Showing 1 - 10 of 64
Value at Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk of trading portfolios. Yet, existing theoretical analyses of the optimal behavior of a trader subject to VaR limits have produced a negative view of VaR as a risk-control tool. In particular, VaR...
Persistent link: https://www.econbiz.de/10012757233
This paper presents a general method for valuing fixed rate bonds and options written on them. In the first part, of a theoretical nature, we present valuation formulae, derived within the framework of the Cox, Ingersoll and Ross (CIR) model, both for bonds and for European options written on...
Persistent link: https://www.econbiz.de/10012714855
This paper, which follows up the analyses of an earlier study published in December 1988, starts by updating the description of the regulatory framework for Italian stock options (premium contracts), with reference both to the regulations issued by the Consob (the Italian SEC) and the changes in...
Persistent link: https://www.econbiz.de/10012714856
This paper tests the Cox, Ingersoll and Ross model using the prices of Italian Treasury bonds in the secondary market. The model is estimated daily for the period 30 December 1983 to 13 March 1989. The resulting term structures of interest rates are compared with those obtained using...
Persistent link: https://www.econbiz.de/10012714857
The Italian Treasury's puttable bonds (Certificati del Tesoro con opzione di rimborso anticipato - CTOs) are the first example in Italy of retractable/extendible bonds, which have been used on the Canadian market for some time and recently been adopted on the Euromarket. In this paper the...
Persistent link: https://www.econbiz.de/10012714858
Despite their growing importance on Italian stock exchanges, premium contracts have not received very much attention in analytical studies. This paper starts with a description of the working of the market for premium contracts with the aim of highlighting its institutional peculiarities...
Persistent link: https://www.econbiz.de/10012714859
We study the dynamic investment and reporting problem of a Financial institution subject to capital requirements based on self-reported VaR estimates, as in the Basel Committee's Internal Models Approach (IMA). We characterize the solution of this problem using martingale duality and parametric...
Persistent link: https://www.econbiz.de/10012714881
The paper analyzes asset pricing implications of commonly used performance fees linking the compensation of fund managers to the return of the managed portfolio relative to that of a benchmark portfolio. Symmetric(fulcrum) performance fees distort the allocation of managed portfolios in a way...
Persistent link: https://www.econbiz.de/10012715072
This paper examines optimal consumption and investment choices and the cost of hedging contingent claims in the presence of margin requirements or, more generally, of nonlinear wealth dynamics and constraints on the portfolio policies. Existence of optimal policies is established using...
Persistent link: https://www.econbiz.de/10012715086
Value at Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk of trading portfolios.Yet,existing theoretical analyses of the optimal behavior of a trader subject to VaR limits have produced a negative view of VaR as a risk-control tool. In particular,VaR...
Persistent link: https://www.econbiz.de/10005771806