Collateral Shortages, Asset Price and Investment
... are the net present discounted values of the dividend processes, with appropriate discount factors. As a result, asset price volatility is proportional to the volatility of dividends if the aggregate endowment, or equivalently the equilibrium stochastic discount factor, only varies by a limited amou ...
... are the net present discounted values of the dividend processes, with appropriate discount factors. As a result, asset price volatility is proportional to the volatility of dividends if the aggregate endowment, or equivalently the equilibrium stochastic discount factor, only varies by a limited amou ...
Title of presentation
... years but has no negative years and much lower volatility • A 200% Levered Direct Lending portfolio matches the S&P with no drawdowns and much lower volatility (net of mgmt and performance fees). ...
... years but has no negative years and much lower volatility • A 200% Levered Direct Lending portfolio matches the S&P with no drawdowns and much lower volatility (net of mgmt and performance fees). ...
European Option Pricing and Hedging with both Fixed
... The break-trough in option valuation theory starts with the publication of two seminal papers by Black and Scholes (1973) and Merton (1973). In both papers authors introduced a continuous time model of a complete frictionfree market where a price of a stock follows a geometric Brownian motion. They ...
... The break-trough in option valuation theory starts with the publication of two seminal papers by Black and Scholes (1973) and Merton (1973). In both papers authors introduced a continuous time model of a complete frictionfree market where a price of a stock follows a geometric Brownian motion. They ...
Intangibles
... A company treats software production costs (such as costs of design, coding, and testing) as an R&D expense until the technological feasibility of the product is established. Technological feasibility is established either on the date of completion of detailed program design or on completion of a wo ...
... A company treats software production costs (such as costs of design, coding, and testing) as an R&D expense until the technological feasibility of the product is established. Technological feasibility is established either on the date of completion of detailed program design or on completion of a wo ...
2Q 2016 Form 10-Q (PDF 540 KB)
... (b) Non-GAAP information for all periods presented excludes the net income (loss) attributable to noncontrolling interests of consolidated investment management funds, amortization of intangible assets and M&I, litigation and restructuring charges. (c) Tangible book value per common share - Non-GAAP ...
... (b) Non-GAAP information for all periods presented excludes the net income (loss) attributable to noncontrolling interests of consolidated investment management funds, amortization of intangible assets and M&I, litigation and restructuring charges. (c) Tangible book value per common share - Non-GAAP ...
ABSTRACT ESSAYS IN INTERNATIONAL FINANCE Christian Daude, Doctor of Philosophy, 2008
... tionship turns negative. The chapter also presents a quantitative model of sovereign debt with default risk consistent with this feature and other characteristics of EME debt. The intuition for this result is the existence of a trade-off between prudential behavior in order to avoid large consumpti ...
... tionship turns negative. The chapter also presents a quantitative model of sovereign debt with default risk consistent with this feature and other characteristics of EME debt. The intuition for this result is the existence of a trade-off between prudential behavior in order to avoid large consumpti ...
Sequencing riSk a key challenge to creating SuStainaBle
... the sequence of events? Over the past decade, this has been the case for defined contribution (DC) plan members whose retirement savings have experienced a path of events (including the dot.com crash, the subprime crisis, the global financial crisis and the European debt crisis) that arguably could ...
... the sequence of events? Over the past decade, this has been the case for defined contribution (DC) plan members whose retirement savings have experienced a path of events (including the dot.com crash, the subprime crisis, the global financial crisis and the European debt crisis) that arguably could ...
Successful Activist Board Engagement
... fund created positive abnormal returns (alpha) for all shareholders during short term event windows and for a five year period ex post the activist joining the target firm board. Additionally, those target firms increased certain operating performance measures that are commonly used by financial eco ...
... fund created positive abnormal returns (alpha) for all shareholders during short term event windows and for a five year period ex post the activist joining the target firm board. Additionally, those target firms increased certain operating performance measures that are commonly used by financial eco ...
Risk-Based Capital for Insurers in the United States
... requirements that exist in each state. That is, the RBC formula requirements can be higher or lower than the fixed minimum capital requirements (which are typically $1 to $2 million), but each insurance company must meet both sets of standards. Many small insurance companies generate RBC requirement ...
... requirements that exist in each state. That is, the RBC formula requirements can be higher or lower than the fixed minimum capital requirements (which are typically $1 to $2 million), but each insurance company must meet both sets of standards. Many small insurance companies generate RBC requirement ...
View the presentation.
... Sample U.S. Person Analysis 5 U.S. asset manager organizes a fund outside the U.S. Fund is sold primarily to non-U.S. investors and Fund sales force is located outside the U.S.; some investors (less than a majority) have moved to the U.S. and are "U.S. persons" Fund managed by non-U.S. affili ...
... Sample U.S. Person Analysis 5 U.S. asset manager organizes a fund outside the U.S. Fund is sold primarily to non-U.S. investors and Fund sales force is located outside the U.S.; some investors (less than a majority) have moved to the U.S. and are "U.S. persons" Fund managed by non-U.S. affili ...
Danielsson-alumni-talk
... exogenous Shocks to the financial system arrive from outside the system, like with an asteroid endogenous Financial risk is created by the interaction of ...
... exogenous Shocks to the financial system arrive from outside the system, like with an asteroid endogenous Financial risk is created by the interaction of ...
Term of reference – Need analysis RIS Latvia
... Usually proof of concept is associated with business ideas of international growth potential and with support of physical persons – researchers and engineers before establishment of company. The proof of concept stage represents innovative, technology and knowledge intensive research results encompa ...
... Usually proof of concept is associated with business ideas of international growth potential and with support of physical persons – researchers and engineers before establishment of company. The proof of concept stage represents innovative, technology and knowledge intensive research results encompa ...
International Capital Flows and House Prices: Theory and Evidence*
... as discussed below.) At the same time, the capital in‡ow stimulates residential investment and an expected increase in the housing stock. So while low interest rates in isolation tend to raise home prices, these general equilibrium consequences tend to reduce them, thereby limiting the scope for a c ...
... as discussed below.) At the same time, the capital in‡ow stimulates residential investment and an expected increase in the housing stock. So while low interest rates in isolation tend to raise home prices, these general equilibrium consequences tend to reduce them, thereby limiting the scope for a c ...
DREYFUS INTERNATIONAL VALUE FUND
... or that derive a significant portion of their revenue or profits from businesses, investments or sales, outside the United States. The Fund typically invests in companies in at least ten foreign countries, and limits its investments in any single company to no more than 5% of its assets at the time ...
... or that derive a significant portion of their revenue or profits from businesses, investments or sales, outside the United States. The Fund typically invests in companies in at least ten foreign countries, and limits its investments in any single company to no more than 5% of its assets at the time ...
Evaluation of Managerial Techniques: NPV and IRR
... of NPV are the interest rate or discount rate which used to compute the present values of future cash flows. When the discount rate is higher than the shareholders’ required rate of return, and the project has a positive NPV at this rate, then shareholders will expect an additional profit that has a ...
... of NPV are the interest rate or discount rate which used to compute the present values of future cash flows. When the discount rate is higher than the shareholders’ required rate of return, and the project has a positive NPV at this rate, then shareholders will expect an additional profit that has a ...
Liquidity Shocks and the Business Cycle: What next?
... were introduced to the literature by Kiyotaki and Moore [2008] (henceforth KM). KM show that in conjunction with other financing constraints, these shocks could be a potential sources of business cycle fluctuations. This possibility has led to substantial amount of research that associates liquidity ...
... were introduced to the literature by Kiyotaki and Moore [2008] (henceforth KM). KM show that in conjunction with other financing constraints, these shocks could be a potential sources of business cycle fluctuations. This possibility has led to substantial amount of research that associates liquidity ...
Asset Pricing with Idiosyncratic Risk and Overlapping Generations
... that any given collection of asset price processes are consistent with a heterogeneous agent economy in which agents have ‘standard’ preferences and face idiosyncratic shocks with a particular volatility process. Their model’s testable restrictions can be thought of in two ways. First, because the e ...
... that any given collection of asset price processes are consistent with a heterogeneous agent economy in which agents have ‘standard’ preferences and face idiosyncratic shocks with a particular volatility process. Their model’s testable restrictions can be thought of in two ways. First, because the e ...
Does Dividend Policy Enhance Shareholder Value?
... outstanding shares have increased, but the share price remains at ¥900, and new and current shareholders are neither better nor worse off than before.4 If a share repurchase is done instead of the cash dividend, certain details may change, but the economic outcome for shareholders remains unchanged. ...
... outstanding shares have increased, but the share price remains at ¥900, and new and current shareholders are neither better nor worse off than before.4 If a share repurchase is done instead of the cash dividend, certain details may change, but the economic outcome for shareholders remains unchanged. ...
Reservation bid and ask prices for options and covered
... bid and ask prices for covered warrants are strictly greater than the BlackScholes value and to draw other specific implications for covered warrant and structured product prices. Finally, we compare the implications of the model with the findings of prior empirical studies on covered warrants and b ...
... bid and ask prices for covered warrants are strictly greater than the BlackScholes value and to draw other specific implications for covered warrant and structured product prices. Finally, we compare the implications of the model with the findings of prior empirical studies on covered warrants and b ...
SIFMA AMG Submits Comments to the Basel Committee on Banking
... segregation rules established by the Commodity Futures Trading Commission ensure that (1) the client margin is held separately from, and accounted separately from, the clearing firm’s other assets or assets under management; and (2) the client margin is “bankruptcy remote” from the clearing firm’s a ...
... segregation rules established by the Commodity Futures Trading Commission ensure that (1) the client margin is held separately from, and accounted separately from, the clearing firm’s other assets or assets under management; and (2) the client margin is “bankruptcy remote” from the clearing firm’s a ...
Full Text - Harvard University
... as an investment involving a long-term relationship and reflecting a lasting interest in and control of an enterprise resident in an economy other than that of the investor. FDI inflows are capital provided by a foreign direct investor to an FDI enterprise.11 The International Monetary Fund’s (IMF) ...
... as an investment involving a long-term relationship and reflecting a lasting interest in and control of an enterprise resident in an economy other than that of the investor. FDI inflows are capital provided by a foreign direct investor to an FDI enterprise.11 The International Monetary Fund’s (IMF) ...
Investors Guide To CMOs
... principal, or face amount, of the bond for a prescribed period of time in return for a specified annual rate of interest. The bondholder receives interest, generally in semiannual payments, until the bond is redeemed. When the bond matures or is called by the issuer, the issuer returns the “face va ...
... principal, or face amount, of the bond for a prescribed period of time in return for a specified annual rate of interest. The bondholder receives interest, generally in semiannual payments, until the bond is redeemed. When the bond matures or is called by the issuer, the issuer returns the “face va ...
Financial News
... “We continued to build momentum in 2016 towards becoming the number one retail and business bank in Canada in client experience, and we delivered above-market growth in both lending and deposits,” says David Williamson, SEVP and Group Head, Retail and Business Banking. “We will accelerate our transf ...
... “We continued to build momentum in 2016 towards becoming the number one retail and business bank in Canada in client experience, and we delivered above-market growth in both lending and deposits,” says David Williamson, SEVP and Group Head, Retail and Business Banking. “We will accelerate our transf ...
Investment fund
An investment fund is a way of investing money alongside other investors in order to benefit from the inherent advantages of working as part of a group. These advantages include an ability to: hire professional investment managers, which may potentially be able to offer better returns and more adequate risk management; benefit from economies of scale, i.e., lower transaction costs; increase the asset diversification to reduce some unsystemic risk.Terminology varies with country but investment funds are often referred to as investment pools, collective investment vehicles, collective investment schemes, managed funds, or simply funds. An investment fund may be held by the public, such as a mutual fund, exchange-traded fund, or closed-end fund, or it may be sold only in a private placement, such as a hedge fund or private equity fund. The term also includes specialized vehicles such as collective and common trust funds, which are unique bank-managed funds structured primarily to commingle assets from qualifying pension plans or trusts.Investment funds are promoted with a wide range of investment aims either targeting specific geographic regions (e.g., emerging markets or Europe) or specified industry sectors (e.g., technology). Depending on the country there is normally a bias towards the domestic market due to familiarity, and the lack of currency risk. Funds are often selected on the basis of these specified investment aims, their past investment performance, and other factors such as fees.