CAPM with Various Utility Functions: Theoretical Developments and
... accounts for the moments of order three and four (the skewness and the kurtosis), which are indicators of the asymmetry and peakedness of the probability distribution . Bellalah and Selmi(2002) showed that a program of the expected utility maximizing can be equivalent under certain conditions, to th ...
... accounts for the moments of order three and four (the skewness and the kurtosis), which are indicators of the asymmetry and peakedness of the probability distribution . Bellalah and Selmi(2002) showed that a program of the expected utility maximizing can be equivalent under certain conditions, to th ...
Introduction to Credit Risk Modeling, An
... of a loss protection in terms of an insurance, as one knows it from car or health insurances. Moreover, history shows that even good customers have a potential to default on their financial obligations, such that an insurance for not only the critical but all loans in the bank’s credit portfolio mak ...
... of a loss protection in terms of an insurance, as one knows it from car or health insurances. Moreover, history shows that even good customers have a potential to default on their financial obligations, such that an insurance for not only the critical but all loans in the bank’s credit portfolio mak ...
Trading and Returns under Periodic Market Closures
... investors hold on to their closing positions from the previous trading period despite their desire to trade as new information arrives. Consequently, investors optimally adjust their trading strategies during the trading period (in anticipation of and following market closures), which gives rise to ...
... investors hold on to their closing positions from the previous trading period despite their desire to trade as new information arrives. Consequently, investors optimally adjust their trading strategies during the trading period (in anticipation of and following market closures), which gives rise to ...
Why were there fire sales of mortgage
... them. Therefore, these investors will only buy them if they sell at enough of a discount. With investors most knowledgeable about a class of securities sidelined, trade prices for these securities should vary considerably, after accounting for fundamentals, as there would only be weak forces pushing ...
... them. Therefore, these investors will only buy them if they sell at enough of a discount. With investors most knowledgeable about a class of securities sidelined, trade prices for these securities should vary considerably, after accounting for fundamentals, as there would only be weak forces pushing ...
white paper on Frustration and Force Majeure.
... when there is figuratively so much to play for, it is imperative for parties to anticipate, at the outset of the contract, any remote contingencies that could prevent performance. It is also imperative to understand what rules may be appropriate, or necessary to regulate the commercial relationship ...
... when there is figuratively so much to play for, it is imperative for parties to anticipate, at the outset of the contract, any remote contingencies that could prevent performance. It is also imperative to understand what rules may be appropriate, or necessary to regulate the commercial relationship ...
Phillips Contracts Winter 1997
... party, but only from some of the consequences or results of such act. Consequential damages resulting from a seller’s breach of K include any loss resulting from general or particular requirements and needs of which the seller at the time of contracting had reason to know and which could not reasona ...
... party, but only from some of the consequences or results of such act. Consequential damages resulting from a seller’s breach of K include any loss resulting from general or particular requirements and needs of which the seller at the time of contracting had reason to know and which could not reasona ...
Download Dissertation
... The prevalence of non-zero bases and the rejection of cointegration between CDS premiums and bond yield spreads do not, in and of themselves, indicate a different price for credit risk. Pricing model shows that deeply discounted bond prices account for positive bases. The basis does remain, however, ...
... The prevalence of non-zero bases and the rejection of cointegration between CDS premiums and bond yield spreads do not, in and of themselves, indicate a different price for credit risk. Pricing model shows that deeply discounted bond prices account for positive bases. The basis does remain, however, ...
Newly Identified Contract Unconscionability
... Antecedent to a decision to limit expectation damages in any manner is an assumption that expectation damages should usually be awarded; that is, that the aggrieved party should be placed so far as possible in the position he would have occupied had the contract been performed. This assumption is by ...
... Antecedent to a decision to limit expectation damages in any manner is an assumption that expectation damages should usually be awarded; that is, that the aggrieved party should be placed so far as possible in the position he would have occupied had the contract been performed. This assumption is by ...
volatility as an asset class
... Volatility Index (VSTOXX), VDAX or VSMI reaching unprecedented levels, reflecting the increasing cost of buying downside protection in the form of options during the market turmoil. It is interesting to note that volatility is more than a mere measure for the level of uncertainty prevailing in finan ...
... Volatility Index (VSTOXX), VDAX or VSMI reaching unprecedented levels, reflecting the increasing cost of buying downside protection in the form of options during the market turmoil. It is interesting to note that volatility is more than a mere measure for the level of uncertainty prevailing in finan ...
A Model of Intertemporal Asset Prices Under Asymmetric
... the equity grow at a stochastic rate. The investors in the economy can be either informed or uninformed: the informed investors know the future dividend growth rate, while the uninformed investors do not. All the investors observe current dividend payments and stock prices. Since the growth rate of ...
... the equity grow at a stochastic rate. The investors in the economy can be either informed or uninformed: the informed investors know the future dividend growth rate, while the uninformed investors do not. All the investors observe current dividend payments and stock prices. Since the growth rate of ...
Decimalization, trading costs, and information transmission between
... AMEX started to trade in decimals on this date, but their corresponding index futures continued to trade in their original tick sizes. This offers an opportunity to test the impact of changes in tick size empirically. ETFs are index funds or trusts that are listed and traded intraday on an exchange. ...
... AMEX started to trade in decimals on this date, but their corresponding index futures continued to trade in their original tick sizes. This offers an opportunity to test the impact of changes in tick size empirically. ETFs are index funds or trusts that are listed and traded intraday on an exchange. ...
Emanuel Law Outlines
... Example: A writes to B, "I’ll sell you my house for $100,000, closing to take place April 1." B writes back, "That’s fine; let’s close April 2, however." At common law, B’s response is not an acceptance because it diverges slightly from the offer, so there is no contract. B. UCC view: The UCC reject ...
... Example: A writes to B, "I’ll sell you my house for $100,000, closing to take place April 1." B writes back, "That’s fine; let’s close April 2, however." At common law, B’s response is not an acceptance because it diverges slightly from the offer, so there is no contract. B. UCC view: The UCC reject ...
CHAPTER 11
... (iii) well-functioning security markets do not allow for the persistence of arbitrage opportunities. ...
... (iii) well-functioning security markets do not allow for the persistence of arbitrage opportunities. ...
A Theory of Repurchase Agreements, Collateral Re-use
... natural borrowers and natural lenders. In practice, dealer banks indeed make for a significant share of the market by intermediating between hedge funds and money market funds or MMF. This might seem puzzling if direct trading platforms are available for both parties to bypass the dealer bank.5 Our ...
... natural borrowers and natural lenders. In practice, dealer banks indeed make for a significant share of the market by intermediating between hedge funds and money market funds or MMF. This might seem puzzling if direct trading platforms are available for both parties to bypass the dealer bank.5 Our ...
Disputation, August 4th, 2009, Ryan Riordan
... Noise: risk mgt., adverse selection, manipulation, order anticipation? ...
... Noise: risk mgt., adverse selection, manipulation, order anticipation? ...
Self-Study Guide to Hedging with Grain and Oilseed
... are affected by futures prices and other market factors. In addition, the more you know about the markets, the better equipped you will be, based on current market conditions and your specific objectives, to decide whether to use futures contracts, options on futures contracts, or other risk managem ...
... are affected by futures prices and other market factors. In addition, the more you know about the markets, the better equipped you will be, based on current market conditions and your specific objectives, to decide whether to use futures contracts, options on futures contracts, or other risk managem ...
Risk-Based Capital for Insurers in the United States
... Formulas continuously evolve. NAIC publishes newsletters and guidelines for the calculation of Risk-Based Capital. The RBC system is meant to be a supplement, not a replacement, for the existing fixed minimum capital requirements that exist in each state. That is, the RBC formula requirements can be ...
... Formulas continuously evolve. NAIC publishes newsletters and guidelines for the calculation of Risk-Based Capital. The RBC system is meant to be a supplement, not a replacement, for the existing fixed minimum capital requirements that exist in each state. That is, the RBC formula requirements can be ...
Answers to Questions
... A business combination is the process of forming a single economic entity by the uniting of two or more organizations under common ownership. The term also refers to the entity that results from this process. (1) A statutory merger is created whenever two or more companies come together to form a bu ...
... A business combination is the process of forming a single economic entity by the uniting of two or more organizations under common ownership. The term also refers to the entity that results from this process. (1) A statutory merger is created whenever two or more companies come together to form a bu ...
Electronic Market-Makers: Empirical Comparison
... They could potentially lose a large amount of money, for example if the stock drops while they have the shares in their inventory. Because of this risk, a marketmaker keeps a spread on the stocks they have. The difference between ask and bid price maybe very small (pennies), but because of the large ...
... They could potentially lose a large amount of money, for example if the stock drops while they have the shares in their inventory. Because of this risk, a marketmaker keeps a spread on the stocks they have. The difference between ask and bid price maybe very small (pennies), but because of the large ...
Frequently Asked Questions about Exchange
... Although investors can invest in structured notes linked ...
... Although investors can invest in structured notes linked ...
(2007), Paul Wilmott Introduces Quantitative
... Butterflies and condors Calendar spreads LEAPS and FLEX Warrants Convertible bonds Over the counter options Summary ...
... Butterflies and condors Calendar spreads LEAPS and FLEX Warrants Convertible bonds Over the counter options Summary ...
Causes and Consequences of Margin Levels in Futures Markets
... and they are important for the financial system because they reduce counterparty risk. The futures market provides an ideal venue for exploring the effect of funding constraints on financial markets, since historical margin requirements are available for multiple contracts. Previous studies show that m ...
... and they are important for the financial system because they reduce counterparty risk. The futures market provides an ideal venue for exploring the effect of funding constraints on financial markets, since historical margin requirements are available for multiple contracts. Previous studies show that m ...
Consumer Protection: Article Two of the UCC
... contract, but rather the emotional state of the trier which will justify his use of the section [mean] the attitudes relevant under section 2-302 are not those of the parties but those of the judges. The pictures sought in the facts are not of the varieties of oppressive or surprising negotiations . ...
... contract, but rather the emotional state of the trier which will justify his use of the section [mean] the attitudes relevant under section 2-302 are not those of the parties but those of the judges. The pictures sought in the facts are not of the varieties of oppressive or surprising negotiations . ...
Volatility and Fixed Income Asset Class Comparison
... Overall, the mean reversion and term structure related similarities between the two asset classes are dramatic. As such, many of the same types of analytics are pertinent in the analysis of these markets and in determining the ideal time to be long the related risk premium. ...
... Overall, the mean reversion and term structure related similarities between the two asset classes are dramatic. As such, many of the same types of analytics are pertinent in the analysis of these markets and in determining the ideal time to be long the related risk premium. ...
I - Free Law School Outlines Professor Subject
... Note: A K made by a minor is voidable, but not void. One-sided rule: only the person against whom enforcement is sought must be of legal age. RSC §71 Requirement of Exchange, p 209: Consideration is a performance or a return promise that is bargained for as part of an exchange. Performance may consi ...
... Note: A K made by a minor is voidable, but not void. One-sided rule: only the person against whom enforcement is sought must be of legal age. RSC §71 Requirement of Exchange, p 209: Consideration is a performance or a return promise that is bargained for as part of an exchange. Performance may consi ...