Previous empirical work suggests that, when using corporate bond indices, the yield spread sensitivity of corporate bonds to changes in the yield curve is negative and significant, especially for the A and BBB-rated bond categories. We use a sample of 5500 US corporate bonds to construct bond...

This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward...

Pushing models to extremes can expose output biases that stem from underlying assumptions. In the case of industry standard option valuation models, long term, high volatility securities provide a stress test vehicle. For instance, in evaluating a stock with 60% volatility, industry standard...

Over the last two decades, a number of financial disasters have occurred due to failure in risk management procedures. If some, as the Asian financial crisis, had a very much more muted global impact (even though they sent shock waves through global financial markets, the main damage were fairly...

The capital asset pricing model (CAPM) receives both criticism and widespread adoption by practitioners and academics as the weighted average cost of capital (WACC) equity component. This study introduces two new costs of equity measures to address CAPM criticisms and provide new perspective on...

In establishing the foundation of their investment process, global equity investors typically adopt a framework along geographic and/or industry dimensions. The chosen framework is then applied to the whole investment process including alpha generation, portfolio construction, and risk...

This study attempts analyse the different indices of ‘Bombay Stock Exchange' (BSE) of India, in terms of risk return characteristics and their relatedness and predictibility to address the relavite neglect of past studies. Further it investigates the volatility impact of different sub indices...

Cash flow from operations can be controlled using real options. In this normative paper, we derive numerically in a univariate discrete time model, extension of (Kulatilaka, 1988), the expanded NPV of an industrial investment and, simultaneously, state variable thresholds for the whole life of...

We derive a simple model of the market - an equation for investor return as a function of four variables. The model defines optimal dividend, investment, and share repurchase policy. The model confirms Tobin's proposition that the equilibrium market value of equity assets should equal the...

This article valorises the statistical theory of concentration-diversification in the field of the Romanian taxation, especially post-accession. Section 1 presents the main tax concepts and other general theoretical aspects from the theory of taxation, section 2 basically represents a brief...