We investigate the theoretical and empirical difference between thestandard convexity adjustment and Forward Libor Model in a particular case oftwo-period Constant Maturity Swaps. Using daily data from 1991 to 1997, wesimulate the difference (spread) between the two-period CMS swap rates...

Credit Default Swaps (CDS) are in the process of becoming, liquid and extremelyinformative instruments of default risk. Yet, default swap market has severalnovel aspects that have not received much attention. In this paper we studyan aspect of CDS´s that relates to the prediction of financial...

Mit finanzieller Unterstützung der Stiftung Ecoscientia und des NCCR FIN-RISK (National Centre of Competence in Research “Financial Valuation and RiskManagement”) hat das Institut für schweizerisches Bankwesen der UniversitätZürich eine Neuauflage der je in den Jahren 2000, 2002 und 2004...

With the financial support of the Ecoscientia Foundation and the NCCR FIN-RISK (National Centre of Competence in Research “Financial Valuation and RiskManagement”), the Swiss Banking Institute of the University of Zurich conductedthe survey “Equity Ownership in Switzerland 2006”. This survey...