This paper examines how product market competition and corporate governance variables affect diff... more This paper examines how product market competition and corporate governance variables affect differently the productivity growth of corporations. Corporate governance systems are expected to have different patterns regarding the relationship determining the impact of corporate governance mechanisms, product market competition and ownership structure. Corporate performance is measured by value added growth as a proxy of the variable indicating productivity, which
This paper deals with the impact of structure of dependency and the choice of procedures for rare... more This paper deals with the impact of structure of dependency and the choice of procedures for rare-event simulation on the pricing of multi-name credit derivatives such as nth to default swap and Collateralized Debt Obligations (CDO). The correlation between names defaulting has an effect on the value of the basket credit derivatives. We present a copula based simulation procedure for
The aim of this paper is the price calibration of basket default swap from Japanese market data. ... more The aim of this paper is the price calibration of basket default swap from Japanese market data. The value of this instruments depend on the number of factors including credit rating of the obligors in the basket, recovery rates, intensity of default, basket size and the correlation of obligors in the basket. A fundamental part of the pricing framework is
The purpose of this paper is the valuation of an option to defer an oilfield development. A metho... more The purpose of this paper is the valuation of an option to defer an oilfield development. A methodology is implemented in order to choose the appropriate continuous-time stochastic processes for these risk factors: the crude oil price, the convenience yield and the risk-free interest rate. The analysis reveals that the convenience yield follows a mean-reverting process, the oil price is
This paper investigates and models the relationship between firm value and risk. In order to mode... more This paper investigates and models the relationship between firm value and risk. In order to model the impact of operating and financial leverages and intrinsic business risk on firm value we extend both the theoretical and empirical issues of and . We use panel data to estimate operating and financial leverage degrees and 403 sample non-financial USA firms for the period from 1995 to 1999. Our empirical findings suggest that the degree of operating leverage and intrinsic business risk explain a large portion of the variation of excess return in dollar when firm's sales are negatively correlated with the market portfolio. In contrast, when firm's sales are positively correlated with market portfolio, the degree of operating leverage is embedded in the intrinsic business risk and a significant portion of cross-sectional variation in the excess return in dollar can be explained by intrinsic business risk and the degree of financial leverage.
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Papers by Abid Fathi