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Is the Pricing Kernel U-Shaped?
Schweri, Urs - National Centre of Competence in Research - Financial … - 2011
There is strong empirical evidence that the pricing kernel is Ushaped,which provides a way to explain the substantial … coskewnesspremium. Existing studies typically use a polynomial approximationof the pricing kernel. Problematically, these polynomials …
Persistent link: https://www.econbiz.de/10009418982
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Asset pricing and default risk
Breig, Christoph - 2011
Persistent link: https://www.econbiz.de/10008779050
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Pricing and risk management of synthetic CDOs
Schlösser, Anna - 2011
Persistent link: https://www.econbiz.de/10008797619
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Pricing and Risk Management of Synthetic CDOs
Schlösser, Anna - 2011
This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO …
Persistent link: https://www.econbiz.de/10014015252
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The impact of cash flow management versus accruals management on credit rating performance and usage
Zhang, Eliza Xia - In: Review of quantitative finance and accounting 54 (2020) 4, pp. 1163-1193
Persistent link: https://www.econbiz.de/10012233122
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Downside variance premium, firm fundamentals, and expected corporate bond returns
Huang, Tao; Jiang, Liang; Li, Junye - In: Journal of banking & finance 154 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014488900
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Impact of soft information in loan pricing on default prediction using machine learning
Luong, Thi Mai; Scheule, Harald; Wanzare, Nitya - 2023
Persistent link: https://www.econbiz.de/10014470089
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Impact of mortgage soft information in loan pricing on default prediction using machine learning
Luong, Thi Mai; Scheule, Harald; Wanzare, Nitya - In: International review of finance : the official journal … 23 (2023) 1, pp. 158-186
Persistent link: https://www.econbiz.de/10014251350
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Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk : application of Mellin transform methods
Ma, Zonggang; Ma, Chaoqun; Wu, Zhijian - In: Review of derivatives research 25 (2022) 1, pp. 47-91
Persistent link: https://www.econbiz.de/10013191382
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Risk-adjusted loan pricing
Fiordelisi, Franco; Palego, Carlo; Richetto, Annalisa; … - In: Risk management magazine 17 (2022) 3, pp. 8-24
We analyze what are the main pricing components for performing loans. By exploiting a survey conducted by the authors … in AIFIRM (2021), we provide empirical evidence about whether and to what extent various pricing criteria are related to … risk-adjusted profitability measures in the pricing, while it is negatively linked to higher market competition, a …
Persistent link: https://www.econbiz.de/10013501174