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THE "FED-MODEL"AND THE CHANGINGCORRELATION OF STOCK AND BONDRETURNS: AN EQUILIBRIUM APPROACH

Hasseltoft, Henrik - Institut für Schweizerisches Bankwesen <Zürich> - 2010

the time-varying correlation of US stock and bond returns. Key ingredients are time-varyingrst and second moments of …. This generates a positive correlation between dividendyields and nominal yields and between stock and bond returns. High …

Persistent link: https://www.econbiz.de/10009354140

International Asset Allocation and Hidden Regime Switching

Morger, Felix - Institut für Schweizerisches Bankwesen <Zürich> - 2006

characteristics of her portfolio. This empirical study is embedded into an introduction to correlation breakdown, which can be …

Persistent link: https://www.econbiz.de/10005858133

Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk

Ehlers, Philippe; Schönbucher, Philipp J. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

In single-obligor default risk modelling, using a background filtration in conjunction with a suitable embedding hypothesis (generally known as H-hypothesis or immersion property) has proven a very successful tool to separate the actual default event from the model for the default arrival...

Persistent link: https://www.econbiz.de/10005858244

Private Equity Returns: Is there really a Benefit of low Co-movement with Public Markets?

Ick, Matthias M. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

as exit channel. We find significant statistical evidence for the negative correlation between early stage investments … on correlation coefficients, but need to carefully consider a funds investment strategy. The conflict of objectives for …

Persistent link: https://www.econbiz.de/10005858359

Correlation Risk and Optimal Portfolio Choice

Buraschi, Andrea; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007

In this paper we solve an intertemporal portfolio problem with correlation risk, using a new approach for the … simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an … optimal portfolio demand for hedging correlation risk. We calibrate the model and find that the optimal demand to hedge …

Persistent link: https://www.econbiz.de/10005858523

Default Correlation in a Markov-Chain Credit Migration Model with Contagion Effects

Gibson, Rajna; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich> - 2005

In this paper, we extend the earlier results of Jeanblanc and Valchev (2003) in the single name case to the case of multiple defaults of the issuers in a concentrated industry or homo- geneous bond market. We provide solutions for the pairwise default correlations and credit spreads in an...

Persistent link: https://www.econbiz.de/10005858812

A diffusion limit for generalized correlated random walks

Gruber, Urs; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2005

A generalized correlated random walk is a process X_k of partial sums of random variables Y_j such that (X,Y) forms a Markov chain. For a sequence X^n of such processes where each Y^n_j takes only two values, we prove weak convergence to a diffusion process whose generator is explicitly...

Persistent link: https://www.econbiz.de/10005858866

Stabilität der Korrelationen bedeutender Anlageklassen

Auckenthaler, Christoph; Skaanes, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2003

Seit Begründung der modernen Portfoliotheorie ist bekannt, daß die Portfoliovolatilität im Fall niedriger Korrelationen zwischen den Anlageklassen bei sonst gleich bleibenden Parametern ohne Renditeeinbuße reduziert wird...

Persistent link: https://www.econbiz.de/10005856981