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This paper classifies statistical methodologies available for the marketrisk measurement. With the help of the weighted likelihood, a broad class ofnon-normal distributions, which are not generally considered so far, areapplied to possibly hetero-scedastic financial variables. The approach is compared with popular procedures such as GARCH and J. P. Morgan's using daily dataof 12 financial variables. 相似文献
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There is an apparent theoretical discrepancy between the effects of monetary policy shocks on economies with differently competitive banking sectors. We employ cross-country data to investigate this hypothesis with two different approaches. First, using aggregate data we analyze the correlation between two indices: (i) a cumulative impulse response function providing an index of the effect of monetary policy shocks; and (ii) Panzar and Rosse's H-statistic as an index of the state of bank competition. Second, using disaggregated data we regress bank lending on the interaction of bank competition and monetary policy shocks. The first approach does not provide any evidence of a relationship between monetary policy shocks and bank competition. However, the second approach suggests that competition in the banking industry leads to smaller monetary policy effects on bank lending. 相似文献
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Masakazu Miura Kenichiro Tamaki Takayuki Shiohama 《Asia-Pacific Financial Markets》2013,20(4):311-344
In the context of credit risk, the term structure models that have been studied in the literature are typically models driven by Brownian motion or standard jump diffusions. These models provide coherent modeling that is straightforward to implement. To make these models more flexible, we develop a discrete-time approximation of a continuous-time Vasicek term structure analysis with non-Gaussian and dependent innovations. Higher-order asymptotic theory enables us to evaluate the term structures of defaultable bonds. Numerical examples show that the effects of non-Gaussianity and the dependency of both risk-free rate and default process strongly influence the evaluation of defaultable bonds. As an application, we estimate the parameters of our proposed models for the Japanese corporate credit default swap market. 相似文献
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At the maturity, the owner of a commodity-linked bond has the right to receive the face value of the bond and the excess amount
of spot market value of the reference commodity bundle over the prespecified exercise price. This payoff structure is an important
characteristic of the commodity-linked bonds. In this paper, we derive closed pricing formulae for the commodity-linked bonds.
We assume that the reference commodity price and the value of the firm (bonds' issuer) follow geometric Brownian motions and
that the net marginal convenience yield and interest rate follow Ornstein–Uhlenbech processes. In the appendix, we derive
pricing formulae for bonds which are the same as the above commodity-linked bonds, except that the reference commodity price
in the definition of the payoff at the maturity is replaced by the value of a special asset which depends on the convenience
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This revised version was published online in August 2006 with corrections to the Cover Date. 相似文献
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In this paper, we will give a new framework of barrier options to generalize`Parisian Option' and `Delayed Barrier Option'. Take a stopping time asthe caution time. When occurs, derivatives are given `Caution'. After, if K.O. time =() occurs, derivative contractsvanish. We simply say that first `Caution' second `K.O.'. Using thisframework, designs of barrier options become more flexible than before and newrisk management will be possible. New barrier options in this category arecalled Edokko Options or Tokyo Options. 相似文献
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