Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Kaserer A"'
Autor:
Christoph Kaserer, Uwe Geck
Publikováno v:
SSRN Electronic Journal.
In this paper we use risk-free short-term interest rates (OISTIRs) derived from equity derivatives prices to make the following four contributions: (i) We introduce and compare different methods how to extract these rates and show that a method based
Publikováno v:
SSRN Electronic Journal.
This paper analyzes the impact of model complexity on the net present value distribution and the expected default probability of equity investments in project finance. Model complexity is analyzed along two dimensions: simulation complexity and forec
Publikováno v:
SSRN Electronic Journal.
We derive a novel model of the cash flow dynamics and equilibrium values of private equity funds. Based on intertemporal capital asset pricing results for an investor with logarithmic utility, the model explains a life cycle of systematic fund risk a
Publikováno v:
SSRN Electronic Journal.
Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework
Publikováno v:
SSRN Electronic Journal.
It has been frequently discussed, that returns are not normally distributed. Liquidity costs, measuring market liquidity, are similarly non-normally distributed displaying fat tails and skewness. Liquidity risk models either ignore this fact or use t