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standard deviation

Overview page. Subjects: Science and Mathematics.

A measure of the dispersion of data in statistics. For a set of values a 1, a 2, a 3, … an , the mean m is given by (a 1 + anull...

See overview in Oxford Index

standard deviation

Jonathan Law.

in A Dictionary of Finance and Banking

March 2018; p ublished online March 2018 .

Reference Entry. Subjects: Banking; Social Sciences; Economics. 74 words.

A measure of the dispersion of statistical data. For a series of n values x 1, x 2, x n...

historic volatility

Jonathan Law.

in A Dictionary of Finance and Banking

March 2018; p ublished online March 2018 .

Reference Entry. Subjects: Banking; Social Sciences; Economics. 22 words.

The past value of the *standard deviation of the price of, or return on, a financial obligation. See volatility...

expected volatility

Jonathan Law.

in A Dictionary of Finance and Banking

March 2018; p ublished online March 2018 .

Reference Entry. Subjects: Banking; Social Sciences; Economics. 48 words.

An estimate of the future *standard deviation of the value of a particular financial variable. It is important in the valuation of options, since the higher the ...

implied volatility

Jonathan Law.

in A Dictionary of Finance and Banking

March 2018; p ublished online March 2018 .

Reference Entry. Subjects: Banking; Social Sciences; Economics. 50 words.

The expected *standard deviation in the price of the *underlying in an options contract. It is calculated by using the market price of the option to solve an option-pricing formula in which...

postmodern portfolio theory

Jonathan Law.

in A Dictionary of Finance and Banking

March 2018; p ublished online March 2018 .

Reference Entry. Subjects: Banking; Social Sciences; Economics. 102 words.

A development from *modern portfolio theory (MPT) that has become increasingly influential since the 1990s. Like MPT, PMPT suggests that rational investors should diversify widely to...

The Private Equity Advantage: Leveraged Buyout Firms and Relationship Banking

Victoria Ivashina and Anna Kovner.

in The Review of Financial Studies

July 2011; p ublished online April 2011 .

Journal Article. Subjects: Financial Institutions and Services; Banking; Investment Banking; Corporate Governance. 17643 words.

This article examines the impact of leveraged buyout firms' bank relationships on the terms of their syndicated loans. We examine a sample of 1,590 loans financing private equity sponsored...

Bank Bailouts and Moral Hazard: Evidence from Germany

Lammertjan Dam and Michael Koetter.

in The Review of Financial Studies

August 2012; p ublished online April 2012 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Game Theory and Bargaining Theory; Banking; Financial Regulation; Regulation and Industrial Policy. 16089 words.

We use a structural econometric model to provide empirical evidence that safety nets in the banking industry lead to additional risk taking. To identify the moral hazard effect of bailout...