# A melhor ferramenta para a sua pesquisa, trabalho e TCC!

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- UNIVERSIDADE FEDERAL DE LAVRAS; DAE - Programa de Pós-graduação; UFLA; BRASIL
- World Bank, Washington, DC
- CAMA, Australian National University
- Universidade de Tubinga
- Elsevier
- Banco Mundial
- Université de Montréal
- FUND ESCOLA COMERCIO ALVARES PENTEADO-FECAP; SAO PAULO SP
- Universidade Cornell
- Financial Markets Group, London School of Economics and Political Science
- London School of Economics and Political Science Thesis
- Mais Publicadores...

## Precificação de ativos com risco no mercado acionário brasileiro: aplicação do modelo CAPM e variantes; Assets pricing in the Brazilian stock market: CAPM and variants application

Fonte: UNIVERSIDADE FEDERAL DE LAVRAS; DAE - Programa de Pós-graduação; UFLA; BRASIL
Publicador: UNIVERSIDADE FEDERAL DE LAVRAS; DAE - Programa de Pós-graduação; UFLA; BRASIL

Tipo: Dissertação

Português

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#Análise de investimentos#Modelos de precificação de ativos#Capital Asset Pricing Model#Downside Capital Asset Pricing Model#Conditional Capital Asset Pricing Model#Mercado acionário.#Investment decisions#Asset pricing models#Stock market#CNPQ_NÃO_INFORMADO

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## Design Options for an International Carbon Asset Reserve for the World

Fonte: World Bank, Washington, DC
Publicador: World Bank, Washington, DC

Tipo: Trabalho em Andamento

Português

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#PRICE DECREASES#EMISSION ALLOWANCES#AUCTION#REGIONAL GREENHOUSE GAS INITIATIVE#PRICE STABILIZATION#PRICE LEVELS#PRICE INCREASES#MARKET DISTORTIONS#CARBON DIOXIDE#FOSSIL FUELS#STOCK

This paper presents first concepts and insights on an International Carbon Asset
Reserve. In particular, it explores how different design options can support a range of networked carbon pricing efforts. The report provides an overview of key risks in carbon markets, highlights the benefits of pooling risks on an aggregated scale,
and identifies potential design options and structures for an international carbon asset reserve. The paper contributes to the wide effort to promote a long-term price on carbon and carbon market stabilization, comparability, and networking.

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## Financial contagion and asset pricing

Fonte: CAMA, Australian National University
Publicador: CAMA, Australian National University

Tipo: Working/Technical Paper
Formato: 41 pages

Português

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Asset market interconnectedness can give rise to significant contagion risks during periods of financial crises that extend beyond the risks associated with changes in volatilities and correlation. These channels include the transmission of shocks operating through changes in the higher order comoments of asset returns, including changes in coskewness arising from changes in the interaction between volatility and average returns across asset markets. These additional contagion channels have nontrivial implications for the pricing of options through changes in the payoff probability structure and more generally, in the management of financial risks. The effects of incorrectly pricing risk has proved to be significant during many financial crises, including the subprime crisis from mid 2007 to mid 2008, the Great Recession beginning 2008 and the European debt crisis from 2010. Using an exchange options model, the effects of changes in the comoments of asset returns across asset markets are investigated with special emphasis given to understanding the effects on hedging risk during financial crises. The results reveal that by not correctly pricing the risks arising from higher order moments during financial crises, there is significant mispricing of options...

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## Creative Destruction and Asset Prices

Fonte: Universidade de Tubinga
Publicador: Universidade de Tubinga

Tipo: ResearchPaper

Português

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We relate Schumpeter’s notion of creative destruction to asset pricing, thereby offering a novel explanation of size and value premia. We argue that small-value firms are more likely to be destroyed by serendipitous invention activity, and investors demand higher expected returns for bearing that risk. Large-growth stocks provide protection against creative destruction, so they receive expected return discounts. An ICAPM that accounts for creative destruction risk explains a considerable part of the cross-sectional return variation of size- and book-to-market-sorted portfolios. The estimated risk compensations associated with creative destruction are economically and statistically significant.

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## Heterogeneous Beliefs, Wealth Accumulation and Asset Price Dynamics

Fonte: Elsevier
Publicador: Elsevier

Tipo: Artigo de Revista Científica
Formato: application/pdf

Publicado em //1996
Português

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This paper develops and analyzes a models of asset markets with two types of investors. We study the stochastic processes for the distribution of wealth between the two types of investors and for the equilibrium asset returns. The relationship between this model and some econometric models with time varying parameter, such as the ARCH(Autoregressive Conditional Heteroskedasticity) model, as well as the relationship between the volume of trade and volatility, are examined. The dynamic properties of another model, regarding investors who use strategies that are a bit more complex, are also analyzed.

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## From Boom 'til Bust : How Loss Aversion Affects Asset Prices; Journal of Banking and Finance

Fonte: Banco Mundial
Publicador: Banco Mundial

Tipo: Journal Article; Journal Article

Português

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#General Aggregative Models: Neoclassical E130#Portfolio Choice#Investment Decisions G110#Asset Pricing#Trading volume#Bond Interest Rates G120

This article studies the impact of heterogeneous loss averse investors on asset prices. In very good states loss averse investors become gradually less risk averse as wealth rises above their reference point, pushing up equity prices. When wealth drops below the reference point the investors become risk seeking and demand for stocks increases drastically, eventually leading to a forced sell-off and stock market bust in bad states. Heterogeneity in reference points and initial wealth of the loss averse investors does not change the salient features of the equilibrium price process, such as a relatively high equity premium, high volatility and counter-cyclical changes in the equity premium.

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## Arbitrage-Based Pricing when Volatility is Stochastic.

Fonte: Université de Montréal
Publicador: Université de Montréal

Tipo: Artigo de Revista Científica
Formato: 2019964 bytes; application/pdf

Português

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#[JEL:D80] Microeconomics - Information, Knowledge, and Uncertainty - General#[JEL:D81] Microeconomics - Information, Knowledge, and Uncertainty - Criteria for Decision-Making under Risk and Uncertainty#[JEL:G10] Financial Economics - General Financial Markets - General#[JEL:G11] Financial Economics - General Financial Markets - Portfolio Choice#Investment Decisions#[JEL:G12] Financial Economics - General Financial Markets - Asset Pricing#Trading volume#Bond Interest Rates#[JEL:D80] Microéconomie - Information et incertain - Généralités#[JEL:D81] Microéconomie - Information et incertain - Critères de prise de décision sous le risque et l'incertain#[JEL:G10] Économie financière - Marchés financiers généraux - Généralités

The paper investigates the pricing of derivative securities with calendar-time maturities.

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## Impact of the Level of Disclosure of Financial Information on the Pricing of Shares in the Context of Adverse Selection: an experimental research

Fonte: FUND ESCOLA COMERCIO ALVARES PENTEADO-FECAP; SAO PAULO SP
Publicador: FUND ESCOLA COMERCIO ALVARES PENTEADO-FECAP; SAO PAULO SP

Tipo: Artigo de Revista Científica

Português

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47.635063%

#INFORMATIONAL ASYMMETRY#ADVERSE SELECTION#ASSET PRICING#STOCK MARKET#EXPERIMENTAL ACCOUNTING#UNCERTAINTY#MARKET#RISK#BUSINESS#MANAGEMENT

Managers know more about the performance of the organization than investors, which makes the disclosure of information a possible strategy for competitive differentiation, minimizing adverse selection. This paper's main goal is to analyze whether or not an entity's level of diclosure may affect the risk perception of individuals and the process of evaluating their shares. The survey was carried out in an experimental study with 456 subjects. In a stock market simulation, we investigated the pricing of the stocks of two companies with different levels of information disclosure at four separate stages. The results showed that, when other variables are constant, the level of disclosure of an entity can affect the expectations of individuals and the process of evaluating their shares. A higher level of disclosure by an entity affected the value of its share and the other company's.

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## Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 15/05/2012
Português

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#Quantitative Finance - Pricing of Securities#Quantitative Finance - Computational Finance#Quantitative Finance - General Finance

This work addresses the problem of optimal pricing and hedging of a European
option on an illiquid asset Z using two proxies: a liquid asset S and a liquid
European option on another liquid asset Y. We assume that the S-hedge is
dynamic while the Y-hedge is static. Using the indifference pricing approach we
derive a HJB equation for the value function, and solve it analytically (in
quadratures) using an asymptotic expansion around the limit of the perfect
correlation between assets Y and Z. While in this paper we apply our framework
to an incomplete market version of the credit-equity Merton's model, the same
approach can be used for other asset classes (equity, commodity, FX, etc.),
e.g. for pricing and hedging options with illiquid strikes or illiquid exotic
options.; Comment: 34 pages, 10 figures, first presented at Global Derivatives USA,
Chicago, 2011

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## Asset Pricing under uncertainty

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 26/03/2012
Português

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We study the effect of parameter uncertainty on a stochastic diffusion model,
in particular the impact on the pricing of contingent claims, using methods
from the theory of Dirichlet forms. We apply these techniques to hedging
procedures in order to compute the sensitivity of SDE trajectories with respect
to parameter perturbations. We show that this analysis can justify endogenously
the presence of a bid-ask spread on the option prices. We also prove that if
the stochastic differential equation admits a closed form representation then
the sensitivities have closed form representations. We examine the case of
log-normal diffusion and we show that this framework leads to a smiled implied
volatility surface coherent with historical data.; Comment: arXiv admin note: substantial text overlap with arXiv:1001.5202

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## Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 17/03/2013
Português

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38.482798%

We study hedging and pricing of unattainable contingent claims in a
non-Markovian regime-switching financial model. Our financial market consists
of a bank account and a risky asset whose dynamics are driven by a Brownian
motion and a multivariate counting process with stochastic intensities. The
interest rate, drift, volatility and intensities fluctuate over time and, in
particular, they depend on the state (regime) of the economy which is modelled
by the multivariate counting process. Hence, we can allow for stressed market
conditions. We assume that the trajectory of the risky asset is continuous
between the transition times for the states of the economy and that the value
of the risky asset jumps at the time of the transition. We find the hedging
strategy which minimizes the instantaneous mean-variance risk of the hedger's
surplus and we set the price so that the instantaneous Sharpe ratio of the
hedger's surplus equals a predefined target. We use Backward Stochastic
Differential Equations. Interestingly, the instantaneous mean-variance hedging
and instantaneous Sharpe ratio pricing can be related to no-good-deal pricing
and robust pricing and hedging under model ambiguity. We discuss key properties
of the optimal price and the optimal hedging strategy. We also use our results
to price and hedge mortality-contingent claims with financial components
(equity-linked insurance claims) in a combined insurance and regime-switching
financial model.

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## Option Pricing of Twin Assets

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 26/01/2014
Português

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How to price and hedge claims on nontraded assets are becoming increasingly
important matters in option pricing theory today. The most common practice to
deal with these issues is to use another similar or "closely related" asset or
index which is traded, for hedging purposes. Implicitly, traders assume here
that the higher the correlation between the traded and nontraded assets, the
better the hedge is expected to perform. This raises the question as to how
\textquoteleft{}closely related\textquoteright{} the assets really are. In this
paper, the concept of twin assets is introduced, focusing the discussion
precisely in what does it mean for two assets to be similar. Our findings point
to the fact that, in order to have very similar assets, for example identical
twins, high correlation measures are not enough. Specifically, two basic
criteria of similarity are pointed out: i) the coefficient of variation of the
assets and ii) the correlation between assets. From here, a method to measure
the level of similarity between assets is proposed, and secondly, an option
pricing model of twin assets is developed. The proposed model allows us to
price an option of one nontraded asset using its twin asset, but this time
knowing explicitly what levels of errors we are facing. Finally...

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## Valuation of asset and volatility derivatives using decoupled time-changed L\'evy processes

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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In this paper we propose a general derivative pricing framework which employs
decoupled time-changed (DTC) L\'evy processes to model the underlying asset of
contingent claims. A DTC L\'evy process is a generalized time-changed L\'evy
process whose continuous and pure jump parts are allowed to follow separate
random time scalings; we devise the martingale structure for a DTC
L\'evy-driven asset and revisit many popular models which fall under this
framework. Postulating different time changes for the underlying L\'evy
decomposition allows to introduce asset price models consistent with the
assumption of a correlated pair of continuous and jump market activities; we
study one illustrative DTC model having this property by assuming that the
instantaneous activity rates follow the the so-called Wishart process. The
theory developed is applied to the problem of pricing claims depending not only
on the price or the volatility of an underlying asset, but also to more
sophisticated derivatives that pay-off on the joint performance of these two
financial variables, like the target volatility option (TVO). We solve the
pricing problem through a Fourier-inversion method; numerical computations
validating our technique are provided.; Comment: 30 Pages...

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## A Fourier transform method for spread option pricing

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 20/02/2009
Português

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Spread options are a fundamental class of derivative contract written on
multiple assets, and are widely used in a range of financial markets. There is
a long history of approximation methods for computing such products, but as yet
there is no preferred approach that is accurate, efficient and flexible enough
to apply in general models. The present paper introduces a new formula for
general spread option pricing based on Fourier analysis of the spread option
payoff function. Our detailed investigation proves the effectiveness of a fast
Fourier transform implementation of this formula for the computation of prices.
It is found to be easy to implement, stable, efficient and applicable in a wide
variety of asset pricing models.; Comment: 16 pages, 3 figures

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## Pricing formulas, model error and hedging derivative portfolios

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 31/08/2001
Português

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#Condensed Matter - Disordered Systems and Neural Networks#Quantitative Finance - Pricing of Securities

We propose a method for extending a given asset pricing formula to account
for two additional sources of risk: the risk associated with future changes in
market--calibrated parameters and the remaining risk associated with
idiosyncratic variations in the individual assets described by the formula. The
paper makes simple and natural assumptions for how these risks behave. These
extra risks should always be included when using the formula as a basis for
portfolio management. We investigate an idealized typical portfolio problem,
and argue that a rational and workable trading strategy can be based on
minimizing the quadratic risk over the time intervals between trades. The
example of the variance gamma pricing formula for equity derivatives is
explored, and the method is seen to yield tractable decision strategies in this
case.; Comment: 16 pages, 1 figure

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## Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 16/09/2012
Português

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38.54363%

#Quantitative Finance - Pricing of Securities#Quantitative Finance - Computational Finance#Quantitative Finance - Risk Management

We study the problem of optimal pricing and hedging of a European option
written on an illiquid asset $Z$ using a set of proxies: a liquid asset $S$,
and $N$ liquid European options $P_i$, each written on a liquid asset $Y_i,
i=1,N$. We assume that the $S$-hedge is dynamic while the multi-name $Y$-hedge
is static. Using the indifference pricing approach with an exponential utility,
we derive a HJB equation for the value function, and build an efficient
numerical algorithm. The latter is based on several changes of variables, a
splitting scheme, and a set of Fast Gauss Transforms (FGT), which turns out to
be more efficient in terms of complexity and lower local space error than a
finite-difference method. While in this paper we apply our framework to an
incomplete market version of the credit-equity Merton's model, the same
approach can be used for other asset classes (equity, commodity, FX, etc.),
e.g. for pricing and hedging options with illiquid strikes or illiquid exotic
options.; Comment: 18 pages

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## New Pricing Framework: Options and Bonds

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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A unified analytical pricing framework with involvement of the shot noise
random process has been introduced and elaborated. Two exactly solvable new
models have been developed. The first model has been designed to value options.
It is assumed that asset price stochastic dynamics follows a Geometric Shot
Noise motion. A new arbitrage-free integro-differential option pricing equation
has been found and solved. The put-call parity has been proved and the Greeks
have been calculated. Three additional new Greeks associated with market model
parameters have been introduced and evaluated. It has been shown that in
diffusion approximation the developed option pricing model incorporates the
well-known Black-Scholes equation and its solution. The stochastic dynamic
origin of the Black-Scholes volatility has been uncovered. The new option
pricing model has been generalized based on asset price dynamics modeled by the
superposition of Geometric Brownian motion and Geometric Shot Noise. To model
stochastic dynamics of a short term interest rate, the second model has been
introduced and developed based on Langevin type equation with shot noise. A new
bond pricing formula has been obtained. It has been shown that in diffusion
approximation the developed bond pricing formula goes into the well-known
Vasicek solution. The stochastic dynamic origin of the long-term mean and
instantaneous volatility of the Vasicek model has been uncovered. A generalized
bond pricing model has been introduced and developed based on short term
interest rate stochastic dynamics modeled by superposition of a standard Wiener
process and shot noise. Despite the non-Gaussianity of probability
distributions involved...

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## G-consistent price system and bid-ask pricing for European contingent claims under Knightian uncertainty

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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The target of this paper is to consider model the risky asset price on the
financial market under the Knightian uncertainty, and pricing the ask and bid
prices of the uncertain risk. We use the nonlinear analysis tool, i.e., G-frame
work [26], to construct the model of the risky asset price and bid-ask pricing
for the European contingent claims under Knightian uncertain financial market.
Firstly, we consider the basic risky asset price model on the uncertain
financial market, which we construct here is the model with drift uncertain and
volatility uncertain. We describe such model by using generalized G-Brownian
motion and call it as G-asset price system. We present the uncertain risk
premium which is uncertain and distributed with maximum distribution. We derive
the closed form of bid-ask price of the European contingent claim against the
underlying risky asset with G-asset price system as the discounted conditional
G-expecation of the claim, and the bid and ask prices are the viscosity
solutions to the nonlinear HJB equations.Furthermore, we consider the main part
of this paper, i.e., consider the risky asset on the Knightian uncertain
financial market with the price fluctuation shows as continuous trajectories.
We propose the G-conditional full support condition by using uncertain
capacity...

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## Loan securitisation: default term structure and asset pricing based on loss prioritisation

Fonte: Financial Markets Group, London School of Economics and Political Science
Publicador: Financial Markets Group, London School of Economics and Political Science

Tipo: Monograph; NonPeerReviewed
Formato: application/pdf

Publicado em /08/2002
Português

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Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan obligations (CLOs) as an important balance sheet management tool. CLOs represent a specialised form of Asset-Backed Securitisation (ABS), with investors acquiring a structured claim on the interest proceeds generated from a portfolio of bank loans in the form of tranches with different seniority. By way of modelling Merton-type risk-neutral asset returns of contingent claims on a multi-asset portfolio of corporate loans in a CLO transaction, we analyse the optimal design of loan securitisation from the perspective of credit risk in potential collateral default. We propose a pricing model that draws on a careful simulation of expected loan loss based on parametric bootstrapping through extreme value theory (EVT). The analysis illustrates the dichotomous effect of loss cascading, as the most junior tranche of CLO transactions exhibits a distinctly different default tolerance compared to the remaining tranches. By solving the puzzling question of properly pricing the risk premium for expected credit loss, we explain the rationale of first loss retention as credit risk cover on the basis of our simulation results for pricing purposes under the impact of asymmetric information.

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## A theoretical and empirical study of asset securitisation: Risk modelling, security design and market pricing.

Fonte: London School of Economics and Political Science Thesis
Publicador: London School of Economics and Political Science Thesis

Tipo: Thesis; NonPeerReviewed
Formato: application/pdf

Publicado em //2005
Português

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Asset securitisation represents an alternative risk management and refinancing method, which allows issues to convert classifiable cash flows from a diversified portfolio of pre-existing assets and receivables (liquidity transformation and asset diversification process) of varying maturity and quality (integration and differentiation process) into negotiable capital market paper, so-called "asset-backed securities" (ABS). Over the recent past ambivalence in the definition of capital adequacy for credit risk has particularly facilitated the development of loan securitisation as a refined "regulatory arbitrage tool". However, as impending regulatory change shifts the prime objective of securitisation to the efficient management of economic capital, procedural and substantive aspects of asset securitisation warrant closer inspection. The dissertation presents a comprehensive examination of the risk modelling, asset selection, optimal security design and competitive market pricing of asset-backed securities. We first provide an overview of the main characteristics of asset securitisation and explain its attendant benefits and drawbacks, especially as they pertain to the refinancing of illiquid asset exposures, such as SME-related payment obligations. Subsequently...

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