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Journal articles on the topic 'Maket derived capital pricing model'

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Published: 4 June 2021
Last updated: 6 February 2022

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1

Jarrow, Robert. "An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles." Quarterly Journal of Finance 08, no. 02 (2018): 1850005. http://dx.doi.org/10.1142/s2010139218500052.

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This paper derives an equilibrium capital asset pricing model (CAPM) in a market where asset prices can exhibit price jumps and price bubbles. We derive a generalized intertemporal CAPM and consumption CAPM for these markets. The derived risk-return relation differs from the classical results only in the characterization of the state price density, which depends on the existence of price bubbles, and in the number and quantity of systematic risk factors with nonzero risk premia.
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2

Müller, Heinz H. "Economic Premium Principles in Insurance and the Capital Asset Pricing Model." ASTIN Bulletin 17, no. 2 (1987): 141–50. http://dx.doi.org/10.2143/ast.17.2.2014969.

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AbstractAn insurance company is considered as an intermediary between policyholders and the capital market. By applying the traditional and the generalized version of the capital asset pricing model, a class of premium principles can be derived. This class is fully compatible with Bühlmann's economic premium principle. Moreover, insurance premiums can be directly related to risk premiums on the stock exchange.
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BRIGO, DAMIANO, JOÃO GARCIA, and NICOLA PEDE. "COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS." International Journal of Theoretical and Applied Finance 18, no. 03 (2015): 1550015. http://dx.doi.org/10.1142/s0219024915500156.

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Since the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on capital. Under the terms of this contract, a bond is converted into equity if the authorities deem the institution to be under-capitalized. This paper discusses this contingent capital (CoCo) bond instrument and presents a pricing methodology based on firm value models that calibrate exactly the credit term structure of the issuer either through credit default swaps or corporate bonds data. Decorrelation between the capital conversion trigge
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4

Muzir, Erol, Cevdet Kizil, and Burak Ceylan. "Role of International Trade Competitive Advantage and Corporate Governance Quality in Predicting Equity Returns: Static and Conditional Model Proposals for an Emerging Market." Journal of Risk and Financial Management 14, no. 3 (2021): 125. http://dx.doi.org/10.3390/jrfm14030125.

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This paper aims to develop some static and conditional (dynamic) models to predict portfolio returns in the Borsa Istanbul (BIST) that are calibrated to combine the capital asset-pricing model (CAPM) and corporate governance quality. In our conditional model proposals, both the traditional CAPM (beta) coefficient and model constant are allowed to vary on a binary basis with any degradation or improvement in the country’s international trade competitiveness, and meanwhile a new variable is added to the models to represent the portfolio’s sensitivity to excess returns on the governance portfolio
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Scholz, Alexander, Stephan Lang, and Wolfgang Schaefers. "Liquidity and real estate asset pricing: a pan-European study." Journal of European Real Estate Research 7, no. 1 (2014): 59–86. http://dx.doi.org/10.1108/jerer-06-2013-0009.

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Purpose – Understanding the pricing of real estate equities is a central objective of real estate research. This paper aims to investigate the impact of liquidity on European real estate equity returns, after accounting for well-documented systematic risk factors. Design/methodology/approach – Based on risk factors derived from general equity data, the authors extend the Fama-French time-series regression approach by a liquidity factor, using a pan-European sample of 272 real estate equities. Findings – The empirical results indicate that liquidity is a significant pricing factor in real estat
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Brazauskas, Vytaras, and Sahadeb Upretee. "Model Efficiency and Uncertainty in Quantile Estimation of Loss Severity Distributions." Risks 7, no. 2 (2019): 55. http://dx.doi.org/10.3390/risks7020055.

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Quantiles of probability distributions play a central role in the definition of risk measures (e.g., value-at-risk, conditional tail expectation) which in turn are used to capture the riskiness of the distribution tail. Estimates of risk measures are needed in many practical situations such as in pricing of extreme events, developing reserve estimates, designing risk transfer strategies, and allocating capital. In this paper, we present the empirical nonparametric and two types of parametric estimators of quantiles at various levels. For parametric estimation, we employ the maximum likelihood
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Siripanich, Amarin, Taha Hossein Rashidi, and Emily Moylan. "Interaction of Public Transport Accessibility and Residential Property Values Using Smart Card Data." Sustainability 11, no. 9 (2019): 2709. http://dx.doi.org/10.3390/su11092709.

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This study examines the relationship between residential property values and accessibility indicators derived from transit smart card data. The use of smart card data to estimate accessibility indicators for explaining the housing market has not yet been explored in the literature. Hence, this paper employs information from Brisbane, Australia’s “go card” and corresponding property data to develop residential property hedonic pricing models using an ordinary least square (OLS) model, a spatial lagged model (SL), a spatial error model (SE), and a geographically weighted regression (GWR). Due to
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8

Hasan, Md Zobaer, and Anton Abdulbasah Kamil. "Contribution of Co-Skewness and Co-Kurtosis of the Higher Moment CAPM for Finding the Technical Efficiency." Economics Research International 2014 (January 16, 2014): 1–9. http://dx.doi.org/10.1155/2014/253527.

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The objective of this paper is to present the technical efficiency of individual companies and their respective groups of Bangladesh stock market (i.e., Dhaka Stock Exchange, DSE) by using two risk factors (co-skewness and co-kurtosis) as the additional input variables in the Stochastic Frontier Analysis (SFA). The co-skewness and co-kurtosis are derived from the Higher Moment Capital Asset Pricing Model (H-CAPM). To investigate the contribution of these two factors, two types of technical efficiency are derived: (1) technical efficiency with considering co-skewness and co-kurtosis (WSK) and (
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9

Hitchcox, A. N., I. A. Hinder, A. M. Kaufman, T. J. Maynard, A. D. Smith, and M. G. White. "Assessment of Target Capital for General Insurance Firms." British Actuarial Journal 13, no. 1 (2007): 81–168. http://dx.doi.org/10.1017/s1357321700001446.

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ABSTRACTCapital and cost of capital form a bridge between the insurance firm and the financial markets. The term capital is used in various ways. In current parlance, economic capital is frequently used to mean capital calculated using a risk-based measure which is independent of the regulatory requirements. In this paper we discuss the concept of target capital, where the firm takes account of three different approaches to risk appetite: regulatory capital plus a buffer; rating agency views; and the views of shareholders, where they make commitments to customers and wish to protect franchise
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10

Tadepalli, Meher Shiva, and Ravi Kumar Jain. "Persistence of calendar anomalies: insights and perspectives from literature." American Journal of Business 33, no. 1/2 (2018): 18–60. http://dx.doi.org/10.1108/ajb-08-2017-0020.

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Purpose Market efficiency suggests that price of the security must reflect its intrinsic value by impounding all the available and accessible information. Asset pricing in capital markets has been an exceptionally dynamic area of scholarly research and is considered as a barometer for assessing market efficiency. This phenomenon was very well explained by several market pricing models and theories over the last few decades. However, several anomalies, which cannot be explained by the traditional asset pricing models due to seasonal and psychological factors, were observed historically. The sam
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11

Bello, Andres, Jan Smolarski, Gökçe Soydemir, and Linda Acevedo. "Investor behavior: hedge fund returns and strategies." Review of Behavioral Finance 9, no. 1 (2017): 14–42. http://dx.doi.org/10.1108/rbf-09-2015-0036.

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Purpose The purpose of this paper is to investigate to what extent hedge funds are subject to irrationality in their investment decisions. The authors advance the hypothesis that irrational behavior affects hedge fund returns despite their sophistication and active management style. Design/methodology/approach The irrational component may follow a pattern consistent with the observed hedge fund returns yet far distant from market fundamentals. The authors include factors beyond the original version of capital asset pricing model such as Fama and French and Carhart models, as well as less strin
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Stoilov, Todor, Krasimira Stoilova, and Miroslav Vladimirov. "Analytical Overview and Applications of Modified Black-Litterman Model for Portfolio Optimization." Cybernetics and Information Technologies 20, no. 2 (2020): 30–49. http://dx.doi.org/10.2478/cait-2020-0014.

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AbstractThe paper makes analytical overviews of the Markowitz portfolio and the Capital Asset Pricing models and motivates the advances of the Black-Litterman (BL) one. This overview implies that for a small set of assets the BL model needs the characteristics of a specific market point, which cannot be taken from a global market index. The paper derives analytic relations for the new specific market point with analytical approximation of the efficient frontier. The BL model insists also expert views, which influence the portfolio solution. The paper derives formalization of the expert views f
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Easterday, Kathryn E. "The January effect anomaly: effect on the returns-earnings association." American Journal of Business 30, no. 2 (2015): 114–46. http://dx.doi.org/10.1108/ajb-08-2014-0048.

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Purpose – The purpose of this paper is to examine the January effect, a well-documented capital markets pricing anomaly in which January return premiums are observed to be on average higher than in other months of the year. Extant literature focusses primarily on investor trading behaviors and incentives. This study is different in that it investigates the link between the unusually high returns characteristic of the January effect and accounting earnings, a popular measure that investors use to judge firm value. Design/methodology/approach – The empirical model used in this study is derived f
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14

Lioui, Abraham, and Paulo Maio. "Interest Rate Risk and the Cross Section of Stock Returns." Journal of Financial and Quantitative Analysis 49, no. 2 (2014): 483–511. http://dx.doi.org/10.1017/s0022109014000131.

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AbstractWe derive a macroeconomic asset pricing model in which the key factor is the opportunity cost of money. The model explains well the cross section of stock returns in addition to the excess market return. The interest rate factor is priced and seems to drive most of the explanatory power of the model. In this model, both value stocks and past long-term losers enjoy higher average (excess) returns because they have higher interest rate risk than growth/past winner stocks. The model significantly outperforms the nested models (capital asset pricing model (CAPM) and consumption CAPM (CCAPM
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15

JARROW, ROBERT. "A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES." International Journal of Theoretical and Applied Finance 20, no. 08 (2017): 1750053. http://dx.doi.org/10.1142/s0219024917500534.

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This paper derives an equilibrium capital asset pricing model (CAPM) in a market with trading constraints and asset price bubbles. The asset price processes are general semimartingales including Markov jump-diffusion processes as special cases, and the trading constraints considered include short sale restrictions, borrowing constraints, and margin requirements, among others. We derive a generalized intertertemporal CAPM and consumption CAPM for these markets. The implications for empirical testing are that additional systematic risk factors will exist in a market with trading constraints and
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16

De Giorgi, Enrico, and Thierry Post. "Second-Order Stochastic Dominance, Reward-Risk Portfolio Selection, and the CAPM." Journal of Financial and Quantitative Analysis 43, no. 2 (2008): 525–46. http://dx.doi.org/10.1017/s0022109000003616.

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AbstractStarting from the reward-risk model for portfolio selection introduced in De Giorgi (2005), we derive the reward-risk Capital Asset Pricing Model (CAPM) analogously to the classical mean-variance CAPM. In contrast to the mean-variance model, reward-risk portfolio selection arises from an axiomatic definition of reward and risk measures based on a few basic principles, including consistency with second-order stochastic dominance. With complete markets, we show that at any financial market equilibrium, reward-risk investors' optimal allocations are comonotonic and, therefore, our model r
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17

MEINERDING, CHRISTOPH. "ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT." International Journal of Theoretical and Applied Finance 15, no. 03 (2012): 1250023. http://dx.doi.org/10.1142/s0219024912500239.

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This paper provides a detailed overview of the current research linking systemic risk, financial crises and contagion effects among assets on the one hand with asset allocation and asset pricing theory on the other hand. Based on the ample literature about definitions, measurement and properties of systemic risk, we derive some elementary ingredients for models of financial contagion and assess the current state of knowledge about asset allocation and asset pricing with explicit focus on systemic risk. The paper closes with a brief outlook on future research possibilities and some recommendati
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18

Amano, Tomoyuki, Tsuyoshi Kato, and Masanobu Taniguchi. "Statistical Estimation for CAPM with Long-Memory Dependence." Advances in Decision Sciences 2012 (December 11, 2012): 1–12. http://dx.doi.org/10.1155/2012/571034.

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We investigate the Capital Asser Pricing Model (CAPM) with time dimension. By using time series analysis, we discuss the estimation of CAPM when market portfolio and the error process are long-memory process and correlated with each other. We give a sufficient condition for the return of assets in the CAPM to be short memory. In this setting, we propose a two-stage least squares estimator for the regression coefficient and derive the asymptotic distribution. Some numerical studies are given. They show an interesting feature of this model.
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19

Roy, Rahul, and Santhakumar Shijin. "The nexus of asset pricing, volatility and the business cycle." Journal of Economic Studies 48, no. 1 (2020): 79–101. http://dx.doi.org/10.1108/jes-08-2019-0357.

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PurposeThe purpose of the study is to examine the dynamics in the troika of asset pricing, volatility, and the business cycle in the US and Japan.Design/methodology/approachThe study uses a six-factor asset pricing model to derive the realized volatility measure for the GARCH-type models.FindingsThe comprehensive empirical investigation led to the following conclusion. First, the results infer that the market portfolio and human capital are the primary discounting factors in asset return predictability during various phases of the subprime crisis phenomenon for the US and Japan. Second, the em
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20

Prigge, Stefan, and Lars Tegtmeier. "Market valuation and risk profile of listed European football clubs." Sport, Business and Management: An International Journal 9, no. 2 (2019): 146–63. http://dx.doi.org/10.1108/sbm-04-2018-0033.

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Purpose The purpose of this paper is to explore whether stocks in football clubs are valued in line with the valuation of other capital assets in the capital market. Moreover, it analyzes the risk profile of football stocks. By taking this perspective, the paper also contributes to the discussion on the motives of those who invest in football clubs, particularly the question of whether they expect extra benefits, i.e., in addition to dividends and share price appreciation, from the investments. Design/methodology/approach The empirical study analyzes the share prices of 19 listed European foot
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21

Toms, Steven. "Accounting-based Risk Measurement: An Alternative to Capital Asset Pricing Model Derived Discount Factors." Australian Accounting Review 22, no. 4 (2012): 398–406. http://dx.doi.org/10.1111/j.1835-2561.2012.00194.x.

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22

Ryan Homan, Garth, та Gary van Vuuren. "Applied prospect theory: assessing the βs of M&A-intensive firms". Investment Management and Financial Innovations 16, № 2 (2019): 236–48. http://dx.doi.org/10.21511/imfi.16(2).2019.20.

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Behavioral components of Kahneman and Tversky’s (1979) prospect theory (PT) were applied to derive an adjusted Capital Asset Pricing Model (CAPM) in the estimation of merger and acquisition-intensive firms’ expected returns. The premise was that the CAPM – rooted in expected utility theory – is violated by the behavioral biases identified in prospect theory. Kahneman and Tversky’s prospect theory (1979) has demonstrated that weaknesses abound in the viability of classical utility theory predictions. For mergers and acquisitions, firms appear to be isolated from and immune to human error, yet d
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23

Johnston, Mark. "Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures." ASTIN Bulletin 37, no. 01 (2007): 35–52. http://dx.doi.org/10.2143/ast.37.1.2020797.

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The Capital Asset Pricing Model arises in an economy where agents have exponential utility functions and aggregate consumption is normally distributed, and gives the prices of assets with payoffs which are jointly normal with consumption. Such assets have normal marginal distributions and have dependence with consumption characterised by a normal copula. Wang has derived a transform which extends the CAPM by allowing pricing of assets in such an economy which have non-normal marginal distributions but still are normal-copula with consumption.Here we set out the stochastic discount factors corr
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Johnston, Mark. "Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures." ASTIN Bulletin 37, no. 1 (2007): 35–52. http://dx.doi.org/10.1017/s0515036100014720.

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The Capital Asset Pricing Model arises in an economy where agents have exponential utility functions and aggregate consumption is normally distributed, and gives the prices of assets with payoffs which are jointly normal with consumption. Such assets have normal marginal distributions and have dependence with consumption characterised by a normal copula. Wang has derived a transform which extends the CAPM by allowing pricing of assets in such an economy which have non-normal marginal distributions but still are normal-copula with consumption.Here we set out the stochastic discount factors corr
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25

Aue, Alexander, Siegfried Hörmann, Lajos Horváth, Marie Hušková, and Josef G. Steinebach. "SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS." Econometric Theory 28, no. 4 (2011): 804–37. http://dx.doi.org/10.1017/s0266466611000673.

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Despite substantial criticism, variants of the capital asset pricing model (CAPM) remain to this day the primary statistical tools for portfolio managers to assess the performance of financial assets. In the CAPM, the risk of an asset is expressed through its correlation with the market, widely known as the beta. There is now a general consensus among economists that these portfolio betas are time-varying and that, consequently, any appropriate analysis has to take this variability into account. Recent advances in data acquisition and processing techniques have led to an increased research out
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BELTRAME, FEDERICO, STEFANO CASELLI, and DANIELE PREVITALI. "LEVERAGE, COST OF CAPITAL AND BANK VALUATION." Journal of Financial Management, Markets and Institutions 06, no. 01 (2018): 1850004. http://dx.doi.org/10.1142/s2591768418500046.

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In this paper, we present a model that demonstrates the effect of debt on cost of capital and value in the case of banking firms. Using a static partial equilibrium setting, both in a steady state and steady growth scenario, we derive a bank-specific valuation metric which separately attributes value to assets and debt cash flows in the form of a liquidity premium and tax-shield. We run our model on a sample of the largest 26 European banks from 2003 to 2016 finding that the value contribution of debt benefits to enterprise value is large and persistent. Further from our model, we derived an i
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27

Müller, Heinz H. "Modern Portfolio Theory: Some Main Results." ASTIN Bulletin 18, no. 2 (1988): 127–45. http://dx.doi.org/10.2143/ast.18.2.2014947.

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AbstractThis article summarizes some main results in modern portfolio theory. First, the Markowitz approach is presented. Then the capital asset pricing model is derived and its empirical testability is discussed. Afterwards Neumann–Morgenstern utility theory is applied to the portfolio problem. Finally, it is shown how optimal risk allocation in an economy may lead to portfolio insurance.
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28

Müller, Heinz H. "Modern Portfolio Theory: Some Main Results." ASTIN Bulletin 19, S1 (1989): 9–27. http://dx.doi.org/10.1017/s051503610000859x.

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AbstractThis article summarizes some main results in modern portfolio theory. First, the Markowitz approach is presented. Then the capital asset pricing model is derived and its empirical testability is discussed. Afterwards Neumann–Morgenstern utility theory is applied to the portfolio problem. Finally, it is shown how optimal risk allocation in an economy may lead to portfolio insurance.
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29

Tsuji, Chikashi. "A Non-linear Estimation of the Capital Asset Pricing Model: The Case of Japanese Automobile Industry Firms." Applied Finance and Accounting 3, no. 2 (2017): 20. http://dx.doi.org/10.11114/afa.v3i2.2331.

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This paper quantitatively examines a non-linear capital asset pricing model (CAPM) by using monthly stock returns of major automobile industry firms in Japan. Applying the maximum likelihood method, we derive the following interesting findings. (1) First, in the case where the distribution of stock returns has a fat-tail, our non-linear CAPM is highly effective. Because the parameters of our non-linear CAPM well capture fat-tailed return distributions, the non-linear model estimation derives reliable estimates of beta values. (2) Second, in the case where stock returns are normally distributed
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30

Li, Bohan, and Junyi Guo. "Optimal reinsurance and investment strategies for an insurer under monotone mean-variance criterion." RAIRO - Operations Research 55, no. 4 (2021): 2469–89. http://dx.doi.org/10.1051/ro/2021114.

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This paper considers the optimal investment-reinsurance problem under the monotone mean-variance preference. The monotone mean-variance preference is a monotone version of the classical mean-variance preference. First of all, we reformulate the original problem as a zero-sum stochastic differential game. Secondly, the optimal strategy and the optimal value function for the monotone mean-variance problem are derived by the approach of dynamic programming and the Hamilton-Jacobi-Bellman-Isaacs equation. Thirdly, the efficient frontier is obtained and it is proved that the optimal strategy is an
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31

Pratono, Aluisius Hery. "From social network to firm performance." Management Research Review 41, no. 6 (2018): 680–700. http://dx.doi.org/10.1108/mrr-03-2017-0080.

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PurposeThe purpose of this study is to develop a structural equation model to explain the complex relationship between social network and firm performance by introducing the mediating role of trust, selling capability and pricing capability.Design/methodology/approachThe research model with hypothesis development was derived based on the literature. To provide empirical evidence, this study carried out a survey in which the data were equated with a list of questionnaires with a random survey of 380 small and medium enterprises (SMEs) in the Indonesian context.FindingsThis study indicates that
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Paseka, Alex, and Aerambamoorthy Thavaneswaran. "Bond valuation for generalized Langevin processes with integrated Lévy noise." Journal of Risk Finance 18, no. 5 (2017): 541–63. http://dx.doi.org/10.1108/jrf-09-2016-0125.

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Purpose Recently, Stein et al. (2016) studied theoretical properties and parameter estimation of continuous time processes derived as solutions of a generalized Langevin equation (GLE). In this paper, the authors extend the model to a wider class of memory kernels and then propose a bond and bond option valuation model based on the extension of the generalized Langevin process of Stein et al. (2016). Design/methodology/approach Bond and bond option pricing based on the proposed interest rate models presents new difficulties as the standard partial differential equation method of stochastic cal
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Xu, Zhihua, and Charles W. McKetta. "Understanding log and stumpage prices in China: a primer for capitalist forest economists." Canadian Journal of Forest Research 16, no. 5 (1986): 1123–27. http://dx.doi.org/10.1139/x86-196.

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Log and stumpage price formation in the United States and China appear mathematically identical, but are radically different. In the United States, prices are derived from the demand for final wood products in competitive markets. In China, prices are set centrally based on direct costs of production. The system is borrowed from Russia and is based on a theory of labor value that ignores time and interest rates. We explore the existing Chinese price determination model and Chinese proposals to change it, as prices have had little relation to the value of wood in use or the cost of wood from ot
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Tsuji, Chikashi. "A Quantitative Investigation of the Time-varying Beta of the International CAPM: The Case of North American and European Equity Portfolios." Journal of Management Research 9, no. 2 (2017): 104. http://dx.doi.org/10.5296/jmr.v9i2.10937.

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This paper investigates the time-invariant and the time-varying betas of the international capital asset pricing model (CAPM) for North American and European equity portfolio returns over the period from August 1, 1990 to June 30, 2016. Our quantitative examinations using the full vector-half (VECH) model reveal the following interesting evidence. First, we find that (1) the time-invariant international CAPM beta value for North American equity portfolio returns and that for European equity portfolio returns, which are derived from the standard ordinary least squares (OLS) method, are both clo
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Hering, Thomas, Michael Olbrich, and David Rapp. "Net Present Value, Duration, and CAPM in Light of Investment Theory: A Comment on Kruk." Quarterly Journal of Austrian Economics 24, no. 2 (2021): 348–59. http://dx.doi.org/10.35297/qjae.010097.

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In her paper “Corporate Risk Evaluation in the Context of Austrian Business Cycle Theory” recently published in this journal, Joanna Kruk aims to investigate how artificially low interest rates resulting from central bank intervention distort individual investment appraisals and ultimately result in both entrepreneurial misjudgment and resource-wasting malinvestment, fueling the business cycle. She identifies entrepreneurs’ net present value calculations, supposedly unadjusted for risk, as a major issue and suggests adjusting those calculations for risk via both the duration method and the Cap
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Meszek, Wiesław, and Agnieszka Dziadosz. "Estimation of certain parameters of Black-Scholes model in analysing effectiveness of development investments." MATEC Web of Conferences 222 (2018): 01010. http://dx.doi.org/10.1051/matecconf/201822201010.

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The option pricing theory has wide applicability in corporate finance, but it is also increasingly used to analyze the effectiveness of non-financial (material) investments. In traditional investment analysis, a project or a new investment should be accepted only if the returns on the project exceed the hurdle rate; in the context of cash flows and discount rates, this translates into projects with positive net present values (NPV). There is no doubt that it does not take full account of the numerous options that usually relate to developer investment. However, in many cases, the valuation of
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Mouelhi, Chawki, and Jacques Saint-Pierre. "The Dynamic Market-Derived Capital Pricing Model: Theoretical Foundations and Empirical Analysis." SSRN Electronic Journal, 2014. http://dx.doi.org/10.2139/ssrn.2431750.

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Sanou, Adama, and Issouf Soumaré. "Pricing Dynamics and Solvency in Insurance: Capital Allocation, Surplus and Insurance Cycle." Asia-Pacific Journal of Risk and Insurance, June 28, 2021. http://dx.doi.org/10.1515/apjri-2020-0032.

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Abstract This paper proposes a stochastic multi-period pricing model based on the default option value with insurance cycle to examine the interactions among pricing, surplus allocation and solvency for a multiline insurer. The proposed innovative model captures the dynamic aspects of capitalization and the impact of dynamic premium setting on the insurer’s solvency and risk management. We derived the equilibrium premium for different insurance contract designs. Our results show that the allocation of surplus per line affects the default of the other lines and depends on the correlation betwee
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39

Tkaliński, Tomasz. "Approximation of market valuations on the set of risk measures." Demonstratio Mathematica 42, no. 2 (2009). http://dx.doi.org/10.1515/dema-2013-0166.

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AbstractIn this work we introduce the problem of choice of a risk measure providing best approximation of risk estimates derived from market valuations. We begin with a brief overview of connections between pricing and risk measurement issues which reveal importance of the problem we consider and lead to the mathematical formulation. In the main result under fairly general assumptions we establish the existence of the solution. In the second part we define a problem of finding a risk measure optimal with respect to the capital requirements. We impose additional assumptions, all of which have s
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40

Bellalah, Mondher. "The Extended Black-Scholes Model with-LAGS-and “Hedging Errors”." International Journal of Banking and Finance, August 19, 2003. http://dx.doi.org/10.32890/ijbf2003.1.2.8337.

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The Black-Scholes model is derived under the assumption that heding is done instantaneously. In practice, there is a “small” time that elapses between buying or selling the option and hedging using the underlying asset. Under the following assumptions used in the standard Black-Scholes analysis, the value of the option will depend only on the price of the underlying asset S, time t and on other Variables assumed constants. These assumptions or “ideal conditions” as expressed by Black-Scholes are the following. The option us European, The short term interest rate is known, The underlying asset
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41

G., Soundariya, Treesa Aleena David, and Suresh G. "Nexus Between Interest Rate Risk and Economic Value of Equity of Banks." Global Business Review, September 21, 2021, 097215092110394. http://dx.doi.org/10.1177/09721509211039401.

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This analytical study looks to provide recommendations to the banking sector on different policies and regulations by examining certain aspects of the Basel III accord, which was designed to manage specific operational, capital and market risks of banks. A review of extant literature reveals that only a few papers have been written on simulation-based approaches, using basis and re-pricing risks. We look to connect this as a source while attempting to define and measure the impact of interest rate risk (IRR) on the economic value of equity (EVE) of banks. We propose to use the driver—driven me
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42

Kim, H. Youn, Keith R. Mclaren, and K. K. Gary Wong. "CONSUMER DEMAND, CONSUMPTION, AND ASSET PRICING: AN INTEGRATED ANALYSIS WITH INTERTEMPORAL TWO-STAGE BUDGETING." Macroeconomic Dynamics, July 16, 2019, 1–47. http://dx.doi.org/10.1017/s1365100519000221.

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This paper integrates seemingly disjoint studies on consumer behavior in micro and macroanalyses via an intertemporal two-stage budgeting procedure with durable goods and liquidity constraints. The model specifies an indirect utility function as a function of nondurable consumption, commodity (nondurables) prices, and durables stock, and derives the demand functions for nondurable goods. A demand function for durable goods is derived in an adjustment cost framework. The consumption growth equation accounts for relative price effects with precautionary saving, durables stock, and liquidity cons
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43

Schüler, Andreas. "Cross-border DCF valuation: discounting cash flows in foreign currency." Journal of Business Economics, October 1, 2020. http://dx.doi.org/10.1007/s11573-020-01013-w.

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Abstract The paper seeks to develop a comprehensive framework to cross-border discounted cash flow valuation. Although the literature on company valuation and on international financial management is vast, such a framework has not yet been proposed. We build upon well-known fundamentals and relevant contributions, e.g. on the derivation of the risk-adjusted rate of return. Relevant risks are exchange rate risk, business risk, financial risk, the risk of the tax effects induced by debt financing, and the risk of default. Additional tax effects beyond the well-known tax shield on interest expens
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