Calibration of transparency risks: a note

Details Calibration of transparency risks: a note Calibration of transparency risks: a note

2008-04-10

arxiv.org/abs/0804.1642v2

Economy

Quantitative Finance

Risk Management

11pages

Scientific paper

The aim of this research is to give a simple framework to evaluate/quantize the "transparency" of a firm. We assume that the process of the firm value is only observable once in a while but is strongly correlated with the stock price which is observable and tradable. This hybrid type structure make the transparency "observable". The implication of the present study is that the depth of the shock to the market caused by the precise accounting information does reflect the degree of transparency. Furthermore, it can be quantized resorting to the calibration method.

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