Financial performance evaluation is intimately linked to risk measurement methodologies. There exists a well-developed literature on axiomatic and operational characterization of measures of performance. Hinged on the duality between coherent risk measures and reward associated with investment strategies, we investigate representation of acceptability indices of performance using expectile-based risk measures that recently attracted a lot of attention inside the financial and actuarial community. We propose two purely expectile-based performance ratios other than the classical gain-loss ratio and the Omega ratio. We complement our analysis with elicitability of expectile-based acceptability indices and their conditional version accounting for new information flow.
The dance metaphor allows us to figuratively depict entrepreneurial decision making processes. Being conventionally conceived of as a sequence of purposeful behaviors rooted in a rational cognition process, entrepreneurial decision making can be featured as a ‘ballet’. This interpretation puts in the background the improvisational nature of decision making, which revokes ‘lindy hop’ as a dance style. The article intends to illuminate the role of intuition, highlighting its overlap with rationality in the entrepreneurial decision making dance. For this purpose, a bibliometric analysis followed by an interpretive literature review advances a comprehensive report of 66 peer-reviewed journal articles published from 1995 to 2019, constructing evidence on the nature of entrepreneurial decision making and on the interplay between intuition and rationality. Literature is categorized in five clusters, which are reciprocally intertwined. Firstly, intuition is unconsciously used as a strategy to deal with the uncertainty that inherently affects entrepreneurial ventures. Secondly, intuition is rooted in the entrepreneurs’ impulsivity, that echoes the role of emotions in decision making. Thirdly, the merge of rationality and intuition improves the entrepreneurs’ ability to keep up with the erratic rhythm of the decision making dance. Fourthly, the mix of intuition and rationality serves as a catalyst of entrepreneurs’ ability to thrive in complex and unpredictable environments. Fifthly, intuition generates drawbacks on entrepreneurs’ meta-cognitive knowledge, which should be carefully recognized. Embracing the dance metaphor, intuition turns out to be crucial to make entrepreneurs able to fill in the gap between rationality and uncertainty.
We introduce the two-dimensional shifted square-root diffusion (SSRD) model for interest-rate and credit derivatives with (positive) stochastic intensity. The SSRD is the unique explicit diffusion model allowing an automatic and separated calibration of the term structure of interest rates and of credit default swaps (CDSs), and retaining free dynamics parameters that can be used to calibrate option data. We propose a new positivity preserving implicit Euler scheme for Monte Carlo simulation. We discuss the impact of interest-rate and default-intensity correlation and develop an analytical approximation to price some basic credit derivatives terms involving correlated CIR processes. We hint at a formula for CDS options under CIR + + CDS-calibrated stochastic intensity.Received: March 2004, Mathematics Subject Classification (2000):
60H10, 60J60, 60J75, 91B70JEL Classification:
G13 相似文献
We propose a flexible framework for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDSs) and European, American and Bermudan CDS options. The default of the underlying reference entity is modelled within a doubly stochastic framework where the default intensity follows a CIR++ process. We estimate the model parameters through a combination of a cross sectional calibration-based method and a historical estimation approach. We propose a numerical procedure based on dynamic programming and a piecewise linear approximation to price American-style knock-out credit options. Our numerical investigation shows consistency, convergence and efficiency. We find that American-style CDS options can complete the credit derivatives market by allowing the investor to focus on spread movements rather than on the default event. 相似文献
ABSTRACTThe link between social relations and psychological wellbeing is well established in sociological and mental health studies. Since the beginning of the 2000s, this link has been garnering new attention and interest in economic and public health studies. Almost twenty years of empirical studies testing this relationship have established contrasting results for two main reasons. First, the majority of the studies are based on cross-sectional data, leaving out endogeneity and heterogeneity problems; second, mental health measurements are often discordant from each other. This study investigates the relationship between structural social capital and individual self-rated mental health using five waves of the British Household Panel Survey from 1991 to 1995 (unbalanced panel N = 44,684). We take into account the heterogeneity and endogeneity issues and implement fixed effects and lag-dependent variable estimations. Moreover, we used different methodologies to measure mental health as a robustness check. Our findings show the existence of a negative relationship between being both a member of and active in an organization and worse mental health. In addition, being active within an organization in the previous year has a negative effect on worse mental health in the following year. 相似文献
In this work, we consider three problems of the standard market approach to credit index options pricing: the definition of the index spread is not valid in general, the considered payoff leads to a pricing which is not always defined, and the candidate numeraire for defining a pricing measure is not strictly positive, which leads to a nonequivalent pricing measure. We give a solution to the three problems, based on modeling the flow of information through a suitable subfiltration. With this we consistently take into account the possibility of default of all names in the portfolio, that is neglected in the standard market approach. We show on market inputs that, while the pricing difference can be negligible in normal market conditions, it can become highly relevant in stressed market conditions, like the situation caused by the credit crunch. 相似文献
As the assumption of normality in return distributions is relaxed, classic Sharpe ratio and its descendants become questionable tools for constructing optimal portfolios. In order to overcome the problem, asymmetrical parameter-dependent performance ratios have been recently proposed in the literature. The aim of this note is to develop an integrated decision aid system for asset allocation based on a toolkit of eleven performance ratios. A multi-period portfolio optimization up covering a fixed horizon is set up: at first, bootstrapping of asset return distributions is assessed to recover all ratios calculations; at second, optimal rebalanced-weights are achieved; at third, optimal final wealth is simulated for each ratios. Eventually, we make a robustness test on the best performance ratios. Empirical simulations confirm the weakness in forecasting of Sharpe ratio, whereas asymmetrical parameter-dependent ratios, such as the Generalized Rachev, Sortino–Satchell and Farinelli–Tibiletti ratios show satisfactorily robustness. 相似文献
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework presented in Pallavicini et al. [Funding valuation adjustment: FVA consistent with CVA, DVA, WWR, collateral, netting and re-hyphotecation, 2011], and the related collateralized valuation measure, can be helpful in defining the key market rates underlying the multiple interest rate curves that characterize current interest rate markets. A key point is that spot Libor rates are to be treated as market primitives rather than being defined by no-arbitrage relationships. We formulate a consistent realistic dynamics for the different rates emerging from our analysis and compare the resulting model performances to simpler models used in the industry. We include the often neglected margin period of risk, showing how this feature may increase the impact of different rates dynamics on valuation. We point out limitations of multiple curve models with deterministic basis considering valuation of particularly sensitive products such as basis swaps. We stress that a proper wrong way risk analysis for such products requires a model with a stochastic basis and we show numerical results confirming this fact. 相似文献
In a dynamic patent race model we analyze the formation and breakup of joint ventures in relation to: (a) the relative as well as absolute position of the firms in the race; (b) the degree of competition in the ex post market. Fudenberg et al. (1983) studied the main features of a patent race when firms compete in R&D, showing that firms in the same position compete fiercely, dissipating the rent from innovation. By contrast, we show that if firms can cooperate or compete in R&D, and if they start in the same position, they cooperate at the outset but break their agreement in the last stage if they will be serious competitors in the downstream market, while, if they can collude in the ex post market, they cooperate from the outset and they innovate jointly. When the firms are lagged by one step, cooperation does not take place, except in the case the value of the race is negative and the cost saving due to cooperation is large. However, cooperation never occurs if the leader is more than one step ahead. Finally, when the firms cooperate in R&D they proceed to the discovery at low speed. We test these conclusions via experiments on the incentive to cooperate during the course of a race. The results of a sample of 86 races support our theoretical conclusions, although the experimental findings are less clear-cut than the theoretical ones. 相似文献
