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 81 筆
第 206 頁
... estimates , partic- ularly the BEEL and PLGD , which have been often overlooked in the previous studies . The proposed LGD model is essentially the same as the single - factor model developed by such authors as Frye ( 2000 ) and Dullman ...
... estimates , partic- ularly the BEEL and PLGD , which have been often overlooked in the previous studies . The proposed LGD model is essentially the same as the single - factor model developed by such authors as Frye ( 2000 ) and Dullman ...
第 220 頁
... estimates in the spirit of Basel II . Table 3. Estimates of Various LGDs : Log - Normal Assumption Neutral Downturn State1 BEEL2 PLGD3 LGD4 Default Historical weighted Maximum LGD5 60.27 % 62.86 % 65.64 % 67.36 % 60.53 % 67.58 % Note ...
... estimates in the spirit of Basel II . Table 3. Estimates of Various LGDs : Log - Normal Assumption Neutral Downturn State1 BEEL2 PLGD3 LGD4 Default Historical weighted Maximum LGD5 60.27 % 62.86 % 65.64 % 67.36 % 60.53 % 67.58 % Note ...
第 305 頁
... estimates with standard error in parentheses . The dependent variables are stock returns of swap users and non ... estimation results . In Panel A , monthly port- folio returns in excess of one - month risk free rate are regressed on the ...
... estimates with standard error in parentheses . The dependent variables are stock returns of swap users and non ... estimation results . In Panel A , monthly port- folio returns in excess of one - month risk free rate are regressed on the ...
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