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The Determinants of Credit Default Swap Premia

Ericsson, Jan; Jacobs, Kris; Oviedo, Rodolfo A. - Centre Interuniversitaire de Recherche en Analyse des … - 2004

leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent … premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default … data. We therefore conclude that leverage, volatility and the riskfree rate are important determinants of credit default …

Persistent link: https://www.econbiz.de/10005100839

Species Preservation and Biodiversity Value: A Real Options Approach

Kassar, Ilhem; Lasserre, Pierre - Centre Interuniversitaire de Recherche en Analyse des … - 2002

We evaluate biodiversity in a real options framework, when the resources in use are substitutable. We examine optimal conservation decisions given that a biodiversity loss is irreversible and that future use values are uncertain. While species substitutability is generally believed to reduce the...

Persistent link: https://www.econbiz.de/10005100634

Ratchet vs Blasé Investors and Asset Markets

St-Amour, Pascal - Centre Interuniversitaire de Recherche en Analyse des … - 2004

His paper proposes a new wealth-dependent utility function for the inter-temporal consumption and portfolio problem, in which the subsistance (bliss) consumption level is a function of wealth. Ratchet effects obtain when higher wealth increases the subsistance consumption level; blasé behavior...

Persistent link: https://www.econbiz.de/10005100831

Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets

Detemple, Jérôme B.; Gottardi, Piero - Centre Interuniversitaire de Recherche en Analyse des … - 1997

This paper studies the conditions for aggregation, portfolio separation and effective completeness of competitive allocations in general equilibrium models with incomplete markets in which agents have general preference and endowment distributions. We show that these properties are distinct....

Persistent link: https://www.econbiz.de/10005100865

Exchange rates and commodity prices: measuring causality at multiple horizons

Zhang, Hui Jun; Dufour, Jean-Marie; Galbraith, John - Centre Interuniversitaire de Recherche en Analyse des … - 2013

Understanding and measuring the relative roles of different causal channels between commodity prices and exchange rates has important implications in financial decision making, especially for market participants with short horizons. From a macroeconomic perspective, this can also be useful for...

Persistent link: https://www.econbiz.de/10011183664

Bank Leverage Regulation and Macroeconomic Dynamics

Christensen, Ian; Meh, Césaire; Moran, Kevin - Centre Interuniversitaire de Recherche en Analyse des … - 2011

, though banks do not internalize this impact. Regulation, in the form of a constraint on bank leverage, can mitigate the … bank leverage regulation can have desirable stabilization properties, particularly when financial shocks are an important …

Persistent link: https://www.econbiz.de/10009391934

Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy

Moran, Kevin; Carmichael, Benoît; Koumou, Gilles Boevi - Centre Interuniversitaire de Recherche en Analyse des … - 2015

This paper extends the use of Rao (1982b)'s Quadratic Entropy (RQE) to modern portfolio theory. It argues that the RQE of a portfolio is a valid, exible and unifying approach to measuring portfolio diversification. The paper demonstrates that portfolio's RQE can encompass most existing measures,...

Persistent link: https://www.econbiz.de/10011261636

Anomalies de marché et sélection des titres au Canada

Guay, Richard; L'Her, Jean-François; Suret, Jean-Marc - Centre Interuniversitaire de Recherche en Analyse des … - 1995

Cet article examine de manière conjointe les effets de la taille, des ratios bénéfice/cours et valeur comptable/valeur marchande des actions sur les rendements des actions canadiennes. Il présente une estimation des primes de risque associées à chacune de ces anomalies de marché. Les...

Persistent link: https://www.econbiz.de/10005079378

Let's Get "Real"" about Using Economic Data"

Christoffersen, Peter; Ghysels, Eric; Swanson, Norman R. - Centre Interuniversitaire de Recherche en Analyse des … - 2001

We show that using data which are properly available in real time when assessing the sensitivity of asset prices to economic news leads to different empirical findings that when data availability and timing issues are ignored. We do this by focusing on a particular example, namely Chen, Roll and...

Persistent link: https://www.econbiz.de/10005100586

A Monte-Carlo Method for Optimal Portfolios

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - Centre Interuniversitaire de Recherche en Analyse des … - 2000

This paper provides (i) new results on the structure of optimal portfolios, (ii) economic insights on the behavior of the hedging components and (iii) an analysis of simulation-based numerical methods. The core of our approach relies on closed form solutions for Melliavin derivatives of...

Persistent link: https://www.econbiz.de/10005100643