The revaluation of collateralized debt obligations (CDOs) plays a significant role in the ongoing 2007-2009 credit crisis. Starting in August 2007, a large amount of initially AAA rated CDO securities are substantially downgraded, some directly to junk grade. This paper explores two structural sources of CDO mispricing: modeling difficulty and data limitation. Simulating the frailty correlated ...

This paper develops a finite time-horizon fuzzy multi-deteriorating inventory model with/without shortage, where the demand increases linearly with time. Here, the total profit is to be maximized under the limitation on investment. In this problem, total profit, total investment cost and the time-horizon are fuzzy in nature. The impreciseness in the above objective and constraint goals have bee...

This paper employs a the variable returns to scale DEA model to take account of risky assets and estimate the operating efficiencies for the 21 domestic listed securities firms during the period 2005-2009. Evidence is found that on average the brokerage securities firms’ operating efficiencies are better than integrated securities firms. Evidence is also found that the technical inefficiency fr...

The market for U.S. Treasury securities is by many measures the largest, most active debt market in the world. At the end of September 1999, the amount of Treasury debt held outside federal government accounts totaled about $3.6 trillion, close to the amount of outstanding debt securities issued by all U.S. corporations combined.1 Moreover, enormous amounts of Treasury securities are traded eve...

Purpose: The purpose of the study was to investigate difference between financial position Omantel and Ooredoo performance efficiency Ooredoo. Design/methodology/approach: secondary data obtained from annual reports Oman's major telecom providers listed in Muscat Securities Market (MSM) for period 2015 2020. collected statements were analyzed using ratio analyses with help excel. Findings: reve...

We present new evidence on disaggregated profit and loss (P/L) and value-at-risk (VaR) forecasts obtained from a large international commercial bank. Our data set includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in securities trading and each is observed daily for a period of at least two years. Given this unique data ...

Electronic markets use information technology to disseminate information on prices, quantities, and buyer and supplier identities. In spite of the recognized benefits of electronic markets, increased visibility and transparency may introduce imperfections, and create profitable opportunities to bypass markets that generates the information. In the U.S. securities markets, dissemination of marke...

This Article seeks to explore previously unexamined differences between the negligence and strict liability rules and thereby examine whether medical liability reform is required. The main thesis is that negligence as a basis for liability entails a unique mechanism, which is essentially different than the strict liability mechanism, and is more efficient for several reasons related to the lega...

Securitization with payments linked to explicit mortality events provides a new investment opportunity to investors and financial institutions. Moreover, mortalitylinked securities provide an alternative risk management tool for insurers. As a step toward understanding these securities, we develop an asset pricing model for mortality-based securities in an incomplete market framework with jump ...

We examine whether rational investor responses to information uncertainty (IU) explain properties of and returns to several financial anomalies (post-earnings announcement drift, value-glamour, and accruals anomalies). Consistent with a rational learning explanation, we find that: (1) higher IU signals have more muted initial market reactions; (2) extreme anomaly portfolios are characterized by...