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This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays within a given interval. We focus on the effects of...
Persistent link: https://www.econbiz.de/10010316082
their risk premia. We analyze tests for the existence and the sign of the market prices of jump risk that are based on ….g., stochastic volatility: there is one market price of risk for each jump size (and not just the market price of jump risk). Thus …
Persistent link: https://www.econbiz.de/10010316083
. However, theory does not tell us a lot about the economic rationale for relationship lending in the context of multiple bank …
Persistent link: https://www.econbiz.de/10010316084
Small and medium-sized firms typically obtain capital via bank financing. They often rely on a mixture of relationship and arm's-length banking. This paper explores the reasons for the dominance of heterogeneous multiple banking systems. We show that the incidence of inefficient credit...
Persistent link: https://www.econbiz.de/10010316088
This paper studies a setting in which a risk averse agent must be motivated to work on two tasks: he (1) evaluates a new project and, if adopted, (2) manages it. While a performance measure which is informative of an agent´s action is typically valuable because it can be used to improve the...
Persistent link: https://www.econbiz.de/10010316230
Structural positions are very common in investment practice. A structural position is defined as a permanent overweighting of a riskier asset class relative to a prespecified benchmark portfolio. The most prominent example for a structural position is the equity bias in a balanced fund that...
Persistent link: https://www.econbiz.de/10010316231
This paper analyses the long-term effects of improved small-scale lending, often provided by microfinance institutions set up with the support of development aid. The analysis shows that some common assumptions about microfinance are not true at all: First, it shows that the impact on income...
Persistent link: https://www.econbiz.de/10010316233
selektive Überblick konzentriert sich auf zentrale Aspekte der Theorie und Empirie der Managementkontrolle bei asymmetrischer …
Persistent link: https://www.econbiz.de/10010316235
eine komparative Rechnungslegungstheorie. Eine Besinnung auf die ökonomische Theorie ist – auch ausgelöst durch die … Prägung durch die ökonomische Theorie – und nicht vornehmlich durch die Anwender – erhielt.3 Es ist das Ziel des Aufsatzes …, einen Beitrag zu einer institutionenökonomischen Theorie der Rechnungslegung zum Zweck der Bestimmung von …
Persistent link: https://www.econbiz.de/10010316236
Rating agencies state that they take a rating action only when it is unlikely to be reversed shortly afterwards. Based on a formal representation of the rating process, I show that such a policy provides a good explanation for the empirical evidence: Rating changes occur relatively seldom,...
Persistent link: https://www.econbiz.de/10010316237