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Updating the option implied probability of default methodology

Vilsmeier, Johannes - 2011

In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is...

Persistent link: https://www.econbiz.de/10009313603

Updating the option implied probability of default methodology

Vilsmeier, Johannes - 2014

In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...

Persistent link: https://www.econbiz.de/10010471968

Collateral-Enhanced Default Risk

Kenyon, Chris - 2013

Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between Merton-type and Black-Cox-type structural default models. Our...

Persistent link: https://www.econbiz.de/10013087656

Illiquid Asset Investing

Ang, Andrew - 2013

After taking into account biases induced by infrequent trading and selection, it is unlikely that illiquid asset classes have higher risk-adjusted returns than traditional liquid stock and bond markets. On the other hand, there are significant illiquidity premiums within asset classes. Portfolio...

Persistent link: https://www.econbiz.de/10013088632

Shaping Liquidity : On the Causal Effects of Voluntary Disclosure

Balakrishnan, Karthik - 2013

Can managers influence the liquidity of their firms' shares? We use plausibly exogenous variation in the supply of … information than regulations mandate and that such efforts improve liquidity. Firms respond to an exogenous loss of public … information asymmetries between retail and institutional investors. Liquidity improves as a result and in turn increases firm …

Persistent link: https://www.econbiz.de/10013091408

The Fragility of Discretionary Liquidity Provision : Lessons from the Collapse of the Auction Rate Securities Market

Han, Song - 2015

We study the fragility of discretionary liquidity provision by major financial intermediaries during systemic events … discretionary liquidity provision greatly affected both net investor demand and auction clearing rates. Importantly, such … discretionary liquidity provision is fragile. As auction dealers suffered losses from other financial markets and faced increasing …

Persistent link: https://www.econbiz.de/10013038246

Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity

Robinson, David T. - 2015

We study the liquidity properties of private equity cash flows using data from 837 buyout and venture capital funds …. Consistent with a liquidity premium for calling capital in bad times, we find that funds with a relatively high propensity to do …

Persistent link: https://www.econbiz.de/10013038359

Optimal Basket Liquidation for CARA Investors is Deterministic

Schied, Alexander - 2010

We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk...

Persistent link: https://www.econbiz.de/10013150407

Dealer Intermediation, Market Liquidity and the Impact of Regulatory Reform

Liu, Zijun - 2017

on the market — or the level of ‘market liquidity premia'. In the model the impact on market liquidity varies for … liquidity risk premia are higher under the new regulations, but also that corporate bond market liquidity is more resilient due …-crisis. Mapping these changes in liquidity premia to GDP, via their impact on the cost of borrowing for corporates in the real economy …

Persistent link: https://www.econbiz.de/10012951835

Liquidity Discount Model and Spillover Effects

Blackburn, Douglas W. - 2017

proposed indicators are primarily empirically motivated and are not capable of differentiating liquidity risk from other types … of risk such as market and credit. In this paper, we develop a liquidity model to measure the risk caused by liquidity … liquidity. The liquidity discount measure may be applied to particular firms or may be aggregated into a liquidity index. A key …

Persistent link: https://www.econbiz.de/10012957024