JER, 第 11 卷Hanyang Economic Research Institute in collaboration with Hanyang University College of Business and Economics, 2006 |
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第 1 到 3 筆結果,共 34 筆
第 227 頁
... default and argued that minimum variance hedging might not minimize the probability of default because hedg- ing costs might decrease the expected value of cash flows . Shin ( 2005 ) showed that , in the case of two currencies with the ...
... default and argued that minimum variance hedging might not minimize the probability of default because hedg- ing costs might decrease the expected value of cash flows . Shin ( 2005 ) showed that , in the case of two currencies with the ...
第 233 頁
2.3 Probability of Default Let's define the default as an event where the aggregate asset value is less than the aggregate debt value . From ( 7 ) and ( 8 ) , the default condition and the probability of default can be expressed as ...
2.3 Probability of Default Let's define the default as an event where the aggregate asset value is less than the aggregate debt value . From ( 7 ) and ( 8 ) , the default condition and the probability of default can be expressed as ...
第 234 頁
... default . One thing that is obvious in ( 13 ) is that the probability of default decreases as the debt to asset ratio decreases if other things equal . To understand how the probability of default varies for different sets of a ; and ẞ ...
... default . One thing that is obvious in ( 13 ) is that the probability of default decreases as the debt to asset ratio decreases if other things equal . To understand how the probability of default varies for different sets of a ; and ẞ ...
內容
Sudipto Dasgupta NonExpected Utility 1 | 165 |
466 | 230 |
Hangyong Lee The Impacts of Risk Management | 279 |
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analysis asset risks assumed assumption Autoregressive Basel II BEEL cash flows coefficient cointegrated composition of equity computed consumption correlation cost currency composition currency hedge debt debt-asset ratio derivatives distribution dividend downturn LGD econometric Economic effect EIA experts empirical environmental accidents equation errors exchange rate expected firm's forecasting foreign financial assets futures market futures prices G(st Hanyang University home and foreign home firm home government i'th currency impulse response increase industry interest rate swaps investment Journal Korea lagged learning-by-doing linearity lobbying activity long-horizon LSTAR model nonlinear null hypothesis p-values parameters portfolio probability of default prospect theory real estate recovery rates regime regression relative Response of STOCK risk aversion risk exposures risk management sample second period SETAR significant spillover spot price standard deviation strategic swap users systematic risk Table Teräsvirta test statistics tion transition function transition variable utility function volatility