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Co-monotonicity of optimal investments and the design of structured financial products
Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We prove that under very weak conditions optimal financial products have to be co-monotone with the inverted state price density. Optimality is meant in the sense of the maximization of an arbitrary preference model, e.g. Expected Utility Theory or Prospect Theory. The proof is based on methods...
Persistent link: https://www.econbiz.de/10005858203
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Learning and Asset Prices under Ambiguous Information
Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2006
We propose a new continuous time framework to study asset prices under learning and ambiguity aversion. In a partial information Lucas economy with time additive power utility, a discount for ambiguity arises if and only if the elasticity of intertemporal substitution (EIS) is above one. Then,...
Persistent link: https://www.econbiz.de/10005858768
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Coherent and Convex Fair Pricing and Variability Measures
Maass, Sebastian - Institut für Schweizerisches Bankwesen <Zürich> - 2005
In this paper, we show that coherent upper and lower previsions as well as coherent risk measures are only meaningful under the assumption that one starts with initial wealth being constantly 0. This implies at least for coherent upper and lower previsions a correction of their interpretation,...
Persistent link: https://www.econbiz.de/10005858724
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Contribution values for allocation of risk capital and for premium calculation
Denneberg, Dieter; Maass, Sebastian - Institut für Schweizerisches Bankwesen <Zürich> - 2005
A class of contribution values for pairs of random variables is introduced as a technical tool for the problem how the risk capital needed for a portfolio of random activities should be allocated to its components. The well known allocation model with expected shortfall as corresponding risk...
Persistent link: https://www.econbiz.de/10005858735
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Establishing Consistent Collateral Policies for Central Banks’ Open Market Operations
Cossin, Didier; Huang, Zhijiang; González, Fernando; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
We derive a general framework for collateral risk control determination for central bank's open market operations. This … framework allows us to determine the schedule of haircuts consistent with the risk tolerated by the central bank while at the …, if the bank fixes its risk exposure, which is related to its risk appetite, the required haircut can be extracted …
Persistent link: https://www.econbiz.de/10005859381
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Analyzing Credit Risk in Default Swap Transaction Data : Is Fixed-Income Markets’ Information Sufficient to Evaluate Credit Risk?
Cossin, Didier; Hricko, Tomas; Aunon-Nerin, Daniel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity markets data. We thus provide an international analysis of...
Persistent link: https://www.econbiz.de/10005859382
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Bank Risk Management and the Franchise Value
Bauer, Wolfgang; Ryser, Marc - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We analyze optimal risk management strategies for a regulatory restricted bank financed with deposits and equity in an … infinite horizonmodel. The bank has a positive franchise value from rents coming from deposit related services (liquidity … franchise value and the liquidation costs in case of a bank run give the bank a motivation for risk management. The franchise …
Persistent link: https://www.econbiz.de/10005859100
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Die Risikopolitik der Banken in ihrer konkreten Ausgestaltung - Entwurf einer ausformulierten Risikopolitik als Vorlage - 2. Teil
Geiger, Hans - Institut für Schweizerisches Bankwesen <Zürich> - 1999
Die folgende Vorlage will als Hilfe bei der Entwicklung, Formulierung und Überprüfung der Risikopolitk einer Bank …
Persistent link: https://www.econbiz.de/10005857023
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Will investors adapt their investment behavior whenfaced with a change in information feedback and investmentflexibility?
Zeisberger, Stefan; Langer, Thomas; Weber, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2011
Assuming investors are loss averse, repeated risky investments are less attractive inmyopic evaluation. A theoretical foundation for this effect is given by the behavioralconcept of myopic loss aversion (MLA). The consequences of MLA have been confirmedin several between-subject experimental...
Persistent link: https://www.econbiz.de/10009354101
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Model Risk for European Stock Index Options
Gençay, Ramo; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In empirical modeling, there have been two strands for pricing in the options literature, namely the parametric and nonparametric models. Often, the support for the nonparametric methods is based on a benchmark such as theBlack-Scholes model with constant volatility. In this paper, we examine...
Persistent link: https://www.econbiz.de/10005857988