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Explaining Asymmetric Volatility around the World

Talpsepp, Tonn; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2009

Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for 49 countries with relatively few ob-servations. Results show a steady increase in the asymmetry over the years for mostcountries. We nd that economic development and market...

Persistent link: https://www.econbiz.de/10009022138

Revealed and Stated Investment Decisions Concerning Structured Products

Vanini, Paolo; Döbeli, Barbara - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We analyze the investment behavior of private clients concerning structured products. To ascertain their stated and revealed preferences, we use a questionnaire and a field experiment, respectively. The real product issued in the field experiment is comparable to one product in the questionnaire...

Persistent link: https://www.econbiz.de/10005858052

Arbitrage in Stationary Markets

Evstigneev, Igor; Kapoor, Dhruv - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic … framework of this model, we find conditions that are necessary and sufficient for the absence of arbitrage opportunities. We …

Persistent link: https://www.econbiz.de/10005857775

The Price of Protection : Derivatives, Default Risk, and Margining

Gibson, Rajna; Murawski, Carsten - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Like many financial contracts, derivatives are subject to default risk. A very popular mechanism in derivatives markets to mitigate the risk of non-performance on contracts is margining. By attaching collateral to a contract, margining supposedly reduces default risk. The broader impacts of the...

Persistent link: https://www.econbiz.de/10005858762

Optimal Credit Limit Management

Leippold, Markus; Ebnoether, Silvan; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

Credit limit management is of paramount importance for successful short-term credit-risk management, even more so when the situation in credit and ﬁnancial markets is tense. We consider a continuous-time model where the credit provider and the credit taker interact within a game-theoretic...

Persistent link: https://www.econbiz.de/10005858857

The Impact of Clearing on the Credit Risk of a Derivatives Portfolio

Murawski, Carsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

Most derivative contracts are traded over-the-counter, i.e., bilaterally between two counterparties. Recently, clearing services have become available that allow to transfer over-the-counter derivatives to a central counterparty (clearing house). We develop a framework to determine the effects...

Persistent link: https://www.econbiz.de/10005859333

Arbitrage-free market models for option prices

Wissel, Johannes - Institut für Schweizerisches Bankwesen <Zürich> - 2007

In this paper we construct arbitrage-free market models of stochastic volatility type for one stock, one bank account … of dynamic arbitrage in the market can be characterized in terms of drift restrictions on the model coefficients. Most … provide a class of explicit examples satisfying the no-arbitrage conditions. This allows us to construct arbitrage-free multi …

Persistent link: https://www.econbiz.de/10005857780

Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns

Connor, Gregory; Hagmann, Matthias; Linton, Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...

Persistent link: https://www.econbiz.de/10005857787

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

Arbitrage-free market models for option prices : The multi-strike case

Schweizer, Martin; Wissel, Johannes - Institut für Schweizerisches Bankwesen <Zürich> - 2008

models satisfying the natural static arbitrage bounds across strikes. We next characterize absence of dynamic arbitrage for …, and hence of arbitrage-free multi-strike market models of option prices. …

Persistent link: https://www.econbiz.de/10005858204