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European global banks intermediating US dollar funds are important in influencing credit conditions in the United States. US dollar-denominated assets of banks outside the US are comparable in size to...
Noise, risk premium;and bubble
the market risk premium vector physical measure anomalous price dynamics
2011/3/30
The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerni...
Corporate cost of debt: the issue of premium or discount bonds
Cost of debt bonds capital amortization premium discount
2010/10/18
The traditional textbook method of calculating a corporation’s cost of debt capital tends
to minimize the practical process used to arrive at that cost. This is particularly true if the corporation h...
Risk-Sharing Externalities and Its Implications for Equity Premium in an Infinite-Horizon Economy
Risk-sharing externalities endogenous income risks incomplete market participation
2010/12/6
This paper examines asset prices when risk-sharing externalities are incorporated into an infinite-horizon model where consumers are exposed to the endogenous income risks. It is shown that there exis...
From the decompositions of a stopping time to risk premium decompositions
Random times classification of stopping times enlargements of filtrations
2010/11/3
We build a general model for pricing defaultable claims. In addition to the usual ab-
sence of arbitrage assumption, we assume that one defaultable asset (at least) looses value when the default occu...