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John A Morrison's Blog – December 2010 Archive (9)

Private Equity, Buy-outs, Leverage and Failure

Nick Wilson

Credit Management Research Centre

Leeds University Business School

 

Mike Wright

Centre for Management Buy-out Research

Nottingham University Business School

 

Ali Altanlar

Centre for Credit Management Research

Leeds University Business School

 

This draft May 19th, 2010

 

Abstract

We study the determinants of failure, defined as entering the bankruptcy process, in a unique dataset comprising the…

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Added by John A Morrison on December 31, 2010 at 12:24am — No Comments

The Unsentimental Case for the Long View in Evaluating Returns

 

Is Patience a Virtue?

The Unsentimental Case for the Long View in Evaluating Returns

David L. Donoho, Robert A. Crenian, and Matthew H. Scanlan

Renaissance

 

Are investors too impatient with their underperforming managers? Would they benefit from a longer time horizon in making manager hiring and firing decisions? Or, on the contrary, are they too patient? We observe that decision makers – plan CIOs, investment committees, and staff are becoming less…

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Added by John A Morrison on December 30, 2010 at 11:25pm — No Comments

ASYMPTOTICS FOR PRICING ASIAN OPTIONS



THE HARTMAN-WATSON DISTRIBUTION REVISITED



by



STEFAN GERHOLD



Abstract.



Barrieu, Rouault, and Yor [J. Appl. Probab. 41 (2004)] determined asymptotics for the logarithm of the distribution function of the Hartman-Watson distribution. We determine the asymptotics of the density. This re-finement can be applied to the pricing of Asian options in the Black-Scholes model.…



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Added by John A Morrison on December 7, 2010 at 5:01am — No Comments

Measuring Risk Dependencies in the Solvency II-Framework

Robert Danilo Molinari
Tristan Nguyen
WHL Graduate School of Business and Economics

http://www.tristan-nguyen.de/pdf/C2.pdf


Added by John A Morrison on December 6, 2010 at 12:37am — No Comments

The Mismeasure of Risk

Peter Taylor, University of Oxford

beezer!

http://www.bep.ox.ac.uk/__data/assets/pdf_file/0018/17460/TheMismeasureOfRisk.pdf


Added by John A Morrison on December 6, 2010 at 12:28am — No Comments

Solvency II / SST and Modeling of Risk Aggregation

Malte Obbel Forsberg



Abstract



SST and Solvency II, while sharing many similarities, differ in a few important areas. In this paper we will explore some standard copulas used for aggregating loss distributions per risk type. Standard practice in the insurance industry is to use the Gaussian copula but there are reasons to believe that this copula is not really suitable in some aspects. The choice of copula has a large impact on the resulting solvency ratio, unfortunately…

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Added by John A Morrison on December 6, 2010 at 12:00am — No Comments

The Solvency II square-root formula for systematic biometric risk

Marcus C. Christiansen

Institut f¨ur Versicherungswissenschaften

Universit¨at Ulm

D-89069 Ulm, Germany



Michel M. Denuit

Institut de Statistique, Biostatistique et Sciences Actuarielles

Universit´e Catholique de Louvain

B-1348 Louvain-la-Neuve, Belgium



Dorina Lazar

Faculty of Economics and Business Administration

Babes-Bolyai University

Cluj-Napoca, Romania



Abstract



In this paper, we develop a model supporting the so-called… Continue

Added by John A Morrison on December 5, 2010 at 10:50pm — No Comments

Reduced form models of bond portfolios

Matti Koivu

Finnish Financial Supervisory Authority



Teemu Pennanen

Department of Mathematics and Systems Analysis, Aalto University



November 16, 2010



Abstract



We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios of fixed rate government bonds, inflation linked government bonds and investment grade corporate bonds. The… Continue

Added by John A Morrison on December 5, 2010 at 9:37pm — No Comments

Extracting information from structured credit markets

Bank of England Working Paper by Joseph Noss



http://www.bankofengland.co.uk/publications/workingpapers/wp407.pdf



COMMENT ON THIS PAPER



(I generally do not do this & not usually to BoE work)

They seek the Holy Grail…..…

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Added by John A Morrison on December 5, 2010 at 12:30am — No Comments

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