Showing 1 - 10 of 167
We show that, when allowing for general distributions of dividend growth in a Lucas economy with multiple "trees," idiosyncratic volatility will affect expected returns in ways that are not captured by the log linear approximation. We derive an exact expression for the risk premia for general...
Persistent link: https://www.econbiz.de/10013208593
deriving more accurate estimators of time-varying forecast confidence intervals. On the basis of CDO, MBS and Pfandbrief …
Persistent link: https://www.econbiz.de/10010316228
Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the names in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches...
Persistent link: https://www.econbiz.de/10010318769
-parameter model incorporates the fact that the risky assets of the CDO pool are chosen from six different industry sectors. The …
Persistent link: https://www.econbiz.de/10010274153
years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three … Archimedean copulae (HAC) whose construction allows for the fact that the risky assets of the CDO pool are chosen from six …
Persistent link: https://www.econbiz.de/10010274189
dieser Basis die durch dynamische Veränderungen des Liquiditätsrisikos bedingten Spread- und Marktwertveränderungen von CDO … CDO-Tranchen simulationsgestützt aufgezeigt werden. …
Persistent link: https://www.econbiz.de/10010427771
We propose a reduced form model for default that allows us to derive closed-form solutions to all the key ingredients in credit risk modeling: risk-free bond prices, defaultable bond prices (with and without stochastic recovery) and probabilities of survival. We show that all these quantities...
Persistent link: https://www.econbiz.de/10010281181
. Die CIO-Funktion wird durch die Verankerung in der Leitungsebene der Funktion des Chief Digital Officers (CDO) aus der …
Persistent link: https://www.econbiz.de/10015165770
Conditional heteroskedasticity of the error terms is a common occurrence in financial factor models, such as the CAPM and Fama-French factor models. This feature necessitates the use of heteroskedasticity consistent (HC) standard errors to make valid inference for regression coefficients. In...
Persistent link: https://www.econbiz.de/10014278560
I consider linear panel data models with unobserved factor structures when the number of time periods is small relative to the number of cross-sectional units. I examine two popular methods of estimation: the first eliminates the factors with a parameterized quasi-long-differencing (QLD)...
Persistent link: https://www.econbiz.de/10014451097