Matches in SemOpenAlex for { <https://semopenalex.org/work/W2098989508> ?p ?o ?g. }
Showing items 1 to 97 of
97
with 100 items per page.
- W2098989508 endingPage "602" @default.
- W2098989508 startingPage "591" @default.
- W2098989508 abstract "We study, in the framework of Back [Rev. Financial Stud. 5(3), 387–409 (1992)], an equilibrium model for the pricing of a defaultable zero coupon bond issued by a firm. The market consists of a risk-neutral informed agent, noise traders, and a market maker who sets the price using the total order. When the insider does not trade, the default time possesses a default intensity in the market’s view as in reduced-form credit risk models. However, we show that, in equilibrium, the modelling becomes structural in the sense that the default time becomes the first time that some continuous observation process falls below a certain barrier. Interestingly, the firm value is still not observable. We also establish the no expected trade theorem that the insider’s trades are inconspicuous." @default.
- W2098989508 created "2016-06-24" @default.
- W2098989508 creator A5026019066 @default.
- W2098989508 creator A5077742208 @default.
- W2098989508 date "2007-05-03" @default.
- W2098989508 modified "2023-10-01" @default.
- W2098989508 title "Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling" @default.
- W2098989508 cites W1525413214 @default.
- W2098989508 cites W1545370368 @default.
- W2098989508 cites W1972412184 @default.
- W2098989508 cites W1978577723 @default.
- W2098989508 cites W1988832155 @default.
- W2098989508 cites W2002471006 @default.
- W2098989508 cites W2011886674 @default.
- W2098989508 cites W2059850901 @default.
- W2098989508 cites W2077791698 @default.
- W2098989508 cites W2082317778 @default.
- W2098989508 cites W2118891973 @default.
- W2098989508 cites W2949567406 @default.
- W2098989508 cites W3047790459 @default.
- W2098989508 cites W4211165101 @default.
- W2098989508 doi "https://doi.org/10.1007/s00780-007-0038-4" @default.
- W2098989508 hasPublicationYear "2007" @default.
- W2098989508 type Work @default.
- W2098989508 sameAs 2098989508 @default.
- W2098989508 citedByCount "39" @default.
- W2098989508 countsByYear W20989895082012 @default.
- W2098989508 countsByYear W20989895082013 @default.
- W2098989508 countsByYear W20989895082014 @default.
- W2098989508 countsByYear W20989895082015 @default.
- W2098989508 countsByYear W20989895082016 @default.
- W2098989508 countsByYear W20989895082017 @default.
- W2098989508 countsByYear W20989895082018 @default.
- W2098989508 countsByYear W20989895082019 @default.
- W2098989508 countsByYear W20989895082020 @default.
- W2098989508 countsByYear W20989895082021 @default.
- W2098989508 countsByYear W20989895082022 @default.
- W2098989508 crossrefType "journal-article" @default.
- W2098989508 hasAuthorship W2098989508A5026019066 @default.
- W2098989508 hasAuthorship W2098989508A5077742208 @default.
- W2098989508 hasBestOaLocation W20989895084 @default.
- W2098989508 hasConcept C10138342 @default.
- W2098989508 hasConcept C106159729 @default.
- W2098989508 hasConcept C144133560 @default.
- W2098989508 hasConcept C144237770 @default.
- W2098989508 hasConcept C149782125 @default.
- W2098989508 hasConcept C162324750 @default.
- W2098989508 hasConcept C17744445 @default.
- W2098989508 hasConcept C182306322 @default.
- W2098989508 hasConcept C19244329 @default.
- W2098989508 hasConcept C197142791 @default.
- W2098989508 hasConcept C199539241 @default.
- W2098989508 hasConcept C2778971194 @default.
- W2098989508 hasConcept C2781078320 @default.
- W2098989508 hasConcept C556758197 @default.
- W2098989508 hasConcept C69738904 @default.
- W2098989508 hasConceptScore W2098989508C10138342 @default.
- W2098989508 hasConceptScore W2098989508C106159729 @default.
- W2098989508 hasConceptScore W2098989508C144133560 @default.
- W2098989508 hasConceptScore W2098989508C144237770 @default.
- W2098989508 hasConceptScore W2098989508C149782125 @default.
- W2098989508 hasConceptScore W2098989508C162324750 @default.
- W2098989508 hasConceptScore W2098989508C17744445 @default.
- W2098989508 hasConceptScore W2098989508C182306322 @default.
- W2098989508 hasConceptScore W2098989508C19244329 @default.
- W2098989508 hasConceptScore W2098989508C197142791 @default.
- W2098989508 hasConceptScore W2098989508C199539241 @default.
- W2098989508 hasConceptScore W2098989508C2778971194 @default.
- W2098989508 hasConceptScore W2098989508C2781078320 @default.
- W2098989508 hasConceptScore W2098989508C556758197 @default.
- W2098989508 hasConceptScore W2098989508C69738904 @default.
- W2098989508 hasIssue "4" @default.
- W2098989508 hasLocation W20989895081 @default.
- W2098989508 hasLocation W20989895082 @default.
- W2098989508 hasLocation W20989895083 @default.
- W2098989508 hasLocation W20989895084 @default.
- W2098989508 hasLocation W20989895085 @default.
- W2098989508 hasLocation W20989895086 @default.
- W2098989508 hasOpenAccess W2098989508 @default.
- W2098989508 hasPrimaryLocation W20989895081 @default.
- W2098989508 hasRelatedWork W1988763299 @default.
- W2098989508 hasRelatedWork W2005130392 @default.
- W2098989508 hasRelatedWork W2339652749 @default.
- W2098989508 hasRelatedWork W2948941447 @default.
- W2098989508 hasRelatedWork W2963985270 @default.
- W2098989508 hasRelatedWork W3121485311 @default.
- W2098989508 hasRelatedWork W3123355110 @default.
- W2098989508 hasRelatedWork W3209901964 @default.
- W2098989508 hasRelatedWork W4312747335 @default.
- W2098989508 hasRelatedWork W607588153 @default.
- W2098989508 hasVolume "11" @default.
- W2098989508 isParatext "false" @default.
- W2098989508 isRetracted "false" @default.
- W2098989508 magId "2098989508" @default.
- W2098989508 workType "article" @default.