Showing 1 - 7 of 7
One of the goals of the European Commission in the energy sector is creating a single competitive European market. The decision to liberalise energy markets has far-reaching consequences not only for gas companies, but also for the rest of the real economy in view of the fact that natural gas is...
Persistent link: https://www.econbiz.de/10011046783
The authors introduce an improved multi-factor credit risk model describing simultaneously the default rate and the loss given default. Their methodology is based on the KMV model, which they generalize in three ways. First, they add a model for loss given default (LGD), second, they bring...
Persistent link: https://www.econbiz.de/10010686517
Persistent link: https://www.econbiz.de/10010053228
<p> <p><span style="font-size: 12.000000pt; font-family: 'CMR12';">The present special issue of the Bulletin of the Czech Econometric Society is devoted to approximation of stochastic programming problems with special regard to empirical estimates. The issue is being published at the occasion of an important jubilee of our dear colleague Vlasta Kankova who...</span></p></p>
Persistent link: https://www.econbiz.de/10011152554
We analytically prove that the tails of the price increments in the model by Smith et al. [2003] are fat with the tail exponent one if the initial order books are empty; however, they become thin if an initial call auction is held before the start of the trading. This way, our results point out...
Persistent link: https://www.econbiz.de/10008528862
We examine the continuous time portfolio selection problem involving limit orders; we show that this problem reduces to the corresponding problem without limit orders.
Persistent link: https://www.econbiz.de/10008528882
Persistent link: https://www.econbiz.de/10008238014