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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.
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
4.
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
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.
The article takes as a starting point Herman Kahn's concept of a process-based approach to future-oriented knowledge aggregation and integration and discusses the opportunities created by Internet technologies to achieve the goal envisioned by such a model. The article briefly introduces a general framework for analyzing knowledge aggregation, the use of various aggregation mechanisms as well as aggregation systems that rely either on human facilitators (meta-experts) or on computer algorithms. Available online instruments for knowledge aggregation and expert challenge are presented and the possibility of using them for setting up “virtual think tanks” for foresight studies is explored. 相似文献
7.
As government-mandated lockdowns and steep declines in trade set in because of the COVID-19 pandemic, a common theme became apparent in the advertising of the time: It was all the same. Regardless of the product category or brand personality, many ads were remarkably similar. They began with melancholy music, voiceovers reminding the audience that the brand is here for them, and referred to these times as “unprecedented” and “extraordinary.” Ads reassured viewers that “together, we can get through this.” In this installment of Marketing & Technology, we articulate the problem of advertising sameness and explore how and why it likely arises during a time of crisis. We then discuss why advertising uniformity is a problem and present a series of strategic, media, and creative considerations—taking into account the constraints of a crisis— to help marketing professionals produce more effective advertising in the context of a disaster. 相似文献
8.
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
9.
10.
In times of economic uncertainty, fluctuating currency exchange, increasing wine production and competition from new or established wine-producing regions, wineries must overcome many obstacles to produce, market and ultimately benefit from wine production. Educating winery visitors and other potential consumers is one among different key strategies wineries' management could undertake to build relationships, brand loyalty, and maximise any opportunities to obtaining benefits, including from wine tourism. In gathering data from wineries located predominantly in Italy and Spain, the study provides an international perspective on wineries' educational initiatives. Guided tours, product tastings and showcasing production processes are the most common approaches to educating their visitors and wine consumers. In spite of these initiatives, winery entrepreneurs categorise their educational efforts as modest, suggesting that these are not being fully exploited or maximised. In addition, few of the comments emphasise the importance of educational experiences with regard to the region or local tourism. Given the important role wineries have as product and service providers in many rural areas and tourist destinations, the study's findings have several important implications for winery entrepreneurship and for wine tourism. 相似文献