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Estimating the Value-at-Risk from High-frequency Data
Data augmentation Gibbs sampler Quadratic variation Time changed Brownian motion
2016/1/27
We present two alternative approaches for estimating VaR. Both approaches are based on the observation that each trading day is very diverse and we can observe K different phases of the trading day. W...
Common-Value Auctions with Liquidity Needs: An Experimental Test of a Troubled Assets Reverse Auctions
financial crisis uniform-price auction clock auction
2015/9/23
We report the results of an experimental test of alternative auction designs suitable for pricing
and removing troubled assets from banks’ balance sheets as part of the financial rescue
planned by t...
Patternsin the cross-section of returns from stocks bought for vouchers in Mongolia’s privatization program mirror those fromdeveloped countries. Stocksin companies withhigh book-to-market ratiossubse...
Search models of monetary exchange have typically relied on Nash (1950) bargaining, orstrategic games that yield an equivalent outcome, to determine the terms of trade. By considering alternative axio...
Randomization,Endogeneity and Laboratory Experiments:The Role of Cash Balances in Private Value Auctions
Randomization Endogeneity Laboratory Experiments Cash Balances Private Value Auctions
2015/9/18
From a theoretical perspective, cash balances are thought to play a role in common value auctions because of limited liability. However, they have also been found to be important in common value aucti...
In a two-stage auction women are significantly more likely to go bankrupt than men,bidding more aggressively than the men in both phases of the auction process.
Firms and Credit Constraints along the Global Value Chain: Processing Trade in China
global value chain processing trade
2015/7/21
Global value chains (GVCs) allow firms to produce and export final goods, or to perform
only intermediate stages of production by processing imported inputs for re-exporting. We examine
how financ...
Global value chains and multinational activity with financial frictions
financial frictions Global value chains
2015/7/21
The increasing fragmentation of production across firm and country boundaries has
transformed international trade over the last few decades. At the same time, cumulating
evidence indicates that fi...
武汉理工大学货币银行学英文课件Chapter4 Future Value,Present Value and Interest Rates
武汉理工大学 货币银行学 英文 课件 Chapter4 Future Value,Present Value and Interest Rates
2015/6/4
武汉理工大学货币银行学英文课件Chapter4 Future Value,Present Value and Interest Rates。
The availability of credit varies over the business cycle through shifts in the
leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned...
Fair Value Accounting for Liabilities and Own Credit Risk
credit risk debt fair value accounting income recognition
2011/9/2
We find that equity returns associated with credit risk changes are attenuated by the debt value effect of the credit risk changes, as Merton (1974) predicts. We find that the relation between credit ...
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective
Conditional value at risk Credit risk Industries Transition matrix Value at risk
2011/8/26
Internal credit risk modelling is important for banks for the calculation of capital adequacy in terms of the Basel Accords, and for the management of sectoral exposure. We examine Credit Value at Ris...
The value of credit card benefits
various economic incentives credit card cash payment float
2011/8/22
Banks offer various economic incentives to customers to pay with their credit card rather than cash. Still, many individuals either elect to pay with cash or are unable to acquire credit cards. What b...
The Value of Financial Advisors to Retirees
Financial Advisors undertake planning activities financial security
2011/8/20
This study explores the value of financial advisors to retirees, in terms of both the likelihood of the retiree to undertake planning activities and his/her feelings of confidence and financial securi...
Financial Reporting and Financial Crises: The Case for Measuring Financial Instruments at Fair Value in the Financial Statements
Financial Crises Measuring Financial Fair Value
2011/8/20
The Financial Accounting Standards Board (FASB) (2010) proposes that all financial instruments be measured at fair value in the financial statements. This commentary provides one Board member's reason...