scholarly journals Jump Diffusion Models for Risky Debts: Quality Spread Differentials

2003 ◽  
Vol 06 (06) ◽  
pp. 655-662 ◽  
Author(s):  
Hoi Ying Wong ◽  
Yue Kuen Kwok
Keyword(s):  
Diffusion Process ◽  
Closed Form ◽  
Firm Value ◽  
Jump Diffusion ◽  
Brownian Diffusion ◽  
Fixed Rate ◽  
Floating Rate ◽  
The Difference ◽  
The Impact ◽  
Risky Debt

The quality spread differential is defined to be the difference between the default premiums demanded for fixed rate and floating rate risky debts. The risky debt model based on Merton's firm value approach is used to examine the behaviors of the quality spread differential of fixed rate and floating rate debts. We extend earlier result by adopting Geometric Brownian diffusion process with jumps for the underlying firm value process of the debt issuer. Closed form formulas are obtained for the default premiums for risky debts. The impact of the jumps on the fixed-floating spread differential is examined.

OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET

2016 ◽  
Vol 57 (3) ◽  
pp. 352-368
Author(s):  
HUIMING ZHU ◽  
YA HUANG ◽  
JIEMING ZHOU ◽  
XIANGQUN YANG ◽  
CHAO DENG
Keyword(s):  
Diffusion Process ◽  
Closed Form ◽  
Financial Market ◽  
Optimal Strategies ◽  
Jump Diffusion ◽  
Model Parameters ◽  
Proportional Reinsurance ◽  
Investment Problem ◽  
Jump Diffusion Process ◽  
The Impact

We study the optimal proportional reinsurance and investment problem in a general jump-diffusion financial market. Assuming that the insurer’s surplus process follows a jump-diffusion process, the insurer can purchase proportional reinsurance from the reinsurer and invest in a risk-free asset and a risky asset, whose price is modelled by a general jump-diffusion process. The insurance company wishes to maximize the expected exponential utility of the terminal wealth. By using techniques of stochastic control theory, closed-form expressions for the value function and optimal strategy are obtained. A Monte Carlo simulation is conducted to illustrate that the closed-form expressions we derived are indeed the optimal strategies, and some numerical examples are presented to analyse the impact of model parameters on the optimal strategies.

scholarly journals PENGARUH STRUKTUR MODAL TERHADAP NILAI PERUSAHAAN PADA PERUSAHAAN TEKSTIL DAN GARMEN

2018 ◽  
Vol 3 (2) ◽  
pp. 21-32
Author(s):  
Fairuz Khoirunnisa ◽  
Imas Purnamasari ◽  
Heraeni Tanuatmodjo
Keyword(s):  
Capital Structure ◽  
Firm Value ◽  
Research Result ◽  
Secondary Data ◽  
Analysis Technique ◽  
Verification Methods ◽  
Approach Method ◽  
The Difference ◽  
The Impact ◽  
Research Period

Purpose - The purpose of this research are to descript of capital structure and firm value, and to analyze the impact of capital structure to firm value at textile and garment companies for the period 2011-2015.Design / methodology / approach - Method in this research used descriptive and verification methods. Data that used are secondary data from fact book years 2011-2015 with analysis technique using simple linear regression. Sampling in this research use purposive sampling.Findings - The result showed that the capital structure has a positive effect to firm value.Originality -The difference of this research with previous research is on research object, population and research sample, research period, measuring instrument and research result.

Excessive managerial entrenchment, corporate governance, and firm performance

2019 ◽  
Author(s):  
◽  
Christelle Antounian
Keyword(s):  
Firm Performance ◽  
Firm Value ◽  
Ceo Compensation ◽  
Inverse Correlation ◽  
Poor Performance ◽  
Ceo Turnover ◽  
Managerial Entrenchment ◽  
Board Monitoring ◽  
The Difference ◽  
The Impact

This paper investigates the impact of excessive managerial entrenchment on the CEO turnover-performance sensitivity, CEO compensation, and firm value. We measure the degree of managerial entrenchment based on the E-index presented by Bebchuck et al. (2006). Our main focus is on firms’ excess managerial entrenchment, which is calculated by finding the difference between firm’s E-index and its industry median in a given year. Our findings suggest that an increase in excess CEO entrenchment reduces the likelihood of CEO turnover due to poor performance. We also show a positive correlation between excessive entrenchment and CEO compensation as managers gain more power and authority when they are entrenched. On the other hand, excess CEO entrenchment has an inverse correlation with firm value. We propose that excessive managerial entrenchment has a converse impact on board monitoring and firm performance. Also, we suggest that a sound corporate protects the shareholders’ interests as it prevents CEOs from over entrenchment.

An Analytical Study of Skull Deformation During Head Impacts

2013 ◽  
Author(s):  
Shahab Mansoor-Baghaei ◽  
Ali M. Sadegh
Keyword(s):  
Closed Form ◽  
Closed Form Solution ◽  
Realistic Model ◽  
Form Solution ◽  
Ellipsoidal Shell ◽  
Complex Differential Equation ◽  
Head Impacts ◽  
The Difference ◽  
The Impact ◽  
Skull Deformation

Spherical shells have been employed to model impacts to human heads; however, an ellipsoidal shell is that is more realistic model of the head has not fully investigated. In this paper, impact of an elastic ellipsoidal shell with an elastic flat half space is analytically analyzed and a closed-form solution is derived which led to a complex differential equation. Due to the complexity of the impact equation it could not be solved by standard solutions. Therefore, the Newtonian method and a linearization scheme are employed to simplify this equation in order to obtain the response of the impact problem and the closed-form solution. The analytical solutions are validated by finite element method. Good agreement between the closed form solution and the FE results is observed. To show the difference, the ellipsoidal solutions are also compared to the spherical solutions. To the best of our knowledge, this method and its closed-form solution have not been addressed in the literature. It is concluded that the closed-form solution is trustworthy and can be used to investigate the impact of the skull (as an elastic ellipsoidal shell) with a rigid or elastic plate, including the skull deformation and parametric studies. This solution could be expanded to include the brain materials inside the ellipsoidal shell.

scholarly journals Approximation of the invariant distribution for a class of ergodic jump diffusions

2020 ◽  
Vol 24 ◽  
pp. 883-913
Author(s):  
A. Gloter ◽  
I. Honoré ◽  
D. Loukianova
Keyword(s):  
Empirical Distribution ◽  
Compound Poisson Process ◽  
Jump Diffusion ◽  
Invariant Distribution ◽  
Brownian Diffusion ◽  
Test Functions ◽  
Time Step ◽  
Jump Diffusions ◽  
The Difference ◽  
Lévy Jumps

In this article, we approximate the invariant distribution ν of an ergodic Jump Diffusion driven by the sum of a Brownian motion and a Compound Poisson process with sub-Gaussian jumps. We first construct an Euler discretization scheme with decreasing time steps. This scheme is similar to those introduced in Lamberton and Pagès Bernoulli 8 (2002) 367-405. for a Brownian diffusion and extended in F. Panloup, Ann. Appl. Probab. 18 (2008) 379-426. to a diffusion with Lévy jumps. We obtain a non-asymptotic quasi Gaussian (asymptotically Gaussian) concentration bound for the difference between the invariant distribution and the empirical distribution computed with the scheme of decreasing time step along appropriate test functions f such that f − ν(f) is a coboundary of the infinitesimal generator.

scholarly journals The Impact of Environmental Information Disclosure on the Firm Value of Listed Manufacturing Firms: Evidence from China

2020 ◽  
Vol 17 (3) ◽  
pp. 916 ◽  
Author(s):  
Yongliang Yang ◽  
Jin Wen ◽  
Yi Li
Keyword(s):  
Firm Value ◽  
Information Disclosure ◽  
Environmental Information ◽  
Manufacturing Firms ◽  
Central China ◽  
Western China ◽  
Environmental Practice ◽  
Environmental Information Disclosure ◽  
The Difference ◽  
The Impact

In the last decade, the public concern over environmental problems has led to the emergence of environmental regulations in firms’ information disclosure on environmental practice, especially in some developing countries such as China. Based on a panel dataset composed of the listed manufacturing firms in China during 2006–2016, this paper uses the difference-in-differences (DID) model and the propensity score matching (PSM) method to investigate whether the Environmental Information Disclosure Measure (for Trial Implementation; EIDMT) affects the firm value. The results show that EIDMT exerts a significant impact on the listed manufacturing firms’ value. In consideration of the firm’s ownership, EIDMT plays a more important role in the firm value of non-state-owned firms than state-owned firms. Furthermore, using a PSM–DID model for eastern, central, and western China, we find that EIDMT significantly affects the firm value in eastern and western China but has little impact on central China.

Evaluation of the impact of public investment programs on social and economic performance of territories

2019 ◽  
pp. 109-123
Author(s):  
I. E. Limonov ◽  
M. V. Nesena
Keyword(s):  
Bayesian Modeling ◽  
Positive Impact ◽  
Public Investment ◽  
Difference In Differences ◽  
The Public ◽  
Export Activity ◽  
Regional Investment ◽  
The Difference ◽  
The Impact ◽  
Development Institution

The purpose of this study is to evaluate the impact of public investment programs on the socio-economic development of territories. As a case, the federal target programs for the development of regions and investment programs of the financial development institution — Vnesheconombank, designed to solve the problems of regional development are considered. The impact of the public interventions were evaluated by the “difference in differences” method using Bayesian modeling. The results of the evaluation suggest the positive impact of federal target programs on the total factor productivity of regions and on innovation; and that regional investment programs of Vnesheconombank are improving the export activity. All of the investments considered are likely to have contributed to the reduction of unemployment, but their implementation has been accompanied by an increase in social inequality.

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