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Customer Equity Sustainability Ratio: A New Metric for Assessing a Firm's Future Orientation
customer equity financial reporting sustainability securitization financial crisis customer equity
2011/8/20
Securitization is a remarkable financial instrument; it enables securitizers to increase their short-term profits at the expense of the long-term value of their customer base. This ability might be te...
Marking Systemic Portfolio Risk with Application to the Correlation Skew of Equity Baskets
Marking Systemic Portfolio Risk the Correlation Skew of Equity Baskets
2011/1/4
The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to have high correlatio...
Amid the current financial crisis, there has been one equity index beating all others: the Shanghai Composite. Our analysis of this main Chinese equity index shows clear signatures of a bubble build u...
Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
Credit Derivatives Structural Models Black Cox Model Credit Default Swaps
2010/11/3
In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to cal-ibrate the model using a chosen number of Cred...