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نتیجه جستجو - Pricing

تعداد مقالات یافته شده: 224
ردیف عنوان نوع
71 Entrusted loans: A close look at China’s shadow banking system
وامهای واگذار شده: نگاهی دقیق به سیستم بانکی سایه چین-2019
We perform transaction-level analyses of entrusted loans, one of the largest components of shadow banking in China. Entrusted loans involve firms with privileged access to cheap capital channeling funds to less privileged firms, and the increase when credit is tight. Nonaffiliated loans have much higher interest rates than both affiliated loans and official bank loans, and they largely flow into real estate. The pricing of entrusted loans, especially of nonaffiliated loans, incorporates fundamental and informational risks. Stock market re- actions suggest that both affiliated and nonaffiliated loans are fairly compensated invest- ments
Keywords: Shadow banking | Entrusted loans | Credit shortage | Fundamental risk | Informational risk
مقاله انگلیسی
72 Enforcement of banking regulation and the cost of borrowing
اجرای مقررات بانکی و هزینه استقراض-2019
We show that borrowing firms benefit substantially from important enforcement actions issued on U.S. banks for safety and soundness reasons. Using hand-collected data on such actions from the main three U.S. regulators and syndicated loan deals over the years 1997–2014, we find that enforcement actions decrease the total cost of borrowing by approximately 22 basis points (or $4.6 million interest for the average loan). We attribute our finding to a competition-reputation effect that works over and above the lower risk of punished banks post-enforcement and survives in a number of sensitivity tests. We also find that this effect persists for approximately four years post-enforcement
Keywords: Bank supervision | Enforcement actions | Syndicated loans | Loan pricing
مقاله انگلیسی
73 Fishbone model and universal authentication framework for evaluation of multifactor authentication in mobile environment
مدل fishbone و چارچوب احراز هویت جهانی برای ارزیابی تأیید هویت چند عامل در محیط سیار-2019
The trend of rapid evolutionary development of mobile technologies and the existence of different user’s priorities are creating new challenges with regard to selection of multifactor authentication (MFA) solutions. This becomes even more challenging by creating a univer- sal authentication framework (UAF). In order to cope with these challenges, this paper has proposed a Fishbone model and developed in form of the UAF which is based on a larger number of linguistic variables and a wider set of user’s priorities such as security, usability, accessibility, pricing, complexity, privacy and convenience (SUAPCPC). In comparison to all other papers available in the literature, the Fishbone model provides numerical evaluation of MFA with the possibility of changing weighted criteria for the selected user priorities. In addition, the contributions of this model are twofold. For user’s, to enable easier choice of MFA solution, for developers, to identify spots where a method or solution could be improved. For development of the Fishbone model, fuzzy methodology is used in form of a Fuzzy Expert System (FES) tool. Also, the block diagram and the basic modules of the Fish- bone model architecture are given. The results of implementation of the Fishbone model in form of the UAF have showed that this model is applicable and very efficient in practice. Finally, the Fishbone model gives an ideal template in UAF at which user’s priorities satisfy the best individual users’ solutions. The realization of this template presents challenge for all future developers of MFA solutions.
Keywords: Fishbone model | Universal authentication framework | (UAF) | Multifactor authentication (MFA) | SUAPCPC factors | Fuzzy Expert System (FES)
مقاله انگلیسی
74 An agent-based system with temporal data mining for monitoring financial stability on insurance markets
سیستم مبتنی بر نمایندگی با داده کاوی زمانی برای نظارت بر ثبات مالی در بازارهای بیمه-2019
We describe an expert system to monitor the stability of insurance markets. It consists of two compo- nents: an agent-based simulation component and a temporal data mining component. Like other financial markets, insurance markets experience destabilizing cycles and suffer episodic crises. The expert system assists market regulators by monitoring the financial position of individual insurers and of the overall market, and by forecasting cycles and impending insolvencies. The agent-based simulation component runs a forward simulation allowing for interaction among insurers in a competitive market, and between insurers and customers. The temporal data mining component extracts useful information for market reg- ulators from the simulations. A prototype of the system is applied to the automobile insurance market. We show how the system may be used to forecast cycles, investigate stability, and analyze insurers’ herd- ing behavior on the market. A practical policy conclusion is that regulators should monitor individual in- surers’ pricing pattern because aggressive price undercutting creates a “winner’s curse”, with subsequent losses and market instability.
Keywords: Agents | Motif | Anomaly | Cycle | Crisis | Automobile insurance
مقاله انگلیسی
75 رفتار گله ای (گروهی، توده وار) و قیمت گذاری دارایی در بازار سهام هند
سال انتشار: 2019 - تعداد صفحات فایل pdf انگلیسی: 26 - تعداد صفحات فایل doc فارسی: 23
ادبیات مربوط به اقتصاد مالی نشان می‌دهد که شرکت کنندگان در بازار تمایل دارند تا اطلاعات خود را سرکوب کنند و سعی در تقلید از دیگران در بازار داشته باشند و در نتیجه بر خلاف اطلاعات شخصی خود رفتار می‌کنند. این گرایش به ویژگی ریسک‌گریزی عوامل اقتصادی منسوب است که بیشتر بر کاهش‌های کوتاه و شیوه‌های اکتشافی متکی هستند تا از خطر از دست دادن زمان مورد نیاز برای ترکیب اطلاعات خصوصی اجتناب کنند. چنین گرایشی منجر به بازده‌های مورد انتظار نامتقارن بر روی دارایی‌ها می‌شود. ما در تلاش برای یافتن شواهد تجربی از گروه در دو بخش مختلف بازارهای مالی با استفاده از انحرافات مقطعی بازده سهام برای اندازه‌گیری پراکندگی بازده سهام شرکت‌ها از میانگین بازده بازار تلاش می کنیم. با استفاده از مجموعه داده منحصر به فرد از بازده‌های روزانه سهام از ژانویه ۲۰۱۱ تا دسامبر ۲۰۱۵، ما سهام کوچک و بزرگ را برای تاثیر گروه بررسی می‌کنیم. ما وجود گروه را در دو مقطع از سهام در بازار بورس هند مطالعه می‌کنیم و نشان می‌دهیم که سهام‌های با اصول استوار شاهد شواهد ضعیف یا ناچیزی از گروه هستند در حالی که سهام‌های آسیب‌پذیر ظاهرا تحت‌تاثیر رفتار گله ای قرار می‌گیرند. در حالی که در پی برسی رفتار گله ای هستیم، نشان می‌دهیم که آیا پراکندگی مقطعی بازده‌های سهام در سهام سرمایه‌های بزرگ در مقایسه با سهام سرمایه‌های کوچک کم‌تر است، که این امر دلالت بر این دارد که سهام با سرمایه‌گذاری بالاتر بازار و حجم تجارت کم‌تر در معرض رفتار گله ای قرار دارند.
واژگان کلیدی: مالیه رفتاری | گله | قیمت‌گذاری دارایی | مدل چند عاملی | بازار سهام هند
مقاله ترجمه شده
76 All’s well that ends well? On the importance of how returns are achieved
چیزی خوب است که خوب تمام شود؟ درمورد اهمیت چگونگی به دست آمدن بازگشت ها-2018
We demonstrate that investor satisfaction and investment behavior are influenced substantially by the price path by which the final investor return is achieved. In a series of experiments, we analyze various different price paths. Investors are most satisfied if their assets first fall in value and then recover, and they are least satisfied with the opposite pattern, independent of whether the final return is positive or negative. Price paths systematically influence risk preferences, return beliefs, and ultimately trading decisions. Our results enable a much more holistic perspective on a wide range of topics in finance, such as the disposition effect, risk-taking behavior after previous gains and losses, and behavioral asset pricing.
keywords: Investor satisfaction |Reference points |Risk tolerance |Investor behavior |Experimental finance
مقاله انگلیسی
77 Non-parametric inference of transition probabilities based on Aalen–Johansen integral estimators for acyclic multi-state models: application to LTC insurance
استنباط غیر پارامتری احتمالات عبور برمبنای تخمین گرهای انتگرال آلن - ژوهانسن برای مدلهای چند وضعیتی غیر چرخه ای: کاربرد برای بیمه LTC-2018
Studying Long Term Care (LTC) insurance requires modeling the lifetime of individuals in presence of both terminal and non-terminal events which are concurrent. Although a non-homogeneous semi-Markov multi-state model is probably the best candidate for this purpose, most of the current researches assume, maybe abusively, that the Markov assumption is satisfied when fitting the model. In this context, using the Aalen–Johansen estimators for transition probabilities can induce bias, which can be important when the Markov assumption is strongly unstated. Based on some recent studies developing non-Markov estimators in the illness–death model that we can easily extend to a more general acyclic multi-state model, we exhibit three non-parametric estimators of transition probabilities of paying cash-flows, which are of interest when pricing or reserving LTC guarantees in discrete time. As our method directly estimates these quantities instead of transition intensities, it is possible to derive asymptotic results for these probabilities under non-dependent random right-censorship, obtained by re-setting the system with two competing risk blocks. Inclusion of left-truncation is also considered. We conduct simulations to compare the performance of our transition probabilities estimators without the Markov assumption. Finally, we propose a numerical application with LTC insurance data, which is traditionally analyzed with a semi-Markov model.
keywords: Multi-state model |Aalen–Johansen integral |Non-parametric estimator |Non-Markov process |LTC insurance
مقاله انگلیسی
78 Cost optimization for deadline-aware scheduling of big-data processing jobs on clouds
بهینه سازی هزینه برای زمانبندی دقیق پردازش داده های بزرگ کارها در ابرها-2018
Cloud computing has been widely regarded as a capable solution for big data processing. Nowadays cloud service providers usually offer users virtual machines with various combinations of configurations and prices. As this new service scheme emerges, the problem of choosing the cost-minimized combination under a deadline constraint is becoming more complex for users. The complexity of determining the cost minimized combination may be resulted from different causes: the characteristics of user applications, and providers’ setting on the configurations and pricing of virtual machine. In this paper, we proposed a variety of algorithms to help the users to schedule their big data processing workflow applications on clouds so that the cost can be minimized and the deadline constraints can be satisfied. The proposed algorithms were evaluated by extensive simulation experiments with diverse experimental settings.
Keywords: Big-data ، Scheduling ، Cost-efficient ، Cloud computing
مقاله انگلیسی
79 Leverage constraints and asset prices: Insights from mutual fund risk taking
محدودیت های اهرم بندی و قیمت های دارایی: بینش هایی از به خطر افتادن سرمایه دوطرفه-2018
Prior theory suggests that time variation in the degree to which leverage constraints bind affects the pricing kernel. We propose a measure for this leverage constraint tightness by inverting the argument that constrained investors tilt their portfolios to riskier assets. We show that the average market beta of actively managed mutual funds—intermediaries facing leverage restrictions—captures their desire for leverage and thus the tightness of constraints. Consistent with theory, it strongly predicts returns of the betting-against-beta portfolio, and is a priced risk factor in the cross-section of mutual funds and stocks. Funds with low exposure to the factor outperform high-exposure funds by 5% annually, and for stocks this difference reaches 7%. Our results show that the tightness of leverage constraints has important implications for asset prices.
keywords: Leverage constraints |Asset prices |Betting-against-beta |Mutual fund performance |Cross-section of stock returns
مقاله انگلیسی
80 Belief-free price formation
شکل گیری قیمت آزاد از اعتقاد-2018
We analyze security price formation in a dynamic setting in which long-lived dealers repeatedly compete for the opportunity to trade with short-lived retail traders. We characterize equilibria in which dealers’ pricing strategies are optimal irrespective of the private information that each dealer may possess. Thus, our model’s predictions are robust to different specifications of the dealers’ information structure. These equilibria reconcile, in a unified and parsimonious framework, price dynamics that are reminiscent of well-known stylized facts: excess price volatility, price to trading flow correlation, stochastic volatility and inventory-related trading.
keywords: Financial market microstructure |Informed dealers |Price volatility |Belief-free equilibria
مقاله انگلیسی
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