This paper introduces a contingent claim analysis to examine sustainable insurance
practices. It investigates how life insurers participate in sustainable lending by financing …

We analyze the implication of a bailout package including a loan guarantee and a direct
equity capital injection on the equity risk of a distressed bank at the taxpayer costs. The …

The economic growth of developing countries always a central issue concerned by all
countries because any changes in global events might influence the performance of these …

鑒於Merton 模型對於違約點的不當假設與Ronn and Verma (1986) 參數估計法的缺點,
本文採用障礙選擇權架構建立違約風險模型, 並採用Duan (1994, 2000) 的資料轉換最大概似 …

This paper proposes a framework for bank equity valuation based on a path-dependent,
barrier option model. A direct implication of this framework is that bank equity will be priced …

In the era of Big Data, statistical modelling plays important role in handling a prodigious flow
of datasets. The existing literatures regarding the performance of maximum likelihood …

Most empirical research of the path-dependent, exotic-option credit risk model focuses on
developed markets. Taking Taiwan as an example, this study investigates the bankruptcy …

The purpose of this paper is to measure the default probability of Malaysian companies
which have issued Sukuk for the period 2001 to 2010 by using Merton's Model. Maximum …

Auto dealers use floorplan financing to buy cars from the original equipment manufacturer
(OEM) with credit typically provided by the OEM's captive credit bank. The purpose of this …

Many banks diversify their operations, either across different national markets (global
diversification), across different borrowers by offsetting credit risks (hedging diversification) …