Search results for "Securities"
showing 10 items of 13 documents
Finances and credit: problems, conceptions, management
2001
Economic situation in the Baltic States is investigated, in particular the development of economics in transition is analysed in Latvia, Lithuania, Estonia and Poland. There are studied the following details: Monetary and exchange rate policy; Crediting and bank management; Development of securities market; Management of taxes and finance; Development of accounting policy; Pension reform perspective etc.
Pricing sovereign contingent convertible debt
2018
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. We model CDS spread regime switching, which is prevalent during crises, as a hidden Markov process, coupled with a mean-reverting stochastic process of spread levels under fixed regimes, in order to obtain S-CoCo prices through simulation. The paper uses the pricing model in a Longstaff-Schwartz American option pricing framework to compute future state contingent S-CoCo prices for risk management. Dual trigger pricing is also discussed using the idiosyncratic CDS spread for the sovereign debt together with a broad market index. …
Kriptovalūtas izpratne un bažas par jaunākajām paaudzēm
2021
Autore šajā pētījumā analizē pašreizējo izpratni kriptovalūtu pasaulē un digitālās valūtas drošības stāvokli, un pētījuma mērķis ir atbildēt uz jautājumu, vai cilvēki ir informēti par kriptonauda un vai tā ir pietiekami droša lietošanai dienā vai nē dienas laikā kā viens no oficiālajiem maksājumu pakalpojumiem un lai atbildētu uz šo jautājumu, autore ir analizējusi teorētiskās koncepcijas, kas saistītas ar kriptovalūtu, un izstrādājusi anketu, lai to nosūtītu gan darbinieku, gan pašreizējās paaudzes studentu paraugam, lai iegūtu izpratnes perspektīvu un viņu komfortu par valūtas drošību tika veikta arī intervija ar vienu no apmaiņā strādājošajiem ekspertiem, lai uzzinātu uzņēmumu un organiz…
Futures pricing in electricity markets based on stable CARMA spot models
2012
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increments process for the low-frequency dynamics, and model the large uctuations by a non-Gaussian stable CARMA process. The model allows for analytic futures prices, and we apply these to model and estimate the whole market consistently. Besides standard parameter estimation, an estimation procedure is suggested, where we t the non-stationary trend using futures data with long time until delivery, and a robust L 1 -lter to nd the states of …
A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
2021
We develop a new nonparametric approach for estimating the risk-neutral density of asset prices and reformulate its estimation into a double-constrained optimization problem. We evaluate our approach using the S\&P 500 market option prices from 1996 to 2015. A comprehensive cross-validation study shows that our approach outperforms the existing nonparametric quartic B-spline and cubic spline methods, as well as the parametric method based on the Normal Inverse Gaussian distribution. As an application, we use the proposed density estimator to price long-term variance swaps, and the model-implied prices match reasonably well with those of the variance future downloaded from the CBOE websi…
Corporate Distress and Restructuring with Macroeconomic Fluctuations: The Cases of GM and Ford
2011
Traditional methods for evaluating corporate credit risk rarely consider the impact of the macro economy on corporate value and performance. We argue that lenders and management can obtain valuable information about the need for and approach to restructuring by decomposing default predictions into intrinsic and macroeconomic factors. We apply a method previously used for measuring macroeconomic exposures on default predictions in order to filter out macroeconomic factors. In this paper the method is applied on an analysis of the Z-scores for GM and Ford for the period 1996-2005. The macro-economy has affected the two firms in different ways with implications for managements and creditors ap…
The effectiveness of several market integration measures when facing a market turmoil
2003
Many market integration measures are operationalized to compute their numerical values during a period characterized by the lack of stability and market turmoil. The results of the tests give their degree of effectiveness, and reveal that the measures based on the principles of asset valuation, versus statistical measures, more clearly yield the level of integration of financial markets. Besides, cross market arbitrage-linked measures and equilibrium models-linked measures provide complementary information and reflect different properties, and consequently, both types of measures may be useful in practice.
MARKET CORRELATION, MARKET RETURNS AND PORTFOLIO IMPLICATION
2012
In this paper we examine the market correlation and market returns from Romanian perspective. Market returns are higher in emerging markets than developed market returns, but form portfolio perspective it`s also important to evaluate how much correlations are changing in emerging markets. Our results are important in allocation of financial instruments in institutional portfolio management.
Krievijas akciju tirgus pievilcības novērtējums salīdzinājumā ar ASV akciju tirgu
2021
Akciju tirgus ir svarīga ekonomikas sastāvdaļa. Mūsdienās ASV akciju tirgus tiek uzskatīts par lielāko pasaulē. Pasaulē ir pietiekami attīstīti akciju tirgi, tomēr ne visi no tiem tiek pietiekami novērtēti. Šī pētījuma mērķis ir pierādīt ka Krievijas akciju tirgus nav pietiekami novērtēts, veicot Krievijas akciju tirgus salīdzinošo analīzi ar ASV akciju tirgu. Izvērtēt Krievijas akciju tirgus pozitīvās un negatīvās īpašības.. Pirmajā nodaļā tiek analizēta akciju tirgus teorētiskie pamati. Otrajā nodaļā tiek aprakstīti Krievijas un ASV akciju tirgi, to vēsturiskā attīstība. Trešajā nodaļā tiek analizēta Krievijas akciju tirgus darbība un to ietekmējošie faktori.
European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis
2015
In this paper the valuation problem of a European call option in presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs and fast mean reversion, an asymptotic expression for the option price is obtained. While the dominant term in the expansion it is shown to be the classical Black and Scholes solution, the correction terms appear at $O(\varepsilon^{1/2})$ and $O(\varepsilon)$. The optimal hedging strategy is then explicitly obtained for the Scott's model.