| viXra.org > Economics and Finance > 2203 |
 |
 |
| viXra.org > Economics and Finance > 2203 |
|
|
[4] viXra:2203.0168 [pdf] submitted on 2022-03-29 17:47:32
Authors: David Lee
Comments: 23 Pages.
Convertible bond is issued mainly by start-up or small companies. It is susceptible to credit risk. This paper presents a model for valuing convertible bonds by taking credit risk into account. Testing results show that model prices fluctuate randomly around market prices, indicating the model is quite accurate. Convertible bond arbitrage usually employs delta-neutral hedging where an arbitrageur buys a convertible bond and sells the underlying equity at the current delta. Delta neutral hedging removes small directional risks and makes a profit on an explosive upside or downside breakout if the position’s gamma is kept positive. Thus, delta neutral hedging is great for uncertain stocks that are expected to make large breakouts in either direction.
Category: Economics and Finance
[3] viXra:2203.0123 [pdf] submitted on 2022-03-22 15:08:21
Authors: David Lee
Comments: 17 Pages.
This paper presents a new model for calculating credit valuation adjustment and wrong way risk. Empirically, we find evidence that wrong way risk has a material effect on credit valuation adjustment. The nature and direction of effect depend on payoff, correlation, credit quality and risk mitigation. The magnitude of the impact is relatively greater in credit and equity markets. Moreover, the empirical results indicate that diversification can reduce the impact of wrong or right way risk on the risky value of a portfolio.
Category: Economics and Finance
[2] viXra:2203.0116 [pdf] submitted on 2022-03-21 10:05:04
Authors: David Lee
Comments: 15 Pages.
This paper presents a model that characterizes a collateral process directly based on Credit Support Annex (CSA). The model is devised that allows for collateralization adhering to bankruptcy laws. We find evidence that there is a strong linkage between market and credit risk. Our study suggests that banks and regulators need to think about an integrated framework to capture interactions of these two types of risk. This requires all profits and losses are gauged in a consistent way across risk types as they tend to be driven by the same economic factors.
Category: Economics and Finance
[1] viXra:2203.0010 [pdf] submitted on 2022-03-02 12:03:23
Authors: Gennady Shkliarevsky
Comments: 36 Pages.
This contribution examines the current controversy over research productivity. There are two sides in this controversy. Using extensive data from several industries and areas of research, one side argues that research productivity is currently in decline. The other side disputes this conclusion. It contends that the data used in making this argument are selective and limited; they do not reflect the overall state of research. The conclusion that follows from this critique is that the indicators of research productivity we currently use are not reliable and do not warrant a definitive answer to the problem.
The article agrees that we need a new set of indicators in assessing research productivity. It proposes that we should look at global indicators related to knowledge production in general, rather than look at selective data that are inevitably limited in their scope. The article argues that the process of creation plays the essential role in knowledge production. Therefore, the perspective that uses the process of creation as its central organizing principle offers a unique and global view on the production of knowledge and makes a definitive resolution of the controversy possible. The article also outlines some steps for improving research productivity and realizing the full potential of the human capacity to produce knowledge.
Key words: Research productivity, knowledge growth, the process of creation, levels of organization, equilibration and the production of disequilibrium.
Category: Economics and Finance
| Third-Party Links: |
|