共查询到18条相似文献,搜索用时 15 毫秒
1.
Derek K.Y. Chau Michael Firth Bin Srinidhi 《Journal of Business Finance & Accounting》2006,33(9-10):1390-1401
Abstract: The purpose of this paper is to explain why leases have a purchase option and how the exercise price of this option is determined. We follow Demski and Sappington's (1991) approach by using a double moral hazard setting. One limitation of their model is that the agent has unlimited liability. The agent has to have enough wealth and the obligation to buy the firm when the principal decides to exercise the put option. In our paper, this problem is resolved by using a call option, which is a feature of many lease contracts. We show that leases with a purchase option can completely resolve the double moral hazard problem even if all the variables in the model are unverifiable. It is the threat of being the residual claimant that induces the lessor to provide an efficient level of effort. On the other hand, it is the opportunity of being the residual claimant that induces the lessee to maintain the asset efficiently. Finally, the model predicts that certain leased assets are not properly accounted for under the current accounting standards for leasing. 相似文献
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JASMINA HASANHODZIC LAURENCE J. KOTLIKOFF 《Journal of Money, Credit and Banking》2019,51(7):1815-1855
We simulate a 10‐period overlapping generations model with aggregate shocks to price safe and risky government obligations using consumption‐asset pricing. Agents cannot trade with future generations to hedge the model's productivity and depreciation shocks, and can only invest in one‐period bonds and risky capital. We find that the pricing of short‐ and long‐dated riskless obligations is anchored to the prevailing risk‐free return. The prices of obligations whose values are proportional to the prevailing wage are essentially identical to those of safe obligations, notwithstanding large macro shocks. On the contrary, government obligations in the form of options entail significant risk adjustment. 相似文献
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A vector autoregressive model is developed for predicting cash flow and returns in the private (unsecuritized) commercial property markets. The model predicts both of these variables quite well during the sample period. The forecasting model is then used to develop a simple buy/sell rule for identifying property market value peaks and troughs. An improved present value model, taking account of the predictability of property returns, is described and found to track historical market values much more closely than does either the appraisal-based index or the traditional present value model with constant expected returns. Analysis in this paper suggests that most of the change in commercial property market values has been due to changes in expected returns, rather than to changes in expected future operating cash flows. 相似文献
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This paper examines determinants of pass through from the market interest rate to bank retail deposit and loan rates. A dynamic adjustment cost model with imperfect competition implies that these rates depend on own lagged values and on lagged, current, and expected future values of the security rate. Greater competition in retail markets reduces the impact of lagged and expected rates on current retail rates while raising the effect of the current security rate, yielding greater pass through. These results have important implications for both the specifications used in empirical work and biases introduced into estimates of pass‐through effects. 相似文献
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Abstract: This paper presents closed form solutions to price secured bank loans and financial leases subject to default risk. Secured debt fair credit spreads always increase in the debtor's default probability, whereas financial leasing fair credit spreads may well decrease in the lessee's default probability and even be negative. The reason is that the lessor, unlike the secured lender, can gain from the lessee's default, especially when the leasing contract envisages initial prepayments or the lessee's terminal options to either purchase the leased asset or to extend the lease maturity. This result, which critically depends on contractual and bankruptcy code provisions, can explain some of the empirical evidence and the use of financial leases as an alternative to secured bank lending to finance small, risky and relatively opaque firms. 相似文献
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Emilio Barone Giovanni Barone-Adesi & Antonio Castagna 《European Financial Management》1998,4(2):231-282
The pricing of bonds and bond options with default risk is analysed in the general equilibrium model of Cox, Ingersoll, and Ross (1985). This model is extended by means of an additional parameter in order to deal with financial and credit risk simultaneously. The estimation of such a parameter, which can be considered as the market equivalent of an agencies' bond rating, allows to extract from current quotes the market perceptions of firm's credit risk. The general pricing model for defaultable zero-coupon bond is first derived in a simple discrete-time setting and then in continuous-time. The availability of an integrated model allows for the pricing of default-free options written on defaultable bonds and of vulnerable options written either on default-free bonds or defaultable bonds. A comparison between our results and those given by Jarrow and Turnbull (1995) is also presented. 相似文献
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Ren-Raw Chen Brian A. Maris & Tyler T. Yang 《Journal of Business Finance & Accounting》1999,26(1-2):33-55
To value mortgage-backed securities and options on fixed-income securities, it is necessary to make assumptions regarding the term structure of interest rates. We assume that the multi-factor fixed parameter term structure model accurately represents the actual term structure of interest rates, and that the values of mortgage-backed securities and discount bond options derived from such a term structure model are correct. Differences in the prices of interest rate derivative securities based on single-factor term structure models are therefore due to pricing bias resulting from the term structure model. The price biases that result from the use of single-factor models are compared and attributed to differences in the underlying models and implications for the selection of alternative term structure models are considered. 相似文献
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The purpose of this research is to provide a valuation formula for commodity spread options. Commodity spread options are
options written on the difference of the prices (spread) of two commodities. From the aspect of commodity contingent claims,
it is considered that commodity spread options are difficult to evaluate with accuracy because of the existence of the convenience
yield. Hence, the model of the convenience yield is the key factor to price commodity spread options. We use the concept of
future convenience yields to develop the model that enriches the stochastic behavior of convenience yield. We also introduce
Heath-Jarrow-Morton interest rate model to the valuation framework. This general model not only captures the mean reverting
feature of the convenience yield, but also allows us to handle a very wide range of shape that the term structure of convenience
yield can take. Therefore our model provides various types of models. The numerical analysis presented in this paper provides
some unique features of commodity spread options in contrast to normal options. These characteristics have never been addressed
in previous studies. Moreover, it suggests that the existing model overprice commodity spread options through neglecting the
effect of interest rates. 相似文献
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Laura Ballotta 《Quantitative Finance》2013,13(7):803-817
The aim of this paper is to provide an assessment of alternative frameworks for the fair valuation of life insurance contracts with a predominant financial component, in terms of impact on the market consistent price of the contracts, the embedded options, and the capital requirements for the insurer. In particular, we model the dynamics of the log-returns of the reference fund using the so-called Merton (1976) process, which is given by the sum of an arithmetic Brownian motion and a compound Poisson process, and the Variance Gamma (VG) process introduced by Madan and Seneta (1990), and further refined by Madan and Milne (1991) and Madan et al. (1998). We conclude that, although the choice of the market model does not affect significantly the market consistent price of the overall benefit due at maturity, the consequences of a model misspecification on the capital requirements are noticeable. 相似文献
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Tor Jacobson Jesper Lindé Kasper Roszbach 《Journal of Financial Services Research》2005,28(1-3):43-75
Under Basel II, retail and SME credit (R&SME) receive special treatment because of a supposedly smaller exposure to systemic
risk. Most research on this issue has been based on parameterized credit risk models. We present new evidence by applying
Carey's (Carey, Mark. “Credit Risk in Private Debt Portfolios.” Journal of Finance 53, no. 4 (1998), 1363–1387.) nonparametric Monte-Carlo resampling method to two banks' complete loan portfolios. By exploiting
that a sub-sample of all borrowers has been assigned an internal rating by both banks, we can compare the credit loss distributions
for the three credit types, and compute both economic and regulatory capital under Basel II. We also test if our conclusions
are sensitive to the definitions of R&SME credit. Our findings show that R&SME portfolios are usually riskier than corporate
credit. Special treatment under Basel II is thus not justified.
JEL classification: C14, C15, G21, G28, G33. 相似文献
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We analyze the potential role of indexed stock options in future pay‐for‐performance executive compensation contracts. We present a unified framework for index‐linked stock options, discuss their incentive effects, argue that indexation schemes based on the capital‐asset pricing model (CAPM) are the most suitable for executive compensation, and derive a subjective pricing model for the class of CAPM‐based indexed stock options. Contrary to earlier work, executives would not be motivated to take on investment projects with high idiosyncratic risk once their lack of wealth diversification and degree of risk aversion are factored into the analysis. 相似文献
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Daniel Sommer 《European Financial Management》1997,3(3):269-292
If calibrated to an observed term structure of interest rates that only covers a finite range of times-to-maturity an HJM-model of the term structure of interest rates will eventually die out in finite time as bonds reach maturity. This poses problems for the pricing and hedging of certain contingent claims. Therefore, we extend the HJM-model in such a way that it lives on an arbitrary time horizon and possesses term structures that cover a constant finite interval of times-to-maturity. We consider the pricing and hedging of contingent claims in this framework. 相似文献
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Alexander S. Cherny 《Finance and Stochastics》2007,11(4):537-569
The aim of the paper is to provide as explicit as possible expressions for upper/lower prices and for superhedging/subhedging
strategies based on discrete-time coherent risk measures. This is done on three levels of generality. For a general infinite-dimensional
model, we prove the fundamental theorem of asset pricing. For a general multidimensional model, we provide expressions for
prices and hedges. For a wide class of models, in particular, including GARCH, we give more concrete formulas, a sufficient
condition for the uniqueness of a hedging strategy, and a numerical algorithm.
相似文献
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The paper develops a general discrete-time framework for asset pricing and hedging in financial markets with proportional transaction costs and trading constraints. The framework is suggested by analogies between dynamic models of financial markets and (stochastic versions of) the von Neumann–Gale model of economic growth. The main results are hedging criteria stated in terms of “dual variables” – consistent prices and consistent discount factors. It is shown how these results can be applied to specialized models involving transaction costs and portfolio restrictions. 相似文献
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In this paper we describe a two-factor model for a defaultable discount bond, assuming log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hypothesis, we obtain an explicit barrier-type solution for zero recovery and constant recovery. We also present a numerical application for Argentinean and Brazilian Sovereign Bonds during the default crisis of Argentina.JEL Classification: G 13 相似文献