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We consider a simple continuous-time economy, populated by a large number of agents, more risk averse than the log agent, with hetero- geneous risk aversion densely covering an interval. Even though the dividend is a geometric Brownian motion, the equilibr ...
An efficient method for valuing credit derivatives based on three entities is developed in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of three forms. As an application ...
We report on two sets of large-scale financial markets experiments that were designed to test the central proposition of modern asset pricing theory, namely, that risk premia are solely determined by covariance with aggregate risk. We analyze the pricing w ...
This paper investigates the impact of asset liquidity on the valuation of corporate securities and the firm's financing decisions. I show that asset liquidity increases debt capacity only when bond covenants restrict the disposition of assets. By contrast, ...
A new method of evaluating the characteristics of postural transition (PT) and their correlation with falling risk in elderly people is described. The time of sit-to-stand and stand-to-sit transitions and their duration were measured using a miniature gyro ...
We characterize a three-factor model of commodity spot prices, convenience yields, and interest rates, which nests many existing specifications. The model allows convenience yields to depend on spot prices and interest rates. It also allows for time-varyin ...
Structural and reduced-form models are two well-established approaches to modelling a firm’s default risk. Here, Li Chen, Damir Filipovic and Vincent Poor develop a new default risk modelling strategy based on combining these two frameworks in order to ove ...
Falls are the leading cause of injury-related morbidity and mortality among elderlypersons and are associated with significant adverse psychological andphysical consequences [1].Evaluating fall risk is important because it allows better targeting for preve ...
The present invention relates to a system and a method for monitoring body movement, in particular but not exclusively for evaluating the falling risk and/or for monitoring sitting, standing, lying, walking and running periods. The system is characterized ...
