Systematic risk and timescales
نویسندگان
چکیده
منابع مشابه
Systematic risk and timescales
In this paper we propose a new approach to estimating the systematic risk (the beta of an asset) in a capital asset pricing model (CAPM). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. At each scale, the wavelet variance of the market return and the wavelet covariance between the market return and a portfolio are ca...
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Historical time series of asset returns are commonly used to derive forecasts of risk, such as value at risk (VaR). Provided there is enough data, this can be done successfully even though asset returns are typically heavytailed, heteroskedastic, and serially dependent. We describe how the historical data can first be GARCH filtered and then used to calibrate parameters of the heavy-tailed skew...
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پس از بررسی هر کدام از فاکتورهای نوع صنعت, نوع ضمانت نامه, نرخ بهره , نرخ تورم, ریسک اعتباری کشورها, کارمزد, ریکاوری, gdp, پوشش و وثیقه بر ریسک اعتباری صندوق ضمانت صادرات ایران مشخص گردید که همه فاکتورها به استثنای ریسک اعتباری کشورها و کارمزد بقیه فاکتورها رابطه معناداری با ریسک اعتباری دارند در ضمن نرخ بهره , نرخ تورم, ریکاوری, و نوع صنعت و ریسک کشورها اثر عکس روی ریسک اعتباری داردو پوشش, وثی...
15 صفحه اول“ Idiosyncratic Risk , Systematic Risk , and Firm Welfare ”
We study the motivation of an entrepreneur to provide disclosure that works primarily to reduce investors’assessment of the firm’s idiosyncratic risk. We refer to this disclosure as “idiosyncratic disclosure.”We assume that the firm’s cash flows are determined by both idiosyncratic and systematic events. The model shows that when the entrepreneur faces a capital market where competition to acqu...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2003
ISSN: 1469-7688,1469-7696
DOI: 10.1088/1469-7688/3/2/305