vanilla option. For dynamic trading in the underlying asset and this vanilla option, delta-vega hedging is asymptotically optimal...
Persistent link: https://www.econbiz.de/10011506357
We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equally seriously, we penalise less plausible ones based on their "distance" to a reference local volatility model. In...
Persistent link: https://www.econbiz.de/10011410718
generalized LRR model is as tractable but more flexible due to its separation of ambiguity aversion from both risk aversion and … variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability …. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …
Persistent link: https://www.econbiz.de/10012617667
analyze the effect of risk aversion, ambiguity aversion and the elasticity of intertemporal substitution on the willingness to … pay to avoid climate change risk. The first part of the paper analyzes a general disaster (jump) risk model with a … constant arrival rate of disasters. This provides useful intuition in how preferences influence valuation of long-term risk …
Persistent link: https://www.econbiz.de/10012024032