Listagem Produção Intelectual em Bases Externas por Assunto "Capital (Economia)"
Itens para a visualização no momento 1-9 of 9
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Barrier style contracts under Lévy processes: an alternative approach
2015-04In this paper we present new pricing formulas for some single barrier style contracts of the European type when the underlying process is driven by an important class of Levy processes, which includes the CGMY model, ... -
Bayesian modelling, Monte Carlo sampling and capital allocation of insurance risks
2017-12The main objective of this work is to develop a detailed step-by-step guide to the development and application of a new class of efficient Monte Carlo methods to solve practically important problems faced by insurers under ... -
Contingent convertibles and their impacts on the optimization of the capital structure of Brazilian banks under basel III
2016Banks around the world maintain excess regulatory capital, whether to minimize capitalization costs or to mitigate risks of financial difficulties. However, it was only after the financial crisis of 2008 that the quality ... -
Efficient propagation of shocks and the optimal return on money
2008-09We study optimal allocations in an environment in which money is essential due to lack of commitment and anonymity of individuals. Because the economy features aggregate preference shocks, we apply a notion of implementability ... -
Estrutura de capital e remuneração dos funcionários: evidência empírica no Brasil
2015-04-01This paper analyzes whether the higher the company's financial leverage, the higher the salaries demanded by staff for the embedded financial distress risk. By applying Berk, Stanton and Zechner's (2010) model, we use a2SLS ... -
Finanças da subscrição externa de capital
1970-09-01 -
The Influence of E-disclosure on the Ex-Ante Cost of Capital of Listed Companies in Brazil
2014The aim of this article is to show the existence of a relationship between voluntary disclosure via corporate websites and the ex-ante cost of capital of companies listed on the BM&FBovespa. Ordinary least-squares regression ... -
A new factor to explain implied volatility smirk
2017In this article, we find empirical evidence of a new smirk factor, obtained from the jump structure of the risk neutral distribution of the underlying Levy process. As an application we show how to price a barrier style contract. -
Rent-seeking and capital accumulation
2012-04A general model incorporating rent-seeking activities in the standard neoclassical model of capital accumulation is presented. The welfare of the representative agent is negatively affected by the efficiency of rent-seeking ...
