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Discussion of “Financial Crises and Risk Premia” by Tyler Muir
Financial Crises Risk Premia Tyler Muir
2014/3/18
Figure 7: I plot the log of the ratio of intermediary equity to GDP (black line, right axis,
decreasing scale) which is the state variable in the model, along with the subsequent 5 year
excess retur...
Discussion of "Financial Crises and Risk Premia"。
Risk premia in multi-national enterprises
MNE firm valuation DCF CAPM risk premium transfer pricing
2014/6/23
The CAPM implies that investors require equity riskpremia when choosing risky investments and therefore demand higher returns to equity invested if higher risk is present. This should ap...
MONETARY POLICY EFFECTS ON FINANCIAL RISK PREMIA
financial risk premia monetary policy equilibrium model central bank
2011/8/21
The effect of monetary policy on financial risk premia is analysed in a simple general equilibrium model with sticky wages and an optimizing central bank. Analytical results show that equity risk prem...
Credit risk premia and quadratic BSDEs with a single jump
Backward Stochastic Differential Equations (BSDE) defaultable contingent claims progressive enlargement of filtrations utility maximization
2010/11/1
This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles.Assuming exponential utility preferences we derive r...
In this paper we introduce a simple continuous-time asset pricing framework, based on general multidimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification f...
Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities in the UK
Asset pricing risk premium macroeconomic volatility stochastic discount factor model
2010/9/7
This paper uses the exponential GARCH-in-mean model to analyse the relationship between the equity risk premium and macroeconomic volatility. This premium depends upon conditional volatility, which is...