نتایج جستجو برای: liquidation value

تعداد نتایج: 734694  

1999
Matthias Kahl Stephen Morris Matti Suominen Masako Ueda

Many ...nancially distressed ...rms remain highly levered, invest little, and perform poorly after emerging from a debt restructuring. As a consequence, they often reenter distress shortly after the restructuring. This paper presents a theory of dynamic liquidation that is consistent with these ...ndings. Postponing the liquidation decision allows creditors to learn about the ...rm’s prospects ...

2013
Qingbin Meng Zhendong Li Menghai Wang Xin Zhang

In this paper we consider the optimal control problem for a insurance company. Our objective is to maximize the expectation of discounted dividends and its terminal value which represents the company liquidation value upon the time of bankruptcy. The surplus of the insurance company is governed by the Brownian motion with a constant drift and a diffusion term. The company can manage its risk ex...

2013
Russell Cooper Hubert Kempf

This paper studies the provision of deposit insurance along with liquidation decisions without commitment in an economy with heterogenous households. The analysis separates control of the balance sheet of a failed bank from the provision of deposit insurance. We study the factors that determine orderly liquidation and the effects of this policy on the prospect of bank runs. We also study the pr...

1996
Brian J. Hall James Bohn David Cummins Nancy Rose John Worrall

Why is the cost of resolving insurance company failures so high? Evidence in this article suggests that the state insurance regulatory bodies in charge of the liquidation process turn over an average of only $0.33 for each $1.00 of pre-insolvency assets to the guaranty funds (the state agencies responsible for paying claims). This very low “recovery rate” could result from ex ante regulatory fa...

Journal: :Social Science Research Network 2021

Using the generalized extreme value theory to characterize tail distributions, we address liquidation, leverage, and optimal margins for bitcoin long short futures positions. The empirical analysis of perpetual on BitMEX shows that (1) daily forced liquidations out- standing are substantial at 3.51%, 1.89% short; (2) investors got liquidation do trade aggressively with average leverage 60X; (3)...

Journal: :Comp. Opt. and Appl. 2005
Sergiy Butenko Alexander Golodnikov Stan Uryasev

This paper develops trading strategies for liquidation of a financial security which maximize the expected return. The problem is formulated as a stochastic programming problem, which utilizes the scenario representation of possible returns. Two cases are considered, a case with no constraint on risk and a case when the risk of losses associated with trading strategy is constrained by Condition...

2015
Cyril Monnet Erwan Quintin Guillermo Ordonez Piero Gottardi Jeremy Greenwood Todd Keister David Levine Mark Ready Itay Goldstein

Private equity investments are highly illiquid compared to publicly traded alternatives. We argue that, given this distinguishing characteristic, private equity markets should optimally feature restricted information ows between operators and investors precisely as they do in practice. When secondary market opportunities are likely to be shallow more information can reduce the expected liquidat...

2001
Griselda Deelstra Huyên Pham Nizar Touzi

In the context of a general multi-variate financial market with transaction costs, we consider the problem of maximizing expected utility from terminal wealth. In contrast with the existing literature, where only the liquidation value of the terminal portfolio is relevant, we consider general utility functions which are only required to be consistent with the structure of the transaction costs....

2008
Alexander Schied

We consider the finite-time optimal basket liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying continuous-time liquidity model, we use a multi-asset extension of the nonlinear price impact model of Almgren (2003). We show that the expected utility of sales revenues, taken over a large class of adapted strategies, is maximized by ...

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