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In: American economic review, Band 98, Heft 2, S. 291-296
ISSN: 1944-7981
In: Journal of post-Keynesian economics, S. 1-17
ISSN: 1557-7821
SSRN
In: Journal of economic dynamics & control, Band 73, S. 354-372
ISSN: 0165-1889
In: Asian Development Bank Economics Working Paper Series No. 486
SSRN
Working paper
In: IMF Working Papers
The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework (""Systemic CCA"") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector ri
In: IMF Working Paper No. 13/54
SSRN
In: Panoeconomicus: naučno-stručni časopis Saveza Ekonomista Vojvodine ; scientific-professional journal of Economists' Association of Vojvodina, Heft 00, S. 19-19
ISSN: 2217-2386
Credit ratings have become open to dispute in recent years regarding their
objectivity, timeliness, and the criteria considered in the assignment
process, which resulted in an inclination toward other methods to measure
credit risk. This study applies contingent claims analysis, a novel risk
analysis technique, in Turkey to assess their credit risk appropriately and
investigate the determinants of the sovereign credit risk correctly. While
the technique has been applied in Turkey before, the study contributes to
the results of the preceding literature by applying the technique at a wider
spectrum in terms of regarding the assessed risk indicators, time horizon
considered, diagnosis tests, and sensitivity analyses. Risk indicators are
calculated by applying this method to Turkey between July 2009 and December
2020. Results highlight that the movements in the risk indicators reflect
the market. To ensure robustness, the Spearman rank-order correlations of
the model risk measures with three market indicators are calculated, and
sensitivity analyses are done. The credit default swaps are found to be
correlated with all of the model risk measures, while the distance to
distress is correlated with sovereign bond spreads, affirming model
robustness. Analysis results highlight that among the variables for which
sensitivities are assessed, changes occurring in the volatility of local
currency liabilities heavily impact the risk indicators. Hence, the
contingent claims approach model is robust in considering the correlations
of model risk indicators with actual market data. Therefore, the model can
be used in policymaking for realistic results.
In: World scientific reference on contingent claims analysis in corporate finance 4
In: Financial Management Association International Annual Meeting, October 1995, New York
SSRN
In: Review of agricultural economics: RAE, Band 15, Heft 3, S. 547
ISSN: 1467-9353
In: Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration, Band 5, Heft 3, S. 55-61
ISSN: 1936-4490
AbstractThis paper provides a unifying review of the literature in the contingent claims area. It provides a relatively simple derivation of the differential equation which all securities must satisfy. It also shows how the usual risk neutral valuation arguments can be extended to cover the situation where one or more state variables are not traded. It demonstrates that many of the results which have been produced in the last fifteen years are particular cases of a more general result.RésuméCet article apporte une vision unifiée de la documentation en matière d'évaluation des réclamations éventuelles. Ilfournit une dérivation relativement simple de l'équation différentielle à laquelle toutes les valeurs mobilières doivent satisfaire. II montre aussi comment les arguments habituellement invoqués par l'évaluation qui neutralise le facteur risque peuvent ětre appliqués à la situation dans laquelle I'une ou plusieurs des variables exprimées ne sont pas négociées. II démontre qu'un grand nombre des résultats produits au cours des quinze dernières années ne sont quedes cas particuliers d'un résultat plus général.
SSRN
In: Journal of economic dynamics & control, Band 16, Heft 3-4, S. 561-573
ISSN: 0165-1889