Keywords: خطر پیشفرض; Default risk; Affine processes; Stochastic volatility; Market price of risk; Change of measure; Jump-to-default;
مقالات ISI خطر پیشفرض (ترجمه نشده)
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Keywords: خطر پیشفرض; Corporate social responsibility; Default risk; Firm capability; Environmental dynamism; Environmental complexity
Keywords: خطر پیشفرض; G22; G32; G33; Insurance securitization; Catastrophe bonds; Default risk;
Keywords: خطر پیشفرض; G12; G14; G17; Default risk; Hazard rate function; Frailty; Distance to default; Tail loss; Monte Carlo expectations maximization (EM); Gibbs sampler;
Keywords: خطر پیشفرض; Privatization; Capital structure; Asymmetric information; Default risk; Governance;
Keywords: خطر پیشفرض; Default risk; Structural model; Incomplete information; Convex ordering; Comonotonicity;
Keywords: خطر پیشفرض; Systemic risk; Bank competition; Credit risk; Merton model; Distance to default; Default risk; Lerner index; Bank concentration;
Keywords: خطر پیشفرض; Excess cash; Default risk; Managerial control; G32; G33;
Keywords: خطر پیشفرض; Default risk; Sovereign debt; Systemic risk; Financial networks;
Keywords: خطر پیشفرض; G13; G28; Cap options; Capital regulation; Bank interest margin; Equity volatility; Default risk;
Keywords: خطر پیشفرض; C61; G01; G13; G22; Drawdown insurance; Early cancellation; Optimal stopping; Default risk;
Keywords: خطر پیشفرض; E44; G28; G21; Default risk; Government interventions; Quantile regression;
Keywords: خطر پیشفرض; G32; Default risk; Credit rating; Probability of default; Stock returns;
Keywords: خطر پیشفرض; G19; G21; Derivative securities; Default risk; Collateral; Margining; Systemic risk;
Keywords: خطر پیشفرض; G21; G32; Loan collateral; Financial reporting conservatism; Debt contracting; Default risk; Asset tangibility;
Keywords: خطر پیشفرض; G12; G21Bond pricing; Ratings; Default risk; Liquidity risk; Political risk; Emerging markets
Keywords: خطر پیشفرض; Time-changed Brownian motion; First-passage probability; Default risk; Option pricing; System of integral equations; Numerical quadrature
Keywords: خطر پیشفرض; Default risk; Bank loans; Credit scoring models; ShippingG21; G33; C25
Predicting failure risk using financial ratios: Quantile hazard model approach
Keywords: خطر پیشفرض; G17; G33; C21; Default risk; Discrete hazard model; Quantile hazard model; LASSO; Industrial dummy variables;
The term structure of CDS spreads and sovereign credit risk
Keywords: خطر پیشفرض; Credit default swaps; Default risk; Sovereign debt; Term structure; C1; E43; E44; G12; G15;
Lending technology and credit risk under different types of loans to SMEs: Evidence from China
Keywords: خطر پیشفرض; Lending technology; Transaction lending; Soft information; Hard information; Default risk; G21; G23;
(Dis)advantages of informal loans - Theory and evidence
Keywords: خطر پیشفرض; Informal credit; Family loans; Social capital; Limited enforcement; Default risk; D14; G21; O16; O17;
A retailer-supplier supply chain model with trade credit default risk in a supplier-Stackelberg game
Keywords: خطر پیشفرض; Trade credit; Supply chain; Default risk; Supplier-Stackelberg; Delay in payments;
Multiple risk factor dependence structures: Copulas and related properties
Keywords: خطر پیشفرض; C02; C51; Multivariate distributions; (Tail) dependence; Archimedean copulas; Marshall-Olkin copulas; Factor models; Default risk;
Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
Keywords: خطر پیشفرض; C61; G11; G22; DC pension plan; Default risk; Constant elasticity of variance (CEV) model; Mean-variance criterion; Time-consistency;
A closed form solution for vulnerable options with Heston’s stochastic volatility
Keywords: خطر پیشفرض; Vulnerable option; Stochastic volatility; Default risk; Heston dynamics
How the Euro Crisis Evolved and how to Avoid Another: EMU, Fiscal Policy and Credit Ratings
Keywords: خطر پیشفرض; E52; E62; H63; H68; Fiscal union; Monetary and fiscal policy; Credit ratings; Default risk;
Has market discipline on banks improved after the Dodd-Frank Act?
Keywords: خطر پیشفرض; G01; G20; G21; G28; G180; E44; Subordinated debt; Yield spread; Default risk; Market discipline; Risk-sensitivity; Regulation;
q-Gaussian distributions of leverage returns, first stopping times, and default risk valuations
Keywords: خطر پیشفرض; Default risk; q-Gaussian distribution; First stopping time;
The “forward premium puzzle” and the sovereign default risk
Keywords: خطر پیشفرض; G15; G01; C3; Carry trades; UIP puzzle; Default risk; Smooth transition regression models;
What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk
Keywords: خطر پیشفرض; E43; F30; G01; H631; CDS spreads; Sovereign risk; Fiscal space; Default risk; Eurozone;
The effect of underreporting on LIBOR rates
Keywords: خطر پیشفرض; G10; E43; E44LIBOR rate; Default risk; Structural breaks
Stochastic portfolio optimization with default risk
Keywords: خطر پیشفرض; Portfolio optimization; Default risk; Stochastic factor; HJB equation; Sub–super solution
The role of banking regulation in an economy under credit risk and liquidity shock
Keywords: خطر پیشفرض; E13; E20; G21; G28DSGE; Banking sector; Default risk; Credit risk; Bank supervision
Determinants of bank credit default swap spreads: The role of the housing sector
Keywords: خطر پیشفرض; G01; G15Corporate CDS spreads; Housing market; Credit crisis; Default risk; Liquidity risk
Housing, mortgage bailout guarantees and the macro economy
Keywords: خطر پیشفرض; Housing; Mortgage market; Default risk; Government-sponsored enterprises;
U.S. prompt corrective action and bank risk
Keywords: خطر پیشفرض; G18; G28; C22; Prompt corrective action; Credit risk; Default risk; Cointegration; Switching cointegration;
Sovereign default risk premia: Evidence from the default swap market
Keywords: خطر پیشفرض; F34; G12; G15; Emerging markets; Default risk; Credit default swaps; Term structure models; Kalman filter;
The term structure of interbank risk
Keywords: خطر پیشفرض; E43; G01; G12Interbank risk; LIBOR; Interest rate swaps; Default risk; Liquidity
Call-pricing equity returns and default risks of entry mode with brand perception in retail banking
Keywords: خطر پیشفرض; G11; G13; G21; Bank brand perception; Entry competition; Interest margin; Default risk;
Modeling the effect of macroeconomic factors on corporate default and credit rating transitions
Keywords: خطر پیشفرض; G32; E44; G24; Credit risk; Cox model; Default risk; Intensity model; Bond ratings;
Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index
Keywords: خطر پیشفرض; xx-62Archimedean copulas; Nonparametric estimation; iTraxx CDS index; Kurtosis of equity return distribution; Default risk
The impact of European bank mergers on bidder default risk
Keywords: خطر پیشفرض; G21; G34; G33; G28; Banks; Mergers; Default risk; Europe;
Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks?
Keywords: خطر پیشفرض; G01; G12; G20; G21; G28; Subordinated debt; Trust-preferred securities; Yield spread; Too-big-to-fail; Default risk;
Dividends and leverage: How to optimally exploit a non-renewable investment
Keywords: خطر پیشفرض; Dividend policy; Capital structure; Non-renewable investment; Default risk; Bankruptcy costs; Agency costs; G35; G32;
CEO pay incentives and risk-taking: Evidence from bank acquisitions
Keywords: خطر پیشفرض; G21; G34; G33; J33; Banks; Mergers; Default risk; CEO compensation;
Mergers increase default risk
Keywords: خطر پیشفرض; G34; G32; Mergers; Default risk; Asset diversification;
What explains default risk premium during the financial crisis? Evidence from Japan
Keywords: خطر پیشفرض; G1; G2; C1Subprime crisis; Default risk; Credit default swap; iTraxx index; Stock market; Macroeconomic variables; Markov switching model
Prospect theory and the effectiveness of price limits
Keywords: خطر پیشفرض; G0; G1; G2Price limits; Margin requirement; Default risk; Loss aversion
Modeling default probabilities: The case of Brazil
Keywords: خطر پیشفرض; C23; G10; G11; G15; G33; Probabilities of default; Default risk; Capital Asset Pricing Model (CAPM); Minimal Spanning Tree (MST);