NO‐ARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSS‐OWNERSHIP (Q5411395): Difference between revisions
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Latest revision as of 10:07, 8 July 2024
scientific article; zbMATH DE number 6287494
Language | Label | Description | Also known as |
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English | NO‐ARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSS‐OWNERSHIP |
scientific article; zbMATH DE number 6287494 |
Statements
NO‐ARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSS‐OWNERSHIP (English)
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23 April 2014
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absolute priority rule
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capital structure irrelevance
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contingent claims analysis
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counterparty risk
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credit risk
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cross-holdings
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cross-ownership
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derivatives pricing
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financial contagion
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leverage
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Merton model
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multi-asset valuation
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no-arbitrage pricing
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ownership structure
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priority of claims
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reciprocal ownership
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seniority of debt
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structural models
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systemic risk
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