搜索结果: 1-15 共查到“理论经济学 Valuation”相关记录34条 . 查询时间(0.047 秒)
Improving Air Quality in Metropolitan Mexico City: An Economic Valuation
Economic Valuation Metropolitan Mexico
2015/9/18
Mexico City has for years experienced high levels ofozone and particulate air pollution. In 1995-99 the entire population of the Mexico City metropolitan area was exposed to annual average concentrati...
Can Analysts Assess Fundamental Risk and Valuation Uncertainty?An Empirical Analysis of Scenario-Based Value Estimates
Analyst Forecasts Scenarios Uncertainty Risk and Uncertainty Valuation
2015/4/27
We use a dataset of sell-side analysts' scenario-based valuation estimates to examine whether analysts reliably assess the risk surrounding a firm's fundamenatal value. We find that the spread in anal...
Wrong-way risk in credit and funding valuation adjustments
Wrong-way risk credit and funding valuation adjustments
2012/9/14
Wrong-way risk in counterparty and funding exposures is most dramatic in the situations of systemic crises and tails events. A consistent model of wrong- way risk (WWR) is developed here with the ...
Interest Rate Risk of Bond Prices on Macedonian Stock Exchange - Empirical Test of the Duration, Modified Duration and Convexity and Bonds Valuation
Treasury Bonds risk-free valuation intrinsic value duration, convexity
2012/9/14
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determi...
Valuation and parity formulas for exchange options
Valuation and parity formulas exchange options
2012/9/14
Valuation and parity formulas for both European-style and American-style exchange options are presented in a general financial model allowing for jumps, possibility of default and bubbles in asset pri...
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation criticality of leverage Risk Management
2012/4/28
The practice of valuation by marking-to-market with current trading prices is seriously flawed. Under leverage the problem is particularly dramatic: due to the concave form of market impact, selling a...
The valuation of special purpose vehicles by issuing structured credit-linked notes
market and credit risk analytic formulas Special Purpose Vehicle spot rate and equity index market
2011/9/2
With the intersection of market and credit risk, the first contribution is to derive the analytic formulas of the Credit Linked Notes (CLNs) and the leveraged total return CLNs issued by an Special Pu...
VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS
Black formula credit default index swap Credit default swap credit default swaption hedging
2011/8/22
The paper provides simple and rigorous, albeit fairly general, derivations of valuation formulae for credit default swaptions and credit default index swaptions. Results of this work cover as special ...
Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox
Risk neutral martingale derivatives efficient market bubble
2011/7/4
This paper highlights the role of risk neutral investors in generating endogenous bubbles
in derivatives markets.We propose the following theorem. A market for derivatives, which has all the
feature...
Estimate the Forest Recreational Values of Zhangjiajie in China Using a Contingent Valuation Method
Forest Recreation Recreational Values Contingent Valuation Method Zhangjiajie
2013/2/25
Zhangjiajie, a World Natural Heritage, is located in Chinese Wuling hinterland and rich in forest resources with cov-erage rate 64.61 percent of forest. Zhangjiajie was listed in World Natural Heritag...
The valuation of compensation expense under SFAS 123R using option pricing theory
SFAS 123R Compensation Expense Black-Scholes Options
2010/10/18
This paper demonstrates the impact of changes in option pricing model variables used in
the Black-Scholes Option Pricing Model [BSOPM] on the valuation of compensation expense
SFAS 123R. We provide ...
Usefulness of expected values in liability valuation: the role of portfolio size
Liability Valuation Expected Value Portfolio Size
2010/10/18
This study investigates whether the usefulness of expected values to financial statement
users depends on portfolio size (N). Given that standard setting boards require some liabilities to be measure...
We performed a comprehensive analysis on the price bounds of CDO tranche options, and illustrated that the CDO tranche option prices can be effectively bounded by the joint distribution of default tim...
This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known f...
Quantum Portfolios of Observables and the Risk Neutral Valuation Model
Quantum Portfolios Observables Neutral Valuation Model
2010/10/19
Quantum Portfolios of quantum algorithms encoded on qbits have recently been reported. In this paper a discussion of the continuous variables version of quantum portfolios is presented. A risk neutral...