Výsledky vyhledávání - "Jaskowski, Marcin"

Publikováno v: E-Prints Complutense: Archivo Institucional de la UCM
Universidad Complutense de Madrid
E-Prints Complutense. Archivo Institucional de la UCM
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In order to understand the lingering credit risk puzzle and the apparent segmentation of the stock market from credit markets, we need to be able to assess the strength of the cross-sectional dependence in credit spreads. This turns out to be a non-t

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::98a768895fcf0f1dc1d26f79f31c80d4
https://eprints.ucm.es/id/eprint/49149/1/1821.pdf

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Volatility Smirk as an Externality of Agency Conflict and Growing Debt

Autor: Jaskowski, Marcin, McAleer, Michael

Publikováno v: International Journal of Economic Theory, 11(4), 398-404. Wiley-Blackwell

This discussion paper led to a publication in the 'International Journal of Economic Theory' , 2015, 11(4), 389-404. Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is a side effect

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::0a66406d8ebae5850fb624413e4e161e
http://papers.tinbergen.nl/13114.pdf

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Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

Autor: Jaskowski, Marcin, McAleer, Michael

Publikováno v: E-Prints Complutense. Archivo Institucional de la UCM
instname
E-Prints Complutense: Archivo Institucional de la UCM
Universidad Complutense de Madrid

Credit risk models should reflect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondar

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::1421caa8db2697b5f4c86493d3603083
http://eprints.ucm.es/17477/

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