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Risk Management for Derivatives in Illiquid Markets : A Simulation-Study

Frey, Rüdiger; Patie, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

hedging strategies by a nonlinear version of the Black-Scholes PDE. The core of the paper consists of a simulation study. We …

Persistent link: https://www.econbiz.de/10005859384

When It Cannot Get Better or Worse: The Asymmetric Impact of Good and Bad News on Bond Returns in Expansions and Recessions

Beber, Alessandro; Brandt, Michael W. - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news in economic … bad news for bond returns in expansions and, to a lesser extent, when it contains good news for bond returns in … contractions. In particular, we observe the strongest bond market response to bad news in the release of non-farm payrolls in …

Persistent link: https://www.econbiz.de/10005858024

International Stock-Bond Correlations in a Simple Affine Asset Pricing Model

D'Addona, Stefano; Kind, Axel H. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model … to generate stock-bond correlations that are in line with empirically observed figures. …

Persistent link: https://www.econbiz.de/10005858383

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

Beber, Alessandro; Brandt, Michael W.; Kavajec, Kenneth A. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

Do bond investors demand credit quality or liquidity? The answer is both, but at different times and for different … reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit … market uncertainty. In contrast, the destination of large flows into the bond market is determined almost exclusively by …

Persistent link: https://www.econbiz.de/10005858392

Pricing Prepayment Option in C&I Loans at Origination

Cossin, Didier; Lu, Hongze - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

This paper presents a pricing model of commercial and industrial (C&I) loan prepayment option. Modeling of prepayment is essential in pricing mortgage contracts since prepayment truncates the timing and amount of expected cash flows. Lenders normally charge a penalty for prepayment, for example...

Persistent link: https://www.econbiz.de/10005858717

Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates

Medvedev, Alexey; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008

We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters, this method can accurately price options with...

Persistent link: https://www.econbiz.de/10005857779

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 Mertons ICAPM. The systematic pricing of credit riskis...

Persistent link: https://www.econbiz.de/10005857973

Asset Pricing, Habit Memory, and the Labor Market

Jaccard, Ivan - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This study ﬁnds that a model with internal habit memory allowsto simultaneously explain a series of business cycle and asset pricing puzzles. Compared to the literature, the equity premium puzzle can be resolved in a model with endogenous labor, without giving rise to excessive risk free rate...

Persistent link: https://www.econbiz.de/10005858035

Performance of Second Hand Public Investment Recommendations

Schmid, Markus; Zimmermann, Heinz - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper investigates the price and volume behavior around buy, sell and holdrecommendations of Swiss stocks, as published in the major financial newspaper in Switzerland. This represents a random selection of recommendations which have been previously released by banks to their customers....

Persistent link: https://www.econbiz.de/10005858579

Forecasting Inflation from the Term Structure: A Comparison of Alternative Specifications

Li, Fuchun; Pelgrin, Florian; Tkacz, Greg - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Several authors have shown that there exists a signiﬁcant relationship between the term structure of interest rates and future changes in the rate of inﬂation. More recently, this relationship has been strengthened through the introduction of nonlinearities and regime shifts. This paper...

Persistent link: https://www.econbiz.de/10005857756