... 0.952 0.845 0.5 0.901 0.1
Dynamic Asset Allocation with Event Risk 249
Dynamic Asset Allocation with Event Risk
JUN LIU, FRANCIS A. LONGSTAFF and JUN PAN
n
ABSTRACT
Major events often trigger abrupt ... the risky asset in the case where the volatility of the
asset s returns is constant and the percentage size of the jump in the asset s price is also con-
stant. The risk...
... both bargaining power scenarios.
The effect of asset risk is similar to that of leverage save for one major dif-
ference. Although an increase in asset risk makes a workout more likely, thus
increasing ... s
2
increases in asset risk both
for high and low shareholder bargaining power.
With respect to cash flow rate β, the higher the β the lower the growth rate
of the firm and the...
... higher
education) had the highest risk of breast cancer, which was 74%
above that of women in agriculture, who had the lowest risk. The
records were adequate to control for various risk factors, and the
study ... Wohlfahrt J, Olsen JH, et al. Induced abortion and the risk
of breast cancer. 1997:336.81-85.
Brewster DH, Stockton DL, Dobbie R, et al. Risk of breast cancer after
miscarri...
... !
!
34
WORKING PAPER NO 13
CREDIT RISK TRANSFER
AND
FINANCIAL SECTOR PERFORMANCE
Wolf Wagner & Ian Marsh
... funding liquidity risk and market liquidity risk, as
well as how other risks, including credit, market, operational and reputation risks affect the
bank’s overall liquidity risk strategy.
15. ... managers. Moreover, liquidity risk and its
potential interaction with other risks should be included in the risks addressed by risk
management committees and/or independent risk manag...
... between rare -event premia and uncertainty aversion
toward rare events still survives.
17
4. The Rare -Event Premiums in Options
To further disentangle the rare -event premiums from the standard risk
premiums, ... market price of rare -event risk that is above and
beyond that associated with risk aversion, and this extra degree of freedom arises from uncertainty
aversion toward rare...
... case. The reported event is hence not primarily construed as a BATTLE, although this
particular event- construal is present to a certain degree and helps to dramatise the event. This
dramatisation ... might in fact be a
stalemate.
Again, the event- construal establishes the basis for evaluations, provides coherence, and, most
importantly, dramatises the event. In addition, the conc...
... fMRI 357
An Event- Related fMRI Study of Syntactic and
Semantic Violations
Aaron J. Newman,
1,4
Roumyana Pancheva,
2,3
Kaori Ozawa,
2
Helen J. Neville,
1
and Michael T. Ullman
2,4
We used event- related ... noninvasive method is event- related brain potentials (ERPs).
These are recordings of brain activity made from electrodes placed on the
scalp and time-locked to specific events (e.g., s...