搜索结果: 1-10 共查到“理论经济学 spread”相关记录10条 . 查询时间(0.078 秒)
Trade and Geography in the Origins and Spread of Islam
Geography Religion Trade
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2015/4/27
This study examines the spatial distribution of Muslim societies shedding light on its geographic origins. The empirical analysis conducted across countries, virtual countries, and ethnicities establi...
Large tick assets: implicit spread and optimal tick size
Microstructure of nancial markets high frequency data large tick assets implicit spread market making limit orders market orders optimal tick size.
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2012/9/14
In this work, we bring to light a quantity, referred to as implicit spread, playing the role of spread for large tick assets, for which the e ective spread is almost always equal to one tick. The rele...
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS:: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
contingent credit default swaps copula functions Counterparty risk Credit Default Swaps
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2011/8/30
We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that,...
On Credit-Spread Slopes and Predicting Bank Risk
constructing credit-spread curves credit-spread slopes bank risk
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2011/8/28
We examine whether bank credit-spread curves, engendered by subordinated debt, would help predict bank risk. We extract credit-spread curves for each bank each quarter and analyze the predictive prope...
Collateral Spread and Financial Development
financial development collateral spread acceptable collateral stronger institutions
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2011/8/21
We show that institutions that promote financial development ease borrowing constraints by lowering the collateral spread and shifting the composition of acceptable collateral towards firm-specific as...
"Market making" behaviour in an order book model and its impact on the bid-ask spread
Market making behaviour order book model impact bid-ask spread
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2010/10/19
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subje...
The Spread of the Credit Crisis: View from a Stock Correlation Network
networks econophysics equities stock market correlation credit crisis
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2010/10/29
The credit crisis roiling the world’s financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however,demons...
BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
Markovian Bivariate Spread-Loss Model Portfolio Credit Derivatives
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2010/10/29
BSLP is a two-dimensional dynamic model of interacting portfolio-level loss and loss intensity
processes. It is constructed as a Markovian, short-rate intensity model, which facilitates fast lattice ...
Mean-Preserving-Spread Risk Aversion and The CAPM
CAPM equilibrium two-fund separation generalized efficient portfolio MPS-risk-aversion
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2011/4/6
This paper establishes conditions under which the classical CAPM holds in equilibrium. Our derivation uses simple arguments to clarify and extend results available in the literature. We show that if a...
Mean-Spread-Preserving Transformations
The Lorenz curve the Gini coefficient rank-dependent measures of inequality generalized Gini families of inequality measures mean-spread-preserving transformations
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2014/6/25
The purpose of this paper is to define various mean-spread-preserving transformations, which can be considered as generalized versions of the mean-Gini-preserving transformation. The mean-Gini-preserv...