Browsing Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance by Submit Date
Now showing items 1-20 of 439
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Working Paper Open Access
Pricing sovereign contingent convertible debt
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2017-11)We develop a pricing model for sovereign contingent convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's credit default swap CDS spread. One innovation is the modeling of CDS spread regime switching ...
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Book Chapter
Bankruptcy prediction and structural credit risk models
(Cambridge University Press, 2008)Introduction Default is triggered by a firm’s failure to meet its financial obligations. Default probabilities and changes in expected default frequencies affect markets participants, such as investors and lenders, since ...
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Book Chapter
Searching for the value of quality in financial services
(Philadelphia, Pa.], 2000)
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Working Paper Open Access
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2016-04)We develop robust models for optimization of the VaR and CVaR risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and covariance matrix. We formulate models for ...
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Working Paper Open Access
Pricing and Hedging GDP-Linked Bonds in Incomplete Markets
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2017-09)We model the super-replication of payoffs linked to a country's GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging ...
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Article
Market making in international capital markets: Challenges and benefits of its implementation in emerging markets
(2009)Purpose - The purpose of this paper is to critically evaluate the different market-making systems found in most developed capital markets and to provide guidance to emerging market regulators for a possible implementation ...
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Article
Independent directors and defined benefit pension plan freezes
(2018)We study the role of outside directors in defined benefit pension plan freezes, where the interests of shareholders are in apparent conflict with the interests of firm employees. We examine the effect of independent directors ...
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Book
Option-based bankruptcy prediction
(2000)
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Complete Prepayment Models for Mortgage-Backed Securities
(1992)The estimation of prepayment rates for pools of mortgages is a critical component in determining the value of mortgage-backed securities—MBS for short—and derivative products. This paper discusses the development of ...
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Article
National culture and bank risk-taking
(2019)We investigate the relation between national cultural values and bank risk. Despite the rigid transnational regulatory oversight of systemic European banks, we find evidence of an economically significant association between ...
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Article
Forecasting VaR models under different volatility processes and distributions of return innovations
(2014)