fixed income unless the value of the bank’s assets falls below a predetermined threshold. In such an event, the debt … obligation is automatically converted to the bank’s common equities. By using a contingent claims valuation approach we present … bank that includes DES or alternatively subordinated debt in its capital structure. We compare and evaluate quantitatively …

We examine whether two commonly used indicators of bank fragility, the subordinated debt spread and KMV’s distance to … signals bank fragility earlier than the subordinated debt spread. Also, the spread is affected by the implicit safety net of … the bank. Finally, the results suggest that the indicators may add marginal value to accounting information through a …

principle, to arbitrage. However, this arbitrage cannot be implemented in practice because of transaction costs. We suggest that …

In securities markets, the characterisation of the absence of arbitrage by the existence of state price deflators is … framework. We apply this results to the characterization of the no-arbitrage assumption in a general intertemporal framework. …

give a new definition for arbitrage and characterize it. We then prove a theorem that can be seen as an extension of the …

frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and … by arbitrage follows from there. Contingent claims can be priced by taking their expected value with respect to an … equivalent martingale measure. If this value is unique, the claim is said to be priced by arbitrage. The new probabilities can be …

If co-existing parallel markets are efficient, then arbitrage will maintain a correct pricing relationship. A related … (with transaction costs), in which price differences are studied using levels of arbitrage activity. For the empirical …-the-counter system). In particular, we study the degree of arbitrage activity for different segments of the PSE and the evolution of …