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1.
Vlad Bally Lucia Caramellino Antonino Zanette 《Decisions in Economics and Finance》2006,29(2):121-137
Abstract
The problem of numerically pricing credit default index swaptions on a large number of names is considered. We place ourselves
in a stochastic intensity framework, where Ornstein-Uhlenbeck-type correlated processes are used to model both firms’ distance
to default and a macroeconomic state variable. Here the default of the firms’ follows the reduced-form approach and the (random)
intensity of the default depends on the behavior of the diffusion processes. We propose here a numerical method based on both
a Monte Carlo and a deterministic approach for solving PDEs by finite differences. Numerical tests demonstrate the efficiency
and the robustness of the proposed procedure. 相似文献
2.
Consider an estimate of the common value of an auctioned asset that is symmetric in the bidders’ types. Such an estimate can
be represented solely in terms of the order statistics of those types. This representation forms the basis for a pricing rule
yielding truthful bidding as an equilibrium, whether bidders’ types are affiliated or independent. We highlight the link between
the estimator and full surplus extraction, providing a necessary and sufficient condition for ex-post full surplus extraction, including the possibility of independent types. The results offer sharp insights into the strengths
and limits of simple auctions by identifying the source of informational rents in such environments.
Harstad acknowledges hospitable accommodation by the Fuqua School of Business, Duke University, and the Olin School of Business,
Washington University in St. Louis, during parts of this research. We are grateful for comments and suggestions from Richard
McLean and Jeroen Swinkels. 相似文献
3.
Vlad Jenkins 《实用企业财务杂志》2011,23(2):59-68
Since 2008, Risk‐Reward Views have been the basis for the recommendations on all the stocks covered by Morgan Stanley's equity research analysts globally. The firm's analysts use this systematic approach to communicate a broader range of fundamental insights about expected returns and risks, and to articulate more clearly the logic underlying their price targets and calls, and the level of conviction associated with them. The rationale for this approach is to align the firm's research product with its clients' thinking and investment discipline while also creating a link between traditional equity analysis and widely accepted principles of modern portfolio management. Too many sell‐side analysts still try to manifest expertise and conviction with one‐sided investment theses backed by single‐point estimates and “table pounding.” That does a disservice to investors who are looking to sell‐side analysts for an ongoing dialogue about the future with experts on company fundamentals. Risk‐Reward Views are designed to produce a more complete view of the risk‐reward trade‐off in a given stock. They are meant to supplement the use of quant‐only risk models that, while offering at least the illusion of precision, are also often opaque and backward looking. The approach aims to increase transparency while avoiding unnecessary complexity by focusing on a handful of critical uncertainties and modeling a manageable number of coherent scenarios that are relevant to investor debates and cover a full range of plausible outcomes. This article focuses on the theoretical underpinnings of the department's Risk‐Reward initiative. For a more detailed discussion of the institutional setting and the processes followed to implement these ideas, readers are referred to the recently published Harvard Business School case study, “The Risk‐Reward Framework at Morgan Stanley Research” (Harvard Business School Case N9–111–011). 相似文献
4.
We examine theoretically and experimentally two countervailing effects of industry concentration in common value auctions.
Greater concentration of information among fewer bidders reduces competition but increases the precision of private estimates.
We demonstrate that this generally leads to more aggressive bidding. However, the reduction in competition dominates the informational
effects, resulting in lower prices. We examine these hypothesized effects experimentally by conducting a series of auctions
with constant informational content but distributed among a varying number of bidders. The experimental results are consistent
with our theoretical predictions.
The authors would like to thank Octavian Carare, Eric Friedman, Luke Froeb, Ron Harstad, Toshi Iizuka, Mike Rothkopf, Charles
Thomas, and two anonymous referees, for many useful comments and suggestions. 相似文献
5.
Many firms cite financial constraints as some of the most important impediments to their investment and growth. Using a unique
data set from the Czech Republic this paper investigates the importance of financing constraints in the context of exporters.
It finds that exporters are less financially constrained than non-exporters. However, after carefully correcting for possible
endogeneity and selection issues, the evidence points to less constrained firms self-selecting into exporting rather than
exporting alleviating firms’ financial constraints. 相似文献
6.
We consider how information concentration affects a seller’s revenue in common value auctions. The common value is a function of $n$ random variables partitioned among $m \le n$ bidders. For each partition, the seller devises an optimal mechanism. We show that whenever the value function allows scalar sufficient statistics for each player’s signals, the mechanism design problem is well-defined. Additionally, whenever a common regularity condition is satisfied, a coarser partition always reduces revenues. In particular, any merger or collusion among bidders reduces revenue. 相似文献
7.
Rules of evidence and liability in contract litigation: The efficiency of the General Dynamics rule 下载免费PDF全文
Vlad Radoias Simon J. Wilkie Michael A. Williams 《Journal of Public Economic Theory》2017,19(6):1154-1165
We examine rules of evidence and liability in contract litigation. When a contractor fails to perform, it has a legal defense that the buyer withheld private information relevant to the performance of the contract. Suppose the buyer claims that admitting evidence for the defense would compromise a valuable secret, for example, a state secret, what should the legal rule be? We show that the evidentiary rules introduced by the Supreme Court in General Dynamics v. U.S. lead to a more efficient outcome than either a strict liability rule or an evidentiary rule requiring the disclosure of the buyer's private information. 相似文献
8.
Vlad Tarko 《The Review of Austrian Economics》2013,26(3):329-345
The Austrian theory of entrepreneurship emphasizes the importance of epistemic heterogeneity and the unlistability of the set of all possibilities. A similar concern with what has been called “the art of choosing the space of possibilities” is an important part of Bayesian model selection. Both Austrian and Bayesian authors view the common knowledge assumption as an unrealistic and unnecessary restriction. This coincidence of concerns leads to a joint theory of entrepreneurship. Three important benefits result from this merger: (1) the ability to use Itti & Baldi’s Bayesian theory of surprise to empirically measure radical surprise and improve the Betrand competition model as a consequence, (2) dealing with the unlistability problem, and (3) better understanding why the emergence of common knowledge is always the outcome of a social process rather than an inherent consequence of “rationality”. 相似文献
9.
Vlad Ivanenko 《Post - Communist Economies》2013,25(1):21-38
This article places non‐monetary trade (NMT), the persistent growth of which in Russia in 1992–98 economists have struggled to explain, within the framework of the credit channel of monetary policy. It shows that producers resorted to NMT responding to increases in the cost and the unavailability of external funds. The article traces the origins of structural breaks in the NMT trend to shifts in state policy that affected financial markets and its transitory fluctuations to temporary shocks in the demand for goods. It concludes that there is significant evidence supporting the existence of the credit channel in the Russian transition. 相似文献
10.