本文采用简化方法(Reduced-form Approach)对违约风险进行处理,来研究美 式看涨和看跌脆弱期权的定价问题。 本文的成果 … www.docin.com|基于7个网页 2. 简化法 单因素模型又可以分为结构法(Structural Approach)和简化法(Reduced-Form Approach) 2. 单因素模型。 两种模型。
一、【reduced form】：直接拿“价格Px和收入M”对需求量做线性回归，得到回归函数Q=β1Px+β2M+α+...
想到了jarrow 2011在financial research letter上面的论文，说的很清楚。这个解释偏数学，需要对sigma-代数...
aconsidered in the literature are implemented for counter-cyclical purposes and are temporary;[translate] ainvestment. This reduced-form approach allows us to get around the issue of measurement errors[translate]
Johnson, N., Strubegger, M., McPherson, M., Parkinson, S.C., Krey, V., Sullivan, P., A reduced-form approach for representing the impacts of wind and solar PV deployment on the structure and operation of the electricity system, Energy Econ. (In review)....
F. (2006). Estimating overcharges in antitrust cases using a reduced-form approach: Methods and issues. Journal of Applied Economics 9(2), 361-380.Nieberding, J.F. (2006). Estimating Overcharges in Antitrust Cases Using a Reduced-Form Approach: Methods and Issues. Journal of Applied ...
The first strategy implements a reduced-form approach developed by Bakke et al. (2022) (henceforth BFMZ). Based on the review of prior studies, we classify FAS 123-R's additional outcomes into three economic channels that could violate the CER. First, firms substituted options with restricted...
This approach improves the overall accuracy of modeling, facilitates multi-hazard comparison of economic impacts, and allows for decomposition of direct and general equilibrium impacts. The decomposed results across five threat types confirm the importance of behavioral and economic resilience factors, ...
The issue of replication of defaultable claims within the reduced-form approach to credit risk modeling and the related problem of completeness of intensity-based credit risk models are studied. Replication of survival claims under different assumptions on default intensities is examined in some detail....
模型在微观实证研究中的作用—以城市和区域经济学为例 美国克拉克大学经济系 张俊富 经济资料译丛-最...