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Integrated dynamic models for hedging international portfolio
(The Wharton Financial Institutions CenterThe Wharton School, University of Pennsylvania, PA, 2017-12)
We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options. The models provide an increasing level of integration in managing market and foreign exchange (FX) ...
CEO Inside Debt and Risk Taking: Evidence From Property–Liability Insurance Firms
(2019)
We examine the incentive effects of CEO inside debt holdings (pensions and deferred compensation) on risk taking using the sample of U.S. publicly traded property–liability insurers. To represent managerial risk taking, ...
Preemption versus Collaboration in a Duopoly
(The MIT Press, 2011)
This chapter examines preemptive investments and the possibility of tacit collusion among firms, delaying investment until a later date. It first presents the original deterministic model by Fudenberg and Tirole (1985) to ...
Discussion of "Equity Financing and Social Responsibility: Further International Evidence"
(2015)
Even though corporate social responsibility (CSR) has grown substantially in recent years, there has been limited empirical research on the relation between CSR and the perceptions of capital market participants. One stream ...
Risk management optimization for sovereign debt restructuring
(Journal of Globalization and Development, Vol. 6(2), pp. 181–213, Feb. 2016.; The Wharton School Financial Institutions Centre No. 14-10., 2015-12)
Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario ...