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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
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The Pricing of Interest Rate and Credit Risks in Equity Returns : An Empirical Cross-Country Comparison
Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In this study, we examine whether changes in the investment opportunityset stemming from interest rate and credit risks are priced in the US, theUK and the Swiss equity premia by estimating both two-factor and three-factor versions of Merton’s ICAPM. The systematic pricing of credit riskis...
Persistent link: https://www.econbiz.de/10005857973
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The Emergence of Information Sharing in Credit Markets
Brown, Martin; Zehnder, Christian - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We examine how asymmetric information and competition in the credit market affect voluntary information sharing between lenders. We study an experimental credit market in which information sharing can help lenders to distinguish goodborrowers from bad ones, because borrowers may exogenously...
Persistent link: https://www.econbiz.de/10005858065
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A Model of Loyalty and Competence
Wagner, Alexander F. - Institut für Schweizerisches Bankwesen <Zürich> - 2006
An agent shows loyalty to his manager by bearing personal costs to the superiors benefit. In return, the manager may offer various forms of rewards. If this exchange is not contractible, typically repeated interaction will be required to sustain it. Beyond loyalty, the manager is interested in...
Persistent link: https://www.econbiz.de/10005858369
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Credit Registries, Relationship Banking and Loan Repayment
Brown, Martin; Zehnder, Christian - Institut für Schweizerisches Bankwesen <Zürich> - 2005
This paper examines the impact of a public credit registry on the repayment behavior of borrowers. We implement an experimental credit market in which loan repayment is not third-party enforceable. We compare market outcome with a credit registry to that without a credit registry. This...
Persistent link: https://www.econbiz.de/10005858877
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On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - Institut für Schweizerisches Bankwesen <Zürich> - 2011
Demand is growing for a better understanding of how assets are priced in countries outside of the U.S.While financial data are available for many firms world-wide, it is important to have a reliable andreplicable method of constructing high-quality systematic risk factors from these data. This...
Persistent link: https://www.econbiz.de/10009249004
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International Bond Risk Premia
Dahlquist, Magnus; Hasseltoft, Henrik - Institut für Schweizerisches Bankwesen <Zürich> - 2011
We identify local and global factors across international bond markets that arepoorly spanned by the traditional level, slope and curvature factors but havestrong forecasting power for future bond excess returns. Local and global fac-tors are jointly signicant predictors of bond returns, where...
Persistent link: https://www.econbiz.de/10009305251
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Variance risk, financial intermediation, and thecross-section of expected option returns
Schürhoff, Norman; Ziegler, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2011
We explore the pricing of variance risk by decomposing stocks' total variance into systematicand idiosyncratic return variances. While systematic variance risk exhibits a negative priceof risk, common shocks to the variances of idiosyncratic returns carry a large positive riskpremium. This...
Persistent link: https://www.econbiz.de/10009354100
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Consistent valuation of project finance and LBO'susing the flows-to-equity method
Cooper, Ian; Nyborg, Kjell G. - Institut für Schweizerisches Bankwesen <Zürich> - 2010
A common method of valuing the equity in leveraged transactions is the flows-to-equity method whereby the free cash flow available to equity holders is discounted at the cost of equity. This method uses a standard definition of equity free cash flow, but the cost of equity varies over time as...
Persistent link: https://www.econbiz.de/10009354137
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Dynamic utility-based good deal bounds
Kloppel, Susanne; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We introduce and study no-good-deal valuation bounds defined in terms of expected utility. A utility-based good deal is a payoff whose expected utility is toohigh in comparison to the utility of its price. Forbidding good deals induces, viaduality, restrictions on pricing kernels and thereby...
Persistent link: https://www.econbiz.de/10005857734