We evolve competitive measures of market discipline, and explore their associated
ramifications for banking, by way of the effects of Basel II adoption. Using principal …

Most structural models for valuing corporate securities assume a geometric Brownian motion
to describe the value of a firm's assets. However, this does not reflect market stylized …

We design and implement a dynamic program for valuing corporate securities, seen as
derivatives on a firm's assets, and computing the term structure of yield spreads and default …

A common dilemma for modelers in operations research (OR) involves how to construct
ethically sensitive models. Concern for ethical modeling has recently become more …

В статье представлена авторская классификация издержек несостоятельности, оценки
которых необходимы менеджменту компании при принятии решений о структуре …

This study formulates the deposit insurance valuation problem as a zero-sum optimal
stopping game using Israeli option with bankruptcy cost. Specifically, closure of a bank is …

This paper investigates the effectiveness of depositor discipline for the Brazilian banking
industry within the 1994-2004 period. The study shows that depositors are able do …

This study examines the valuation problem in deposit insurance as a game option between
the deposit insurer and the insured bank with asymmetric bankruptcy costs. The asset-to …