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Stochastic asset collateral valuation withvalue at risk and asset prices

Başlık çevirisi mevcut değil.

  1. Tez No: 716631
  2. Yazar: MEHMET BENTÜRK
  3. Danışmanlar: DR. MARSHALL J. BURAK
  4. Tez Türü: Doktora
  5. Konular: Bankacılık, Maliye, Banking, Finance
  6. Anahtar Kelimeler: Belirtilmemiş.
  7. Yıl: 2017
  8. Dil: İngilizce
  9. Üniversite: Lincoln University
  10. Enstitü: Yurtdışı Enstitü
  11. Ana Bilim Dalı: Belirtilmemiş.
  12. Bilim Dalı: Belirtilmemiş.
  13. Sayfa Sayısı: 165

Özet

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Özet (Çeviri)

This dissertation primarily focused on investors' asset collateral valuation in a mathematical model. In general terms, a haircut is expressed as the percentage deduction from the market value of the collateral. It was claimed that investors determine asset haircuts on the solvency level to eliminate credit and interest risk of a loan. The Value at Risk (VaR) approach is used to transform investors' behavior in a mathematical model for this purpose. Besides the asset risk itself, the asset liquidity and market volatility were used innovatively as input parameters inside the model. Investors risk appetite is captured through to their probability preference by considering asset liquidity moments and market volatility. As expected, asset liquidity risk is statistically significant and has approximately close impact with expected asset liquidity on asset haircuts. The model approach contributes to literature as an asset based, time–varying, and asset liquidity linked haircut prediction model. The empirical results confirmed the haircut model predictions' accuracy in many ways. Besides that, asset haircuts impact on asset reurns were examined in cross-section and two factors pricing models by using the mathematical model's findings. The cross-section regression results show that asset haircuts have a significant impact on asset returns. However, we did not have enough evidence to claim that assets haircuts explain equity puzzle or not. Different than classical CAPM, the two factors pricing model includes a risk factor (collateral quality risk) due to haircuts besides the market risk factor. The collateral quality risk premiums are statistically significant in the most liquid portfolio and liquid portfolio, but not in the most illiquid portfolio. The assets, which are represented by the most illiquid portfolio, also subject to short-selling restriction. Short-selling restriction obstruct to price arbitrage opportunities, which explains the statistically insignificant 6 collateral risk premium in the most illiquid portfolio's regression results. Since the most illiquid portfolio represents very limited stocks in the market, it is concluded that the two factors arbitrage pricing model is more accurate than classical CAPM.

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