Journal of Derivatives and Quantitative Studies: 선물연구 , Open Access
Issue(s) available: 77 – From Volume: 10 Issue: 1, to Volume: 32 Issue: 3
Predicting zombie firms after the COVID-19 pandemic using explainable artificial intelligence
Dongwook Seo, Hyeong Joon Kim, Seongjae MunThis study examines various artificial intelligence (AI) models for predicting financially distressed firms with poor profitability (“Zombie firms”). In particular, we adopt the…
Partial hedging in credit markets with structured derivatives: a quantitative approach using put options
Constantin SiggelkowThis study develops a novel method for mitigating credit risk through the use of structured derivatives, focusing in particular on the use of European put options as a strategic…
Does the disclosure of ESG information by private equity firms impact the success of their fundraising efforts?
Jung-Hee Noh, Heejin ParkThis study examines the impact of private equity fund managers' (GPs') ESG disclosure on fundraising. To this end, a sample of global private equity and venture capital funds that…
The Fisher’s hedge hypothesis: what about homogeneity and stability properties?
Malika Neifar, Amira HarzallahThe purpose of this study is to see if the Fisher’s hypothesis validation is robust in year or/and countries dimensions. We investigate whether nominal or real stock market…