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Commodities and the market price of risk / / Shaun K. Roache
| Commodities and the market price of risk / / Shaun K. Roache |
| Autore | Roache Shaun K |
| Pubbl/distr/stampa | [Washington, District of Columbia] : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (25 p.) |
| Disciplina | 330.015195 |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Risk - Econometric models
Commodity futures - Econometric models Capital assets pricing model |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-6790-9
1-4518-7079-5 1-4519-8829-X 1-282-84172-6 9786612841729 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; I. Introduction; II. Merton's ICAPM Risk-pricing Model; A. Deriving the risk-pricing equation; B. Identifying state variables; III. Brief Review of the Literature; IV. Data; V. Estimating the Quantities and Prices of Risk; A. The macro risk exposure of commodities; B. Market prices for macro risk; VI. Results; A. Real interest rate risk is priced; B. The time-varying cost of interest rate insurance; C. Evidence for a commodity-specific risk premium; D. Model fit; VII. Conclusion; References; Appendix |
| Record Nr. | UNINA-9910463626403321 |
Roache Shaun K
|
||
| [Washington, District of Columbia] : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Commodities and the Market Price of Risk / / Shaun Roache
| Commodities and the Market Price of Risk / / Shaun Roache |
| Autore | Roache Shaun |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (25 p.) |
| Disciplina | 330.015195 |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Risk - Econometric models
Commodity futures - Econometric models Capital assets pricing model Banks and Banking Investments: Commodities Investments: General Investments: Futures Commodity Markets Interest Rates: Determination, Term Structure, and Effects Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Investment Capital Intangible Capital Capacity Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Investment & securities Finance Macroeconomics Financial services law & regulation Commodities Real interest rates Futures Return on investment Market risk Commercial products Interest rates Derivative securities Saving and investment Financial risk management |
| ISBN |
1-4623-6790-9
1-4518-7079-5 1-4519-8829-X 1-282-84172-6 9786612841729 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; I. Introduction; II. Merton's ICAPM Risk-pricing Model; A. Deriving the risk-pricing equation; B. Identifying state variables; III. Brief Review of the Literature; IV. Data; V. Estimating the Quantities and Prices of Risk; A. The macro risk exposure of commodities; B. Market prices for macro risk; VI. Results; A. Real interest rate risk is priced; B. The time-varying cost of interest rate insurance; C. Evidence for a commodity-specific risk premium; D. Model fit; VII. Conclusion; References; Appendix |
| Record Nr. | UNINA-9910788345503321 |
|
Roache Shaun
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Commodities and the Market Price of Risk / / Shaun Roache
| Commodities and the Market Price of Risk / / Shaun Roache |
| Autore | Roache Shaun |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (25 p.) |
| Disciplina | 330.015195 |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Risk - Econometric models
Commodity futures - Econometric models Capital assets pricing model Banks and Banking Investments: Commodities Investments: General Investments: Futures Commodity Markets Interest Rates: Determination, Term Structure, and Effects Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Investment Capital Intangible Capital Capacity Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Investment & securities Finance Macroeconomics Financial services law & regulation Commodities Real interest rates Futures Return on investment Market risk Commercial products Interest rates Derivative securities Saving and investment Financial risk management |
| ISBN |
1-4623-6790-9
1-4518-7079-5 1-4519-8829-X 1-282-84172-6 9786612841729 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; I. Introduction; II. Merton's ICAPM Risk-pricing Model; A. Deriving the risk-pricing equation; B. Identifying state variables; III. Brief Review of the Literature; IV. Data; V. Estimating the Quantities and Prices of Risk; A. The macro risk exposure of commodities; B. Market prices for macro risk; VI. Results; A. Real interest rate risk is priced; B. The time-varying cost of interest rate insurance; C. Evidence for a commodity-specific risk premium; D. Model fit; VII. Conclusion; References; Appendix |
| Record Nr. | UNINA-9910817527703321 |
|
Roache Shaun
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Credit securitisations and derivatives [[electronic resource] ] : challenges for the global markets / / Daniel Rosch, Harald Scheule
| Credit securitisations and derivatives [[electronic resource] ] : challenges for the global markets / / Daniel Rosch, Harald Scheule |
| Autore | Rosch Daniel |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (464 p.) |
| Disciplina |
332.6
332.7 |
| Altri autori (Persone) | ScheuleHarald |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Capital assets pricing model
Asset-backed financing - Europe |
| ISBN |
1-118-81850-4
1-299-46491-2 1-119-96604-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Credit Securitizations and Derivatives: Challenges for the Global Markets; Contents; Foreword; PART I INTRODUCTION; 1 Credit Securitizations and Derivatives; 1.1 Economic Cycles and Credit Portfolio Risk; 1.2 Credit Portfolio Risk Measurement; 1.3 Credit Portfolio Risk Tranching; 1.4 Credit Ratings; 1.5 Actuarial vs. Market Credit Risk Pricing; 1.6 Regulation; 1.7 Thank You; References; 2 Developments in Structured Finance Markets; 2.1 Impairments of Asset-Backed Securities and Outstanding Ratings; 2.2 Issuance of Asset-backed Securities and Outstanding Volume
2.3 Global CDO Issuance and Outstanding VolumeConcluding Remarks; Notes; References; PART II CREDIT PORTFOLIO RISK MEASUREMENT; 3 Mortgage Credit Risk; 3.1 Introduction; 3.2 Five ""C""s of Credit and Mortgage Credit Risk; 3.3 Determinants of Mortgage Default, Loss Given Default and Exposure at Default; 3.3.1 Determinants of Mortgage Default; 3.3.2 Determinants of Mortgage LGD; 3.3.3 Determinants of Mortgage EAD; 3.4 Modeling Methods for Default, LGD and EAD; 3.5 Model Risk Management; 3.6 Conclusions; References; 4 Credit Portfolio Correlations and Uncertainty; 4.1 Introduction 4.2 Gaussian and Semi-Gaussian Single Risk Factor Model4.3 Individual and Simultaneous Confidence Bounds and Intervals; 4.4 Confidence Intervals for Asset Correlations; 4.5 Confidence Intervals for Default and Survival Time Correlations; 4.5.1 Confidence Intervals for Default Correlations; 4.5.2 Confidence Intervals for Survival Time Correlations; 4.6 Example; 4.7 Conclusion; Appendix; Notes; References; 5 Credit Portfolio Correlations with Dynamic Leverage Ratios; 5.1 Introduction; 5.2 The Hui et al. (2007) Model; 5.2.1 The Method of Images for Constant Coefficients 5.2.2 The Method of Images for Time-Varying Coefficients5.3 Modelling Default Correlations in a Two-Firm Model; 5.3.1 Default Correlations; 5.3.2 A Two-Firm Model with Dynamic Leverage Ratios; 5.3.3 Method of Images for Constant Coefficients at Certain Values of £l12; 5.3.4 Method of Images for Time-Varying Coefficients at Certain Values of £l12; 5.3.5 Alternative Methodologies for General Values of £l12; 5.4 Numerical Results; 5.4.1 Accuracy; 5.4.2 The Impact of Correlation between Two Firms; 5.4.3 The Impact of Dfferent Credit Quality Paired Firms; 5.4.4 The Impact of Volatilities 5.4.5 The Impact of Drift Levels5.4.6 The Impact of Initial Value of Leverage Ratio Levels; 5.4.7 Impact of Correlation between Firms and Interest Rates; 5.4.8 The Price of Credit-Linked Notes; 5.5 Conclusion; Notes; References; 6 A Hierarchical Model of Tail-Dependent Asset Returns; 6.1 Introduction; 6.2 The Variance Compound Gamma Model; 6.2.1 Multivariate Process for Logarithmic Asset Returns; 6.2.2 Dependence Structure; 6.2.3 Sampling; 6.2.4 Copula Properties; 6.3 An Application Example; 6.3.1 Portfolio Setup; 6.3.2 Test Portfolios; 6.3.3 Parameter Setup; 6.3.4 Simulation Results 6.4 Importance Sampling Algorithm |
| Record Nr. | UNINA-9910139014503321 |
|
Rosch Daniel
|
||
| New York, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Credit securitisations and derivatives [[electronic resource] ] : challenges for the global markets / / Daniel Rosch, Harald Scheule
| Credit securitisations and derivatives [[electronic resource] ] : challenges for the global markets / / Daniel Rosch, Harald Scheule |
| Autore | Rosch Daniel |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (464 p.) |
| Disciplina |
332.6
332.7 |
| Altri autori (Persone) | ScheuleHarald |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Capital assets pricing model
Asset-backed financing - Europe |
| ISBN |
1-118-81850-4
1-299-46491-2 1-119-96604-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Credit Securitizations and Derivatives: Challenges for the Global Markets; Contents; Foreword; PART I INTRODUCTION; 1 Credit Securitizations and Derivatives; 1.1 Economic Cycles and Credit Portfolio Risk; 1.2 Credit Portfolio Risk Measurement; 1.3 Credit Portfolio Risk Tranching; 1.4 Credit Ratings; 1.5 Actuarial vs. Market Credit Risk Pricing; 1.6 Regulation; 1.7 Thank You; References; 2 Developments in Structured Finance Markets; 2.1 Impairments of Asset-Backed Securities and Outstanding Ratings; 2.2 Issuance of Asset-backed Securities and Outstanding Volume
2.3 Global CDO Issuance and Outstanding VolumeConcluding Remarks; Notes; References; PART II CREDIT PORTFOLIO RISK MEASUREMENT; 3 Mortgage Credit Risk; 3.1 Introduction; 3.2 Five ""C""s of Credit and Mortgage Credit Risk; 3.3 Determinants of Mortgage Default, Loss Given Default and Exposure at Default; 3.3.1 Determinants of Mortgage Default; 3.3.2 Determinants of Mortgage LGD; 3.3.3 Determinants of Mortgage EAD; 3.4 Modeling Methods for Default, LGD and EAD; 3.5 Model Risk Management; 3.6 Conclusions; References; 4 Credit Portfolio Correlations and Uncertainty; 4.1 Introduction 4.2 Gaussian and Semi-Gaussian Single Risk Factor Model4.3 Individual and Simultaneous Confidence Bounds and Intervals; 4.4 Confidence Intervals for Asset Correlations; 4.5 Confidence Intervals for Default and Survival Time Correlations; 4.5.1 Confidence Intervals for Default Correlations; 4.5.2 Confidence Intervals for Survival Time Correlations; 4.6 Example; 4.7 Conclusion; Appendix; Notes; References; 5 Credit Portfolio Correlations with Dynamic Leverage Ratios; 5.1 Introduction; 5.2 The Hui et al. (2007) Model; 5.2.1 The Method of Images for Constant Coefficients 5.2.2 The Method of Images for Time-Varying Coefficients5.3 Modelling Default Correlations in a Two-Firm Model; 5.3.1 Default Correlations; 5.3.2 A Two-Firm Model with Dynamic Leverage Ratios; 5.3.3 Method of Images for Constant Coefficients at Certain Values of £l12; 5.3.4 Method of Images for Time-Varying Coefficients at Certain Values of £l12; 5.3.5 Alternative Methodologies for General Values of £l12; 5.4 Numerical Results; 5.4.1 Accuracy; 5.4.2 The Impact of Correlation between Two Firms; 5.4.3 The Impact of Dfferent Credit Quality Paired Firms; 5.4.4 The Impact of Volatilities 5.4.5 The Impact of Drift Levels5.4.6 The Impact of Initial Value of Leverage Ratio Levels; 5.4.7 Impact of Correlation between Firms and Interest Rates; 5.4.8 The Price of Credit-Linked Notes; 5.5 Conclusion; Notes; References; 6 A Hierarchical Model of Tail-Dependent Asset Returns; 6.1 Introduction; 6.2 The Variance Compound Gamma Model; 6.2.1 Multivariate Process for Logarithmic Asset Returns; 6.2.2 Dependence Structure; 6.2.3 Sampling; 6.2.4 Copula Properties; 6.3 An Application Example; 6.3.1 Portfolio Setup; 6.3.2 Test Portfolios; 6.3.3 Parameter Setup; 6.3.4 Simulation Results 6.4 Importance Sampling Algorithm |
| Record Nr. | UNINA-9910808658903321 |
|
Rosch Daniel
|
||
| New York, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Damodaran on valuation : security analysis for investment and corporate finance / / Aswath Damodaran
| Damodaran on valuation : security analysis for investment and corporate finance / / Aswath Damodaran |
| Autore | Damodaran Aswath |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2006 |
| Descrizione fisica | 1 online resource (1373 p.) |
| Disciplina | 658.15 |
| Collana | Wiley finance |
| Soggetto topico |
Corporations - Valuation - Mathematical models
Capital assets pricing model Investment analysis Valoració d'empreses Models matemàtics Anàlisi financera |
| Soggetto genere / forma |
Electronic books.
Llibres electrònics |
| ISBN |
1-119-20178-0
1-118-16108-4 0-470-04937-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Title; Copyright; Dedication; Preface; Chapter 1: Introduction to Valuation; A Philosophical Basis for Valuation; Inside the Valuation Process; Approaches to Valuation; Role of Valuation; Conclusion; Part One: Discounted Cash Flow Valuation; Chapter 2: Estimating Discount Rates; What is Risk?; Cost of Equity; From Cost of Equity to Cost of Capital; Conclusion; Chapter 3: Measuring Cash Flows; Categorizing Cash Flows; Earnings; Tax Effect; Reinvestment Needs; From Firm to Equity Cash Flows; Conclusion; Chapter 4: Forecasting Cash Flows
Structure of Discounted Cash Flow ValuationLength of Extraordinary Growth Period; Detailed Cash Flow Forecasts; Terminal Value; Estimation Approaches; Conclusion; Chapter 5: Equity Discounted Cash Flow Models; Dividend Discount Models; FCFE (Potential Dividend) Discount Models; FCFE Versus Dividend Discount Model Valuation; Per Share Versus Aggregate Valuation; Conclusion; Chapter 6: Firm Valuation Models; Cost of Capital Approach; Adjusted Present Value Approach; Excess Return Models; Capital Structure and Firm Value; Conclusion; Part Two: Relative Valuation Chapter 7: Relative Valuation: First PrinciplesWhat is Relative Valuation?; Ubiquity of Relative Valuation; Reasons for Popularity and Potential Pitfalls; Standardized Values and Multiples; Four Basic Steps to Using Multiples; Reconciling Relative and Discounted Cash Flow Valuations; Conclusion; Chapter 8: Equity Multiples; Definitions of Equity Multiples; Distributional Characteristics of Equity Multiples; Analysis of Equity Multiples; Applications of Equity Multiples; Conclusion; Chapter 9: Value Multiples; Definition of Value Multiples; Distributional Characteristics of Value Multiples Analysis of Value MultiplesApplications of Value Multiples; Conclusion; Part Three: Loose Ends in Valuation; Chapter 10: Cash, Cross Holdings, and Other Assets; Cash and Near-Cash Investments; Financial Investments; Holdings in Other Firms; Other Nonoperating Assets; Conclusion; Appendix 10.1: Industry Averages: Cash Ratios-January 2005; Chapter 11: Employee Equity Options and Compensation; Equity-Based Compensation; Employee Options; Restricted Stock; Conclusion; Chapter 12: The Value of Intangibles; Importance of Intangible Assets; Independent and Cash-Flow-Generating Intangible Assets Firmwide Cash-Flow-Generating Intangible AssetsIntangible Assets with Potential Future Cash Flows; Conclusion; Appendix 12.1: Option Pricing Models; Chapter 13: The Value of Control; Measuring the Expected Value of Control; Manifestations of the Value of Control; Conclusion; Chapter 14: The Value of Liquidity; Measuring Illiquidity; Cost of Illiquidity: Theory; Cost of Illiquidity: Empirical Evidence; Dealing with Illiquidity in Valuation; Consequences of Illiquidity; Conclusion; Chapter 15: The Value of Synergy; What is Synergy?; Valuing Synergy; Dubious Synergies Evidence on Synergy-Value Created and Added |
| Record Nr. | UNINA-9910138907703321 |
|
Damodaran Aswath
|
||
| Hoboken, New Jersey : , : Wiley, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Damodaran on valuation : security analysis for investment and corporate finance / / Aswath Damodaran
| Damodaran on valuation : security analysis for investment and corporate finance / / Aswath Damodaran |
| Autore | Damodaran Aswath |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2006 |
| Descrizione fisica | 1 online resource (1373 p.) |
| Disciplina | 658.15 |
| Collana | Wiley finance |
| Soggetto topico |
Corporations - Valuation - Mathematical models
Capital assets pricing model Investment analysis Valoració d'empreses Models matemàtics Anàlisi financera |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-119-20178-0
1-118-16108-4 0-470-04937-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Title; Copyright; Dedication; Preface; Chapter 1: Introduction to Valuation; A Philosophical Basis for Valuation; Inside the Valuation Process; Approaches to Valuation; Role of Valuation; Conclusion; Part One: Discounted Cash Flow Valuation; Chapter 2: Estimating Discount Rates; What is Risk?; Cost of Equity; From Cost of Equity to Cost of Capital; Conclusion; Chapter 3: Measuring Cash Flows; Categorizing Cash Flows; Earnings; Tax Effect; Reinvestment Needs; From Firm to Equity Cash Flows; Conclusion; Chapter 4: Forecasting Cash Flows
Structure of Discounted Cash Flow ValuationLength of Extraordinary Growth Period; Detailed Cash Flow Forecasts; Terminal Value; Estimation Approaches; Conclusion; Chapter 5: Equity Discounted Cash Flow Models; Dividend Discount Models; FCFE (Potential Dividend) Discount Models; FCFE Versus Dividend Discount Model Valuation; Per Share Versus Aggregate Valuation; Conclusion; Chapter 6: Firm Valuation Models; Cost of Capital Approach; Adjusted Present Value Approach; Excess Return Models; Capital Structure and Firm Value; Conclusion; Part Two: Relative Valuation Chapter 7: Relative Valuation: First PrinciplesWhat is Relative Valuation?; Ubiquity of Relative Valuation; Reasons for Popularity and Potential Pitfalls; Standardized Values and Multiples; Four Basic Steps to Using Multiples; Reconciling Relative and Discounted Cash Flow Valuations; Conclusion; Chapter 8: Equity Multiples; Definitions of Equity Multiples; Distributional Characteristics of Equity Multiples; Analysis of Equity Multiples; Applications of Equity Multiples; Conclusion; Chapter 9: Value Multiples; Definition of Value Multiples; Distributional Characteristics of Value Multiples Analysis of Value MultiplesApplications of Value Multiples; Conclusion; Part Three: Loose Ends in Valuation; Chapter 10: Cash, Cross Holdings, and Other Assets; Cash and Near-Cash Investments; Financial Investments; Holdings in Other Firms; Other Nonoperating Assets; Conclusion; Appendix 10.1: Industry Averages: Cash Ratios-January 2005; Chapter 11: Employee Equity Options and Compensation; Equity-Based Compensation; Employee Options; Restricted Stock; Conclusion; Chapter 12: The Value of Intangibles; Importance of Intangible Assets; Independent and Cash-Flow-Generating Intangible Assets Firmwide Cash-Flow-Generating Intangible AssetsIntangible Assets with Potential Future Cash Flows; Conclusion; Appendix 12.1: Option Pricing Models; Chapter 13: The Value of Control; Measuring the Expected Value of Control; Manifestations of the Value of Control; Conclusion; Chapter 14: The Value of Liquidity; Measuring Illiquidity; Cost of Illiquidity: Theory; Cost of Illiquidity: Empirical Evidence; Dealing with Illiquidity in Valuation; Consequences of Illiquidity; Conclusion; Chapter 15: The Value of Synergy; What is Synergy?; Valuing Synergy; Dubious Synergies Evidence on Synergy-Value Created and Added |
| Record Nr. | UNINA-9910676640003321 |
|
Damodaran Aswath
|
||
| Hoboken, New Jersey : , : Wiley, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Dark markets [[electronic resource] ] : asset pricing and information transmission in over-the-counter markets / / Darrell Duffie
| Dark markets [[electronic resource] ] : asset pricing and information transmission in over-the-counter markets / / Darrell Duffie |
| Autore | Duffie Darrell |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, c2012 |
| Descrizione fisica | 1 online resource (114 p.) |
| Disciplina | 332.64/3 |
| Collana | Princeton lectures in finance |
| Soggetto topico |
Over-the-counter markets
Capital assets pricing model |
| Soggetto genere / forma | Electronic books. |
| Soggetto non controllato |
Bellman's principle
OTC market OTC trades asset pricing credit risk debt derivatives equilibrium bargaining equilibrium search federal funds market federal loans global financial crisis information exchange interbank market intraday allocation large numbers market opaqueness over-the-counter market percolation posterior beliefs private information random matching repurchase search models supply shocks trading transparency |
| ISBN |
1-283-33986-2
9786613339867 1-4008-4051-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Tables -- Figures -- Preface -- Chapter 1. Over-the- Counter Markets -- Chapter 2. The Case of Federal Funds Lending -- Chapter 3. Search for Counterparties -- Chapter 4. A Simple OTC Pricing Model -- Chapter 5 Information Percolation in OTC Markets -- Appendix A. Foundations for Random Matching -- Appendix B. Counting Processes -- Bibliography -- Index |
| Record Nr. | UNINA-9910457897503321 |
|
Duffie Darrell
|
||
| Princeton, : Princeton University Press, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Dark markets [[electronic resource] ] : asset pricing and information transmission in over-the-counter markets / / Darrell Duffie
| Dark markets [[electronic resource] ] : asset pricing and information transmission in over-the-counter markets / / Darrell Duffie |
| Autore | Duffie Darrell |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, c2012 |
| Descrizione fisica | 1 online resource (114 p.) |
| Disciplina | 332.64/3 |
| Collana | Princeton lectures in finance |
| Soggetto topico |
Over-the-counter markets
Capital assets pricing model |
| Soggetto non controllato |
Bellman's principle
OTC market OTC trades asset pricing credit risk debt derivatives equilibrium bargaining equilibrium search federal funds market federal loans global financial crisis information exchange interbank market intraday allocation large numbers market opaqueness over-the-counter market percolation posterior beliefs private information random matching repurchase search models supply shocks trading transparency |
| ISBN |
1-283-33986-2
9786613339867 1-4008-4051-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Tables -- Figures -- Preface -- Chapter 1. Over-the- Counter Markets -- Chapter 2. The Case of Federal Funds Lending -- Chapter 3. Search for Counterparties -- Chapter 4. A Simple OTC Pricing Model -- Chapter 5 Information Percolation in OTC Markets -- Appendix A. Foundations for Random Matching -- Appendix B. Counting Processes -- Bibliography -- Index |
| Record Nr. | UNINA-9910781565803321 |
|
Duffie Darrell
|
||
| Princeton, : Princeton University Press, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Dark markets [[electronic resource] ] : asset pricing and information transmission in over-the-counter markets / / Darrell Duffie
| Dark markets [[electronic resource] ] : asset pricing and information transmission in over-the-counter markets / / Darrell Duffie |
| Autore | Duffie Darrell |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, c2012 |
| Descrizione fisica | 1 online resource (114 p.) |
| Disciplina | 332.64/3 |
| Collana | Princeton lectures in finance |
| Soggetto topico |
Over-the-counter markets
Capital assets pricing model |
| Soggetto non controllato |
Bellman's principle
OTC market OTC trades asset pricing credit risk debt derivatives equilibrium bargaining equilibrium search federal funds market federal loans global financial crisis information exchange interbank market intraday allocation large numbers market opaqueness over-the-counter market percolation posterior beliefs private information random matching repurchase search models supply shocks trading transparency |
| ISBN |
1-283-33986-2
9786613339867 1-4008-4051-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Tables -- Figures -- Preface -- Chapter 1. Over-the- Counter Markets -- Chapter 2. The Case of Federal Funds Lending -- Chapter 3. Search for Counterparties -- Chapter 4. A Simple OTC Pricing Model -- Chapter 5 Information Percolation in OTC Markets -- Appendix A. Foundations for Random Matching -- Appendix B. Counting Processes -- Bibliography -- Index |
| Record Nr. | UNINA-9910826652303321 |
|
Duffie Darrell
|
||
| Princeton, : Princeton University Press, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
