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Results overview: Found 3 records in 0.02 seconds.
Articles, 1 records found
Research literature, 2 records found
Articles 1 records found  
1.
55 p, 1.9 MB The surface of implied firm's asset volatility / Silaghi, Florina (Universitat Autònoma de Barcelona. Departament d'Empresa) ; Lovreta, Lidija (Universitat Autònoma de Barcelona. Departament d'Empresa)
This paper analyzes the surface of CDS implied firm's asset volatility at the aggregate market level, using a sample of European investment-grade firms during the 2007-2014 period. The term structure of asset implied volatilities is backed-out from the term structure of CDS spreads, while the moneyness dimension is proxied by the ratio of the default barrier to asset value. [...]
2017 - 10.1016/j.jbankfin.2017.11.008
Journal of banking and finance, Vol. 112 (2017) , p. 105253  
Detailed record - Creative Commons

Research literature 2 records found  
1.
194 p, 2.3 MB Modeling and forecasting firm's asset and equity volatility / González Pla, Francisco ; Lovreta, Lidija, dir. ; Tarrazón Rodón, Ma. Antonia, dir.
La volatilitat dels actius de l'empresa és una de les principals variables en el modelat del risc de crèdit, i es refereix al grau de les fluctuacions del valor de l'actiu de l'empresa. Tot i que la volatilitat del patrimoni net i les seves propietats temporals han estat àmpliament estudiades a la literatura, molt poc es coneix sobre les propietats de la volatilitat de l'actiu de l'empresa. [...]
La volatilidad de los activos de la empresa es una de las principales variables en el modelado del riesgo de crédito, y se refiere al grado de las fluctuaciones del valor del activo de la empresa. A pesar de que la volatilidad del patrimonio neto y sus propiedades temporales han sido ampliamente estudiadas en la literatura, muy poco se conoce de las propiedades de la volatilidad del activo de la empresa. [...]
Volatility of firm's assets is one of the fundamental variables in credit risk modeling and refers to a degree of fluctuation of firm's asset returns. While equity volatility and its time-series properties have been extensively studied in the finance literature, little is known about the time-series behavior of volatility of firm's assets. [...]
2021  
Detailed record - Creative Commons
2.
43 p, 1.2 MB Distance to default as a measure of default risk / Luna Goris, Fernando ; Lovreta, Lidija, dir. (Universitat Autònoma de Barcelona. Departament d'Empresa) ; Universitat Autònoma de Barcelona. Facultat d'Economia i Empresa
Companies are facing increasing uncertain times, key investment decisions and challenging financial needs. Now more than ever it is important to understand both the financial decisions of the business corporations as well as how they connect. [...]
2015
Grau en Economia [952]
2 documents
Detailed record - Creative Commons

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