The Economics of Solicited and Unsolicited Credit Ratings

This paper develops a dynamic rational expectations model of the credit rating process, incorporating three critical elements of this industry: (1) the rating agencies' ability to misreport the issuer's credit quality, (2) their ability to issue unsolicited ratings, and (3) their reputational concerns. We analyze the incentives of credit rating agencies to issue unsolicited credit ratings and t…

The Econometric analysis of time series

Includes bibliographies, index and tables

Misspecified Recovery

Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the challenge in distinguishing investors' beliefs from risk-adjusted discounting, we use Perron?Frobenius Theory to isolate a positive martingale component of the stochastic discount factor process. This component recover…

Analisa Tingkat Efisiensi Sektoral dan Respon Kebijakan Ekonomi Sektoral di D…

This paper analyzes the contributon of primary input; capital anda labor, on sectoral performance in Indonesia. The analysis cover sall sectors both in national and regional level, and also the dynamic of input efficiency across period. Using stochastic frontier production function approach, this paper found the aggregate share of capital is 0.20 and 0.34 for labor; conforming the dominance of …

Analisis Signifikansi Leverage Ratio Terhadap Efisiensi Sektor Perbankan di I…

Penelitian ini menganalisis signifikansi dari leverage ratio terhadap efisiensi teknis bank dengan tujuan untuk melihat kesiapan dan kecocokan perusahaan-bank dalam menghadapi pengimplementasian BASEL IV atau BASEL III.I. Data dari 47 bank di Indonesia dalam periode 2008 sampai 2023 digunakan sebagai materi untuk penelitian ini. Data-data yang digunakan dalam penelitian dianalisis dengan menggu…

Stochastic calculus and financial applications

This book is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance. The Wharton School course that forms the basis for this book is designed for energetic students who have had some experience with probability and statistics but have not had ad­ vanced courses in stochastic processes. Although the course assumes only a mo…

Stochastic processes and calculus : an elementary introduction with applications

This textbook gives a comprehensive introduction to stochastic processes and calculus in the fields of finance and economics, more specifically mathematical finance and time series econometrics. Over the past decades stochastic calculus and processes have gained great importance, because they play a decisive role in the modeling of financial markets and as a basis for modern time series econome…

Mathematics of financial markets

This work is aimed at an audience with a sound mathematical background wishing to learn about the rapidly expanding ?eld of mathematical ?nance. Its content is suitable particularly for graduate students in mathematics who have a background in measure theory and probability. The emphasis throughout is on developing the mathematical concepts required for the theory within the context of their ap…

Analisis Efisiensi Dan Produktivitas industri besar dan sedang di wilayah pro…

The aim of this research is to determine the performance of large and medium industries, including the level of technical efficiency, the elasticity of output to input, and find sources of growth in Total Factor Productivity (TFP) of large and medium industries in the province of Bali in 2001-2010. Analytical techniques used in this study is the Stochastic Frontier Production Function using tra…

Ekonometrika keuangan menggunakan software R : (open source software statisti…

Buku ini membahas penerapan teknik-teknik ekonometrika pada data keuangan dengan menggunakan open source software R, sebuah software statistika, komputasi dan grafis. Teknik-teknik ekonometrika yang dibahas pada buku ini mencakup sekilas pasar keuangan (financial market), software R, statistika deskriptif dan statistika inferensial, regresi linear beserta diagnosa regresi, bentuk alternatif mod…

The Term Structure of Covered Interest Rate Parity Violations

We quantify the impact of risk-based and nonrisk-based intermediary constraints (IC) on the term structure of covered interest rate parity (CIP) violations. Using a stochastic discount factor (SDF) inferred from interest rate swaps, we value currency derivatives. The wedge between model-implied and observed derivative prices reflects the impact of nonrisk-based IC because our SDF incorporates r…

Dekomposisi pertumbuhan produktivitas industri manufaktur di Indonesia : pend…

Pertumbuhan produktivitas dapat didekomposisi menjadi sumber-sumber pembentuknya yaitu perubahan teknis, perubahan efisiensi teknis, dan perubahan skala usaha. Peranan masing-masing sumber tersebut penting untuk diketahui karena Indonesia mengalami penurunan pertumbuhan TFP pada tahun 1990-2015 yang menunjukkan adanya permasalahan produktivitas. Dari hasil studi-studi sebelumnya mengenai dekomp…

Aktivitas ekspor dan inefisiensi teknis industri andalan ekspor Indonesia

Penelitian ini meneliti bagaimana pengaruh aktivitas ekspor terhadap inefisiensi teknis pada industri andalan ekspor Indonesia dengan menggunakan data level perusahaan yang bersumber dari Survei Industri Besar Sedang BPS periode 2010 sampai dengan 2014. Penelitian ini menggunakan model stochastic frontier dengan one step approach yang diterapkan pada fungsi produksi translog. Hasil dari penelit…

Analisis efisiensi kantor pajak tingkat provinsi di Indonesia Tahun 2016-2020

Pengukuran Efisiensi merupakan hal yang penting sebagai evaluasi kinerja faktor input dalam menghasilkan output yang ada. Pengukuran ini penting dilakukan terutama oleh unit yang bergerak dalam pelayanan publik. Kantor Pajak sebagai bagian pelayanan publik dalam hal administrasi perpajakan dituntut untuk dapat bekerja maksimal menggunakan faktor input yang ada. Penelitian ini mengukur nilai efi…

Theory of financial decision making

Based on courses developed by the author over several years, this book provides access to a broad area of research that is not available in separate articles or books of readings. Topics covered include the meaning and measurement of risk, general single-period portfolio problems, mean-variance analysis and the Capital Asset Pricing Model, the Arbitrage Pricing Theory, complete markets, multipe…

Stochastic proccesses for insurance and finance

Stochastic Processes for Insurance and Finance offers a thorough yet accessible reference for researchers and practitioners of insurance mathematics. Building on recent and rapid developments in applied probability, the authors describe in general terms models based on Markov processes, martingales and various types of point processes. Discussing frequently asked insurance questions, the autho…

Introduction to stochastic calculus with applications

This book aims at providing a concise presentation of Stochastic Calculus with some of its applications in Finance, Engineering and Science. During the past twenty years, there has been an increasing demand for tools and methods of Stochastic Calculus in various disciplines. One of the greatest demands has come from the growing area of Mathematical Finance, where Stochastic Calculus is used for…

Stochastic processes with applications to finance

Edisi

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ISBN/ISSN

9781584882244

Deskripsi Fisik

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Judul Seri

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No. Panggil

Tan 519. 2 Kij s

Dampak adopsi benih bersertifikat terhadap cost efficiency usaha tani hortiku…

Penelitian ini bertujuan untuk menganalisis secara empiris dampak adopsi benih bersertifikat terhadap efisiensi biaya rumah tangga usaha tanaman hortikultura semusim. Data yang digunakan bersumber dari Survei Struktur Ongkos Usaha Tanaman Hortikultura (SOUH) tahun 2018, Badan Pusat Statistik. Variabel inefisiensi biaya diestimasi dengan one-step stochastic frontier. Hasil dari deskriptif data m…

Pengaruh kebijakan mandatory spending terhadap efisiensi belanja daerah : stu…

Penelitian ini bertujuan untuk melihat pengaruh kebijakan mandatory spending bidang pendidikan terhadap efisiensi belanja daerah di bidang pendidikan. Dalam menganalisis hubungan antara mandatory spending dan efisiensi belanja daerah, studi ini menggunakan teori terkait earmarking terutama model debate prevention yang menyatakan bahwa institusi pemegang dana earmark cenderung tidak efisien dala…