The VAR approach for testing present value models is applied to a heterogeneousagent asset pricing model, using historical observations of the S&P500 index. Besides rational long-term investors, that value assets according to expected dividends, the model features rational and contrarian speculators. Agents choose their strategy based on evolutionary considerations. Supplementing the standard p...

This article reports an asset market experiment in which asymmetrically informed traders transact through competing dealers. Dealers face a classic adverse selection problem, because some traders have private information regarding the asset value while other traders are uninformed. When dealers cannot communicate outside the market, they price the asset competitively and the market is generally...

The market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the performance of the underlying credits. In this paper we discuss the simulation of correlated unpredictable default arrival times. Our algorithm is based on...

This paper studies the problem of default correlation. We first introduce a random variable called “timeuntil-default” to denote the survival time of each defaultable entity or financial instrument, and define the default correlation between two credit risks as the correlation coefficient between their survival times. Then we argue why a copula function approach should be used to specify the jo...

this paper examines the accuracy of valuation models in providing reasonable estimation of the market values of listed companies in tehran stock exchange (tse). six valuation models including gordon growth model, two stage dividend discount model, adjusted present value, price to earning ratio and residual income were examined in this study. in addition, three proxies represent the market value...

The goal of this paper is to analyse and systematise the possible approaches real options valuation, especially when considering practical aspects their application in real-life valuation problems. Therefore, sets following tasks: To outline concept fair value traditional its calculation context asset define real-option approach estimation theoretical background determine role system techniques...

abstract: with regard to the basel committee’s emphasis on the necessity of using 10-day value-at-risk (var) internal models in order to determine minimum market risk capital requirements, and downsides of the square-root-of-time rule, our purpose is to produce more accurate forecasts of the multi-period var using sixteen models for three stock indices, the tepix, nasdaq, and ftse. the results,...

This paper studies the problem of default correlation. We first introduce a random variable called “timeuntil-default” to denote the survival time of each defaultable entity or financial instrument, and define the default correlation between two credit risks as the correlation coefficient between their survival times. Then we argue why a copula function approach should be used to specify the jo...

We document large, longer term, joint regime shifts in asset valuations and the real federal funds rate- r * $r^{\ast }$ spread. To interpret these findings, we estimate a novel macrofinance model of monetary transmission find that documented regimes coincide with parameters policy rule, long-term consequences for interest rate. Estimates imply two-thirds decline rate since early 1980s is attri...