Can Structural Models Price Default Risk? Evidence
... premia. For our benchmark specifications, the Leland (1994) and Fan and Sundaresan (2000) models underestimate bond spreads by 108 and 91 basis points respectively. The Leland and Toft (1996) model underestimates dramatically less — by ca. 56 basis points. These numbers are not dissimilar to previo ...
... premia. For our benchmark specifications, the Leland (1994) and Fan and Sundaresan (2000) models underestimate bond spreads by 108 and 91 basis points respectively. The Leland and Toft (1996) model underestimates dramatically less — by ca. 56 basis points. These numbers are not dissimilar to previo ...
“Earnings management and idiosyncratic risk − evidence from the
... tendency for firms to trade off real versus accrualbased earnings management activities after SOX. Chen et al. (2012) prove that the idiosyncratic return volatility is positively associated with the managerial discretion in terms of accruals. From the above discussion, this study hypothesizes that i ...
... tendency for firms to trade off real versus accrualbased earnings management activities after SOX. Chen et al. (2012) prove that the idiosyncratic return volatility is positively associated with the managerial discretion in terms of accruals. From the above discussion, this study hypothesizes that i ...
optionality
... Discounting the above outcomes SU and SD using risk free rate r = 5.25% (ignore contin. comp) and q = (R - D)/(U-D) = 0.3693 will also give the same value for S0 (=18): S0 = [ q SU + ( 1- q) SD ]/R = 18 where R = (1+r). ...
... Discounting the above outcomes SU and SD using risk free rate r = 5.25% (ignore contin. comp) and q = (R - D)/(U-D) = 0.3693 will also give the same value for S0 (=18): S0 = [ q SU + ( 1- q) SD ]/R = 18 where R = (1+r). ...
Seasons Series Trust - Mid Cap Value Portfolio - Annuities
... Portfolio will exceed what could have been obtained through other investment or savings vehicles. Shares of the Portfolio are not bank deposits and are not guaranteed or insured by any bank, government entity or the Federal Deposit Insurance Corporation. As with any mutual fund, there is no guarante ...
... Portfolio will exceed what could have been obtained through other investment or savings vehicles. Shares of the Portfolio are not bank deposits and are not guaranteed or insured by any bank, government entity or the Federal Deposit Insurance Corporation. As with any mutual fund, there is no guarante ...
FDI and Economic Growth: The Role of Local Financial
... nonfinancia l intermediaries divided by GDP. It is the broadest measure of financial intermediation and includes three types of financial institutions : the central bank, deposit money banks, and other financial institutions. Hence, LLY provides a measure for the overall size of the financial sector ...
... nonfinancia l intermediaries divided by GDP. It is the broadest measure of financial intermediation and includes three types of financial institutions : the central bank, deposit money banks, and other financial institutions. Hence, LLY provides a measure for the overall size of the financial sector ...
Asset correlations and credit portfolio risk
... Our main finding is a complex interaction of credit risk correlations and PDs which affects total credit portfolio risk; this has important implications for both banks’ internal credit risk modelling processes and banking supervision. We first find substantial time variation in asset correlations both ...
... Our main finding is a complex interaction of credit risk correlations and PDs which affects total credit portfolio risk; this has important implications for both banks’ internal credit risk modelling processes and banking supervision. We first find substantial time variation in asset correlations both ...
Greenko Restricted Group Financial Statements
... An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the combined financial statements. The procedures selected depend on our judgement, including the assessment of the risks of material misstatement of the combined financial statements, whether due t ...
... An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the combined financial statements. The procedures selected depend on our judgement, including the assessment of the risks of material misstatement of the combined financial statements, whether due t ...
Technology Choices and Growth
... • We also confirm that the positive relationship between larger financial sector distortions and Technology Choice Index, although this relationship is not homogeneous, and it differs across different groups of countries depending on the aspect of financial structure or financial sector distortions ...
... • We also confirm that the positive relationship between larger financial sector distortions and Technology Choice Index, although this relationship is not homogeneous, and it differs across different groups of countries depending on the aspect of financial structure or financial sector distortions ...
OPTIMAL CAPITAL STRUCTURE
... the cost of debt may be information provided by banks or financial markets, but the required return on equity is an estimate. Market value of debt and equity. In a perpetuity, the debt’s market value (line 11) is equal to the annual interest payments, divided by the required return on debt (I/Kd). L ...
... the cost of debt may be information provided by banks or financial markets, but the required return on equity is an estimate. Market value of debt and equity. In a perpetuity, the debt’s market value (line 11) is equal to the annual interest payments, divided by the required return on debt (I/Kd). L ...
A New Heuristic Measure of Fragility and Tail Risks
... risks, not only of the probability of Black Swans (large impact, unforeseen, random events), but of the financial system’s fragility to them. For example, the potential for bank losses and disruption of bank funding markets due to deterioration in the U.S. subprime housing market, or the potential f ...
... risks, not only of the probability of Black Swans (large impact, unforeseen, random events), but of the financial system’s fragility to them. For example, the potential for bank losses and disruption of bank funding markets due to deterioration in the U.S. subprime housing market, or the potential f ...
chapter 26 valuing real estate
... estimate the cost of equity. We also consider other sources of risk in real estate investments that are not adequately considered by traditional risk and return models and how to incorporate these into valuation. Cost of Equity The two basic models used to estimate the cost of equity for financial a ...
... estimate the cost of equity. We also consider other sources of risk in real estate investments that are not adequately considered by traditional risk and return models and how to incorporate these into valuation. Cost of Equity The two basic models used to estimate the cost of equity for financial a ...
Determinants of capital structure - Theoretical and Applied Economics
... consuming more than the optimal level of perquisites is higher for firms with lower levels of assets that can be used as collateral. The monitoring costs of the agency relationship are higher for firms with less collateralizable assets. Consequently, collateral value is found to be a major determina ...
... consuming more than the optimal level of perquisites is higher for firms with lower levels of assets that can be used as collateral. The monitoring costs of the agency relationship are higher for firms with less collateralizable assets. Consequently, collateral value is found to be a major determina ...
A New Approach for Managing Operational Risk: Addressing the
... Operational failure has played a role in virtually every catastrophic loss that has taken place during the past 20 years. In fact, the 2008 global financial crisis was largely caused by a series of massive operational failures. The American Insurance Group (AIG) event, which was an example of princi ...
... Operational failure has played a role in virtually every catastrophic loss that has taken place during the past 20 years. In fact, the 2008 global financial crisis was largely caused by a series of massive operational failures. The American Insurance Group (AIG) event, which was an example of princi ...
del09 Arndt new 9998297 en
... internationalization decision, four issues must be addressed. First, we have no information about the host markets in which firms invest. Hence, we cannot analyze the impact of differences in host country conditions in terms of, for instance, contract enforcement or liquidation costs. Also, we do no ...
... internationalization decision, four issues must be addressed. First, we have no information about the host markets in which firms invest. Hence, we cannot analyze the impact of differences in host country conditions in terms of, for instance, contract enforcement or liquidation costs. Also, we do no ...
Intermediary Balance Sheets - Federal Reserve Bank of New York
... financial institutions which screen, select, monitor and diversify across investment projects on households’ behalf. This delegation of capital allocation decisions gives rise to principal-agent problems between households and intermediaries, which are solved by imposing constraints on financial ins ...
... financial institutions which screen, select, monitor and diversify across investment projects on households’ behalf. This delegation of capital allocation decisions gives rise to principal-agent problems between households and intermediaries, which are solved by imposing constraints on financial ins ...
IOSR Journal of Economics and Finance (IOSR-JEF)
... A Study of Derivatives Market in India and its Current Position in Global Financial Derivatives 1. Management of risk: One of the most important services provided by the derivatives is to control, avoid, shift and manage efficiently different types of risk through various strategies like hedging, a ...
... A Study of Derivatives Market in India and its Current Position in Global Financial Derivatives 1. Management of risk: One of the most important services provided by the derivatives is to control, avoid, shift and manage efficiently different types of risk through various strategies like hedging, a ...
NBER WORKING PAPER SERIES FINANCE AND INEQUALITY: THEORY AND EVIDENCE Asli Demirguc-Kunt
... inequality are distinct and potentially contradictory. For example, financial innovations that equalize opportunities could widen the distribution of income as the economy rewards those with the most skills and initiative. Similarly, the intergenerational persistence of inequality could fall as oppo ...
... inequality are distinct and potentially contradictory. For example, financial innovations that equalize opportunities could widen the distribution of income as the economy rewards those with the most skills and initiative. Similarly, the intergenerational persistence of inequality could fall as oppo ...