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The effection of liquidity on the financial risk is becoming more and more important. Ignoring it the risk analysis would be in failure. This paper provides a default-risky debt valuation model, which assumes that market liquidity modelled by the intensity of default is driven by a continuous-time Markov chain. The model accounts for default probability with liquidity risk calibrated. A semimartingale...
The electricity futures market is an inevitable product from the development of electricity spot market, it is advantageous to discover the real price of electric power and reduce the risk of electricity market. This paper considers optimal dynamic hedging of electricity futures using copula-GARCH models. The Student's-t, Gumbel and time-varying normal copulas are utilized to capture the dependence...
In China, private placement fund has a major impact on the operation of stock market. Due to the characteristics of private placement fund and the lack of legislation, there are a number of risk factors in the operating of private placement fund. This article introduces the operating state of private placement fund in China, and analyzes the characteristics of the risk. In the last part, on the basis...
When we consider risk as a type of financial asset, and accordingly transform the measurement of risk into the pricing of asset (i.e. risk), a series of assets pricing methods in financial economics can be applied. Furthermore, Equilibrium Pricing Principle has proved the rationality and feasibility of this consideration, and points out that traditional risk measurement method, VaR (Value at Risk)...
Agricultural industry chains are increasingly vulnerable to natural disaster such as earthquakes or hurricanes. This paper investigates the ripple effect on the agricultural industry chain which is heavily influenced by the natural disaster. Taking the pig industry chain in the disaster area -Luzhou, Sichuan Province as an illustration, the paper was committed to the dynamics of price adjustment and...
BT model is widely used in municipal infrastructure construction financing in recent years. The repurchase price of BT project is the core issues between project sponsor and BT investors. Repurchase price consists of two parts: project settlement price and investment income. Return on investment is closely related to bank lending rates, social discount rate and the risk level of investor tolerance...
With the increasing level of volatility in the crude oil market, the transient data feature becomes more prevalent in the market and is no longer ignorable during the risk measurement process. Since using a set of bases available there are multiple representations for these transient data features, the sparsity measure based Morphological Component Analysis (MCF) model is proposed in this paper to...
Some advanced structural models of default risk have introduced jump component to reflect the abnormal jump risk, but most of them take use of the credit spread, credit default swap (CDS) spread or option price in empirical research. However, the finance derivative market and the bond market in China are undergoing very limited development, which makes it impossible to use the credit spread or CDS...
In order to use the states of price trends or historical volatility to interpret value-at-risk without distributional assumptions, quantile regression method is used to solve the problem. We present the risk measurement model using five lag returns as explanatory variables. To describe the relationship between risk and status we introduce the explanatory variables of price trend states into the model...
Based on the three-factor model (Fama and French, 1993) and two-stage FM method (Fama and Macbeth, 1973), this paper employs quantile regression technique to analyse the relationship between cross-section returns of all A stocks in Shanghai and Shenzhen stock markets and risk factors which include company specific variables(trading volume, company size, book-at-market ratio) and market macro variables(risk-free...
This paper examines the impacts of demand price sensitivity and retailer's risk aversion on characteristics of the buy back contract. The market demand is stochastic and price dependent. We adopt additive demand model. The supplier is risk neutral while the retailer is risk averse. We formulate the retailer's decision model in the form of mean-variance. The decision models of the supply chain members...
In order to measure the supply chain risk caused by the fluctuation of retail price which is considered as a random variable, in this paper, for a three-echelon supply chain with no inventories, we use the variances of profits of supplier, distributor and retailer to characterize their risks. And then we analyze the transmission mode of risks by the differences of variances of profits of retailer,...
It is found that the food price rising are the main reasons to promote the overall price level from operational features of the consumer price index (CPI). The food and energy supply shortage and pork price rising are the direct reason of the China price index rising recently. We study the dynamic relations among money supply growth, deposit reserve ratio, raw materials price and CPI index through...
This paper introduces a method to model asset price. The covariance would be adjusted in light of overconfidence, which make asset prices reflect both rational covariance risk and whole components arising from mispricing. The models imply, for same quantity, the price variation about positive signals is more drastic than that on the negative.
This paper provides a summary of the application of California ISO approach in evaluating economic benefit of the Sunrise Powerlink transmission project, which was proposed by San Diego Gas & Electric Company (SDG&E). The California ISO (CAISO) applied its Transmission Economic Assessment Methodology (TEAM) in its original evaluation of the economic benefits of the Sunrise Powerlink Project...
There exists one kind of natural and accrete relationship between city commercial banks and small enterprises. How to establish a sound small business loan pricing mechanism has become a crucial problem confronting city commercial bank. This paper extends research on a commercial bankpsilas status quo in pricing its small business loans. The result indicates that this bank mainly emphasizes on risk...
The market price for electrical energy is one of the main decisive factors for operational and strategic questions of power generation companies (PGC). Using market simulation methods which simulate the market for electrical energy the price development can be investigated. However, the deficit of typical market simulation methods is, that these methods in general not consider all cost components...
It is well known that stable risk in supply chain is absolutely necessary for enterprises, so how to maintain stable risk in supply system becomes an important content in SCM. Because supply chain system itself is a very complex system, the interacting relationship among key factors in this system must be studied in order to grasp accurately and forecast its running rules. In this paper, a model based...
When a paid price discount activity occurs, the decision-maker must decide whether or not and when to pay the additional fees for preferential price in an online fashion. This problem which generalizes the basic leasing problem has been introduced and studied by Fleischer et al. In this paper, we extend the basic model to consider different price discount replacement case and present the optimal deterministic...
We propose a novel calibration methodology based on the maximum likelihood estimator to recover the parameters of a structural model of credit risk which accounts for potential reporting bias. Such bias is introduced by the managers and it is unobserved by outsider investors which can only estimate it. The calibration is performed using a combination of balance sheet, financial indicators and market...
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