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Pricing a collateralized derivative trade with a funding value adjustment
Hunzinger, Chadd B.; Labuschagne, Coenraad C. A. - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 17-42
. In this paper, we extend the Cox, Ross and Rubinstein (CRR) discrete-time model to include collateral and FVA. We prove … that this derived model is a discrete analogue of Piterbarg's partial differential equation (PDE), which describes the …
Persistent link: https://www.econbiz.de/10011843251
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Efficiency Container Ports In Brazil: A DEA And FDH Approach
Cabral, Alexandra Maria Rios; Ramos, Francisco S. - In: The Central European Review of Economics and Management … 2 (2018) 1, pp. 43-64
Aim: This study aims to evaluate the technical efficiency of 44 Brazilian port terminals that handled containers in 2016. The evaluation will first proceed by identifying the main benchmarks. It will then provide an analysis of variables that may have an effect on technical efficiency as well as...
Persistent link: https://www.econbiz.de/10012427237
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Fractalidad implícita en el comercio internacional
Puls, Sergio Lagunas - In: Revista de Métodos Cuantitativos para la Economía y … 33 (2022), pp. 226-241
El objetivo de este trabajo es determinar si las operaciones de comercio internacional, despachadas por las aduanas marítimas de México, presentan características fractales con memoria de largo plazo. Para estimar el exponente de Hurst (H), se empleó el método de rango escalado (R/S)...
Persistent link: https://www.econbiz.de/10014494429
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Globalization and technological capabilities: Evidence from Mexico's patent records ca. 1870-1911
Beatty, Edward - In: Estudios de Economía 42 (2015) 2, pp. 45-65
Using a new database of all patents issues in Mexico between 1870 and 1911, this paper explores the impact of the vast wave of technology imports into Mexico during the nineteenth century period of globalization. Historians have established that massive technology imports made possible sustained...
Persistent link: https://www.econbiz.de/10011538768
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The British commercial houses in Peru and Chile between the two world wars: Success and failure
Miller, Rory M. - In: Estudios de Economía 42 (2015) 2, pp. 93-119
The previously successful British merchant houses on the west coast of South America faced significant problems between the two world wars. Earlier historians have referred to difficulties such as the volatility of commodity prices, the organisation and structure of the firms, and changes in...
Persistent link: https://www.econbiz.de/10011538770
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Formulating a stochastic discounting model with actuarial and risk management applications
Artikis, Constantinos T. - In: SPOUDAI - Journal of Economics and Business 62 (2012) 3/4, pp. 7-15
the actuarial discipline of a stochastic discounting model. It is shown that the formulated stochastic discounting model …
Persistent link: https://www.econbiz.de/10010343117
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An entrepreneurial key competencies' model
Arafeh, Labib - In: Journal of Innovation and Entrepreneurship 5 (2016) 26, pp. 1-26
universities worldwide. Furthermore, the paper proposes a softcomputing-based entrepreneurial key competencies' model (SKECM). This … 0.8511 and 6.3175, respectively. However, although the preliminary findings of the proposed SKECM model are promising …
Persistent link: https://www.econbiz.de/10011540298
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Audit firm, retain or rotation? (client and audit firm perspectives)
Mahdavi, Gholamhossein; Daryaei, Abbas Ali - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-11
The purpose of this study is providing a framework for understanding the role of audit firm rotation in client expected value. And to explain the principles of client choice by auditor via specified models. We formalize this idea through stakeholder theory. Results show that the owners' expected...
Persistent link: https://www.econbiz.de/10011988737
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Can pension funds partially manage longevity risk by investing in a longevity megafund?
Debonneuil, Edouard; Eyraud-Loisel, Anne; Planchet, … - In: Risks 6 (2018) 3, pp. 1-27
developments against ageing-related diseases, we model the needed capital for pension funds to face longevity risk and find that it …
Persistent link: https://www.econbiz.de/10011996621
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Models and Practices of Corporate Governance Worldwide
Ungureanu, Mihaela - In: CES Working Papers 4 (2012) 3a, pp. 625-635
managers is increasingly necessary, which means, in fact, adopting a corporate governance model. The aim of this article is to … for each one, in the sense to determine which one is the best model and if it can be adapted to different economic systems … not provide concrete answers to this problem, most authors treating each one the governance model specific to their home …
Persistent link: https://www.econbiz.de/10012017034