This supplemental appendix accompanies "Optimal Electricity Distribution Pricing under Risk and High Photovoltaics Penetration" by the same authors, available at:http://ssrn.com/abstract=3701852. This appendix contains the proof of theorems omitted in the main text

We model a hierarchical Stackelberg game in a competitive power market under high behind-the- meter Photovoltaics (PV) penetration and demand-side uncertainty, with emphasis on the feedback loop between distributed generation via PV and power prices. The Stackelberg leader, who is the government...

In a crisis, when faced with insolvency, banks can sell stock in a dilutive offering in thestock market and borrow money in order to raise funds. We propose a simple model to find themaximum amount of new funds the banks can raise in these ways. To do this, we incorporatemarket confidence of the...

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and may be potentially disconnected. We solve a representative investor's optimal asset allocation and derive the resulting conditional equity premium and risk-free rate in...

We discuss the valuation of credit derivatives in extreme regimes such as when the time-to-maturity is short, or when payoff is contingent upon a large number of defaults, as with senior tranches of collateralized debt obligations. In these cases, risk aversion may play an important role,...

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and may be potentially disconnected. We solve a representative investor's optimal asset allocation and derive the resulting conditional equity premium and risk-free rate in...

In this paper, we present an intensity-based common factor model that is used to analyze the valuation of common systematic risks in multi-name credit and equity markets. In particular, we use a hybrid intensity model to price single-name credit instruments such as credit default swaps (CDSs),...