Asset Prices and Default-free Term Structure in an Equilibrium Model of Default
Author | : Ganlin Chang |
Publisher | : |
Total Pages | : 60 |
Release | : 1999 |
Genre | : Assets (Accounting) |
ISBN | : |
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Author | : Ganlin Chang |
Publisher | : |
Total Pages | : 60 |
Release | : 1999 |
Genre | : Assets (Accounting) |
ISBN | : |
Author | : Rajna Gibson |
Publisher | : Now Publishers Inc |
Total Pages | : 171 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : 1601983727 |
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author | : Simon Benninga |
Publisher | : |
Total Pages | : 88 |
Release | : 1983 |
Genre | : Interest rates |
ISBN | : |
Author | : David Meiselman |
Publisher | : |
Total Pages | : 96 |
Release | : 1962 |
Genre | : Business & Economics |
ISBN | : |
Author | : Willi Semmler |
Publisher | : Springer Science & Business Media |
Total Pages | : 249 |
Release | : 2007-03-21 |
Genre | : Business & Economics |
ISBN | : 3540246967 |
"Asset Prices, Booms and Recessions" is a book on Financial Economics from a dynamic perspective. It focuses on the dynamic interaction of financial markets and economic activity. The financial markets to be studied here encompasses the money and bond market, credit market, stock market and foreign exchange market. Economic activity is described by the activity of firms, banks, households, governments and countries. The book shows how economic activity affects asset prices and the financial market and how asset prices and financial market volatility feed back to economic activity. The focus in this book is on theories, dynamic models and empirical evidence. Empirical applications relate to episodes of financial instability and financial crises of the U.S., Latin American, Asian as well as Euro-area countries. The current version of the book has moved to a more extensive coverage of the topics in financial economics by updating the literature in the appropriate chapters. Moreover it gives a more extensive treatment of new and more advanced topics in financial economics such as international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models and dynamic portfolio decisions. Overall, the book presents material that researchers and practitioners in financial engineering need to know about economic dynamics and that economists, practitioners and policy makers need to know about the financial market.
Author | : Chen Guo |
Publisher | : Administration, University of Ottawa = Administration, Université d'Ottawa |
Total Pages | : 63 |
Release | : 1993 |
Genre | : |
ISBN | : |
Author | : Suresh M. Sundaresan |
Publisher | : |
Total Pages | : 101 |
Release | : 2000 |
Genre | : Derivative securities |
ISBN | : |
Author | : Vivian Z. Yue |
Publisher | : International Monetary Fund |
Total Pages | : 32 |
Release | : 2011-07-01 |
Genre | : Business & Economics |
ISBN | : 1462330452 |
Emerging markets business cycle models treat default risk as part of an exogenous interest rate on working capital, while sovereign default models treat income fluctuations as an exogenous endowment process with ad-noc default costs. We propose instead a general equilibrium model of both sovereign default and business cycles. In the model, some imported inputs require working capital financing; default on public and private obligations occurs simultaneously. The model explains several features of cyclical dynamics around default triggers an efficiency loss as these inputs are replaced by imperfect substitutes; and default on public and private obligations occurs simultaneously. The model explains several features of cyclical dynamics around deraults, countercyclical spreads, high debt ratios, and key business cycle moments.
Author | : George Gaetano Pennacchi |
Publisher | : Addison-Wesley Longman |
Total Pages | : 0 |
Release | : 2008 |
Genre | : Capital assets pricing model |
ISBN | : 9780321127204 |
Theory of Asset Pricing unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first PhD course in asset pricing. By striking a balance between fundamental theories and cutting-edge research, Pennacchi offers the reader a well-rounded introduction to modern asset pricing theory that does not require a high level of mathematical complexity.