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Modeling Behavioral Risk
Bissiri, Matteo - 2014
Contracts with embedded prepayment/extension options are subject to behavioral risk, due to the unpredictable exercise strategy followed by the option holder. Empirical data show that, in many situations and for different reasons, investors do not act purely on the strength of financial...
Persistent link: https://www.econbiz.de/10013044257
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Term Risk in Interest Rate Markets
Macrina, Andrea; Mahomed, Obeid - 2021
Based on a stylised financial system along with a systemic perspective thereof, we consider the structure of an aggregated banking system that is vulnerable to liquidity risks. Within this setup, a consistent mathematical modelling framework for term interest rate systems is derived that enables...
Persistent link: https://www.econbiz.de/10013321542
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Can reinvestment risk explain the dividend and bond term structures?
Gonçalves, Andrei S. - 2018 - This Version: January, 2018
tradeoff between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly … exposed to market risk, they are also good hedges for reinvestment risk because dividend prices rise as expected returns … long maturities, inducing relatively low risk premia on long-term dividend claims. The model is also consistent with the …
Persistent link: https://www.econbiz.de/10011963382
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Asset pricing with horizon-dependent risk aversion
Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2014
We study general equilibrium asset prices in a multi-period endowment economy when agents' risk aversion is allowed to depend on the maturity of the risk. We find horizon-dependent riskaversion preferences generate a decreasing term structure of risk premia if and only if volatility is...
Persistent link: https://www.econbiz.de/10010439624
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Optimal dividend payout model with risk sensitive preferences
Bäuerle, Nicole; Jaśkiewicz, Anna - In: Insurance / Mathematics & economics 73 (2017), pp. 82-93
Persistent link: https://www.econbiz.de/10011702059
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Optimal dividend and risk control strategies for an insurer when there are multiple reinsurers with different risk attitudes
Yao, Dingjun; Zhou, Hua; Cheng, Gongpin - In: Finance research letters 69 (2024) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10015079718
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Loss aversion, habit formation and the term structures of equity and interest rates
Curatola, Giuliano - In: Journal of economic dynamics & control 53 (2015), pp. 103-122
Persistent link: https://www.econbiz.de/10011526865
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Taux d'intérêt, risque et fenêtre à dividendes
Pinhas, Max - 1998
Persistent link: https://www.econbiz.de/10001355870
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An equilibrium model of the term structures of bonds and equities
Takamizawa, Hideyuki - In: International review of financial analysis 84 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013472835
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Heterogeneity and risk sharing in village economies
Chiappori, Pierre-André; Krislert Samphantharak; … - In: Quantitative economics : QE ; journal of the … 5 (2014) 1, pp. 1-27
preferences. Full insurance cannot be rejected. As the risk-sharing as-if-complete-markets theory might predict, estimated risk …
Persistent link: https://www.econbiz.de/10011757115