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A Comparison of Single Factor Markov-Functional and Multi Factor Market Models

Pietersz, Raoul; Pelsser, Pelsser, A.A.J. - Erasmus Research Institute of Management (ERIM), … - 2005

We compare single factor Markov-functional and multi factor market models for hedging performance of Bermudan swaptions …. We show that hedging performance of both models is comparable, thereby supporting the claim that Bermudan swaptions can …

Persistent link: https://www.econbiz.de/10010731009

An Empirical Comparison of Default Swap Pricing Models

Houweling, Patrick; Vorst, Ton - Erasmus Research Institute of Management (ERIM), … - 2002

Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works...

Persistent link: https://www.econbiz.de/10010837529

Fund liquidation, self-selection and look-ahead bias in the hedge fund industry

Verbeek, Marno; ter Horst, ter Horst, J.R. - Erasmus Research Institute of Management (ERIM), … - 2004

A wide range of empirical biases hampers hedge fund databases. In this paper we focus upon survival-related biases and disentangle look-ahead biases due to self-selection of funds and due to fund termination. Self-selection arises because funds voluntarily report their information to data...

Persistent link: https://www.econbiz.de/10010837672

The Impact of Institutional Differences on Derivatives Usage

Bodnar, G.M.; de Jong, de Jong, A.; Macrae, V. - Erasmus Research Institute of Management (ERIM), … - 2001

This paper examines the influence of institutional differences on risk management practices in the US and the Netherlands. This comparison is interesting because the Dutch firms' institutional setting differs from the US setting with respect to shareholder orientation, international trade,...

Persistent link: https://www.econbiz.de/10010731034

Currency Hedging for International Stock Portfolios

de Roon, de Roon, F.A.; Nijman, Nijman, T.E.; Werker, B.J.M. - Erasmus Research Institute of Management (ERIM), … - 2000

This paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a … show that static hedging with currency forwards does not lead to improvements in portfolio performance for a US investor … one of the currencies, currency hedging clearly improves his portfolio performance. While these results hold for investors …

Persistent link: https://www.econbiz.de/10010731133