EDHEC Business School
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Credit Risk, Capital Markets, Collateralized Debt, Liquidity Assets
Integrating Capital Markets, Mortgages, Leverage, Financial Transformations
asset-backed securities (ABS), credit ratings, collateral, default risk, securitization, securitisation
real-estate markets, property derivatives, balance guaranteed swaps
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File name: eufm.
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Investment decisions, financial behavior, search and risk behavior, econometrics, sample selection
investment policy, discretionary wealth, Markowitz optimization, higher moments, implied leverage, Bayesian investing, robust optimization
Fat-tailed distribution, ARMA-GARCH, VaR. Backtesting, Marginal VaR, Risk Budgeting, Portfolio Optimization
tempered stable distribution, infinitely divisible distribution, value-at-risk, conditional value-at-risk, average value-at-risk
mean-variance analysis, Sharpe ratio, STARR ratio, Rachev ratio, Conditional value-at-risk, efficient frontier
market crash, finance, theory, teaching finance
convertible arbitrage, market efficiency, law of one price
environment markets, liquidity, financial frictions, fiduciary duties, Islamic finance, DB, defined benefits, manager selection, principal-agent, principal, agent
global financial crisis, investment, investment management
Stock market participation, rational expectation, income shock, search behavior, saving behavior, sample selection
Bayesian estimation, Operational risk, Truncated data, Jeffreys’ prior
Fat-Tailed Distributions, Stable Distributions, Downside Risk, Average Value-at-Risk, Conditional Value-at-Risk, Risk Budgeting
consumption growth, food consumption, separability
heavy tailed distribution, tempered stable distribution, method of simulated quantiles
Ornstein-Uhlenbeck processes, tempered stable distributions, tempered infinitely divisible distributions, integrated processes, acceptance-rejection sampling, maximum likelihood estimation
Probability Metrics, Stochastic Dominance, Dispersion Measure, Deviation Measure, Risk Measure, Benchmark-Tracking
Beta, random coefficient, point estimate
Single-index market model, mutual funds, binary variables, bull and bear markets, beta
volatility smile, option pricing, non-Gaussian Ornstein-Uhlenbeck processes, Lévy processes, tempered stable processes and distributions, stochastic volatility models, time-changed Lévy processes, GARCH model, filtered historical simulation, particle filter
Smooth monotone covariance, Regularization, Elliptical distributions
single-index market model, alpha, beta, bull and bear markets, binary variables
foreign exchange option models, currency options, gainful early exercise, profit opportunities, exchange rate, international interest rates, international lending, trade financing
Single index market model, alpha, beta, bull market, bear market
Mergers & Acquisitions, Tax Evasion, Monopolization
optimal capital structure, static theory of capital structure
Jensen portfolio performance measure, return-generating model
Credit ratings, regulation, mortgage-backed securities
financial leases, lease valuation, corporate taxation
File name: j-036X.
derivatives pricing, real estate indices, incomplete markets, market price of risk, serial correlation
tax-sheltered equity portfolio, tax-sheltered diversification, open-end investment fund
File name: j-036X.
asset‐backed securities (ABS), credit ratings, collateral, default risk, securitisation, over‐reliance
File name: eufm.
investment for retirement, pansion plan, tax-sheltered stock portfolio, growth vs. income stocks
File name: ectj.
sin stocks, vice, quality, profitability, investment, asset pricing, 5-factor model
Active management, Collateralized loan obligations (CLOs), Market efficiency, Structured finance, Syndicated loans
interest-rate model, SABR model, fixed-beta calibration method, hedging error, beta estimation, volatility cube, backbone, volatility smile
Quanto option pricing, L'evy process, stable and tempered stable process, subordinator
Portfolio allocation, Mean-variance analysis, Factor model, Asset pricing
residential mortgage-backed securities, credit rating; credit rating agency
Residential mortgage-backed securities, Conforming mortgage-backed securities, Nonconforming mortgage-backed securities, Credit ratings, Securitization, Subprime mortgage crisis, Over-reliance hypothesis
Bayesian methods, hedge fund risk, value-at-risk, MCMC, stable distributions
Fat-Tailed Distributions, Tempered Stable Distributions, Extreme Value Theory, Student's T Distribution, Risk Measurement
Risk aversion, portfolio choice, investment risk, reward measure, diversification
Barrier option, up-and-out call option, Bienayme-Galton-Watson branching process, branching process in a random environment
growth stocks, shareholder effective capital gains tax, capital gains tax deferment, cost of capital, share valuation, payout policy
Portfolio Management: Asset Allocation, Equity Strategies
Debt investments, asset-backed securities (including mortgage-backed securities), bonds with embedded options, credit analysis, derivative instruments, debt derivatives
operational risk, capital modeling, stability of estimates, robust estimation, right-truncated distributions, bias corrected capital estimators, maximum likelihood estimation, quantile-distance estimators
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