Current Issue : July - September Volume : 2016 Issue Number : 3 Articles : 5 Articles
Different from the pure financial investors, investors of established company not only take financial\nreturns into account, but also strategic benefits. The existence of strategic benefits distorts the\nbehavior of industrial capital for investment. And high valuation is one of its manifestations. This\npaper constructs a model to illustrate the high valuation of industrial capital investment. If a complementary\nrelationship exists between invested projects and industrial capital investor�s core\nbusiness (i.e. strategic benefit is positive), then the industrial capital investment will result in high\nvaluation; besides, if a substitute relationship exists between the invested projects and industrial\ncapital investor� score business (i.e. strategic benefit is negative), high valuation problem also appears.\nThis paper highlights the origin of high valuation problem, and puts forward corresponding\nproposals to solve this problem....
During the last subprime crisis, the concentration risk issue has become increasingly important in\nthe world of finance. This risk is defined as the loss that we can get from a large exposition of a\nsingle name counterparty, a sector or a product. This paper represents some mathematical models\nfor evaluating and quantifying the concentration risk under the Ad-Hoc approaches. This study is\nbased on indexes developed by the theory of inequality and the theory of industrial concentration.\nThis work is about the comparison between these measurements to get which one fits most the financial\ncontext. We have selected a set of concentration indexes than we have implemented an\nempirical test. We propose also a new concentration index. As a result, we shortlist three competitive\nindexes....
Linear price systems, typically used to model ââ?¬Å?perfectââ?¬Â markets, are widely known not to accommodate\nmost of the typical frictions featured in ââ?¬Å?actualââ?¬Â ones. Since some years, ââ?¬Å?proportionalââ?¬Â\nfrictions (taxes, bid-ask spreads, and so on) are modeled by means of sublinear price functionals,\nwhich proved to give a more ââ?¬Å?realisticââ?¬Â description. In this paper, we want to introduce two more\nclasses of functionals, not yet widely used in Mathematical Finance, which provide a further improvement\nand an even closer adherence to actual markets, namely the class of granular functionals,\nobtained when the unit prices of traded assets are increasing w.r.t. the traded amount; and\nthe class of star-shaped functionals, obtained when the average unit prices of traded assets are increasing\nw.r.t. the traded amount. A characterisation of such functionals, together with their relationships\nwith arbitrages and other (more significant) market inefficiencies, is explored....
This study presents an analysis of the impact of asset price bubbles on standard credit risk measures,\nincluding Expected Loss (ââ?¬Å?ELââ?¬Â) and Credit Value-at-Risk (ââ?¬Å?CVaRââ?¬Â). We present a styled model\nof asset price bubbles in continuous time, and perform a simulation experiment of a 2 dimensional\nStochastic Differential Equation (ââ?¬Å?SDEââ?¬Â) system for asset value determining Probability of Default\n(ââ?¬Å?PDââ?¬Â) through a Constant Elasticity of Variance (ââ?¬Å?CEVââ?¬Â) process, as well as a correlated a Loss-\nGiven-Default (ââ?¬Å?LGDââ?¬Â) through a mean reverting Cox-Ingersoll-Ross (ââ?¬Å?CIRââ?¬Â) process having a longrun\nmean dependent upon the asset value. Comparing bubble to non-bubble economies, it is\nshown that asset price bubbles may cause an obligorââ?¬â?¢s traditional credit risk measures, such as EL\nand CVaR to decline, due to a reduction in both the standard deviation and right skewness of the\ncredit loss distribution. We propose a new risk measure in the credit risk literature to account for\nlosses associated with a bubble bursting, the Expected Holding Period Credit Loss (ââ?¬Å?EHPCLââ?¬Â), a\nphenomenon that must be taken into consideration for the proper determination of economic\ncapital for both credit risk management and measurement purposes....
The objective of this article is to analyze the tie between the financings of the Decentralized Financial\nSystem (DFS) and the agricultural growth in Senegal. We use a linear equation model. The\nsurvey covers the active period of 1999 to 2013. Results show that the Decentralized Financial\nSystem has a positive and significant impact on the agricultural GDP in Senegal....
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