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Hens, Thorsten; Wang, Mei - Institut für Schweizerisches Bankwesen <Zürich> - 2007

According to the traditional view held in finance returns of assets are determined by complete rationality of decision makers. Rational decisions are defined by a set of axioms that are universal and do not leave room for cultural differences. In this article we show that cultural differences do...

Persistent link: https://www.econbiz.de/10005858207

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 …

Persistent link: https://www.econbiz.de/10005859382

Optimal Investment in Variance Swaps Under Stochastic Volatility

Egloff, Daniel; Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich> - 2006

, the industry has created a series of variance derivative products to span variance risk. The variance swap contract is the … rate, called the variance swap rate, determined at the inception of the contract. We obtain a decade worth of variance swap … structure of the variance swap rates to analyze the return variance rate dynamics and market pricing of variance risk. We then …

Persistent link: https://www.econbiz.de/10005858375

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 processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that...

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

The impact of heterogeneous beliefs on trading volume

Bauer, Wolfgang - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...

Persistent link: https://www.econbiz.de/10005857971

Property Derivatives and Index-Linked Mortgages

Syz, Juerg; Vanini, Paolo; Salvi, Marco - Institut für Schweizerisches Bankwesen <Zürich> - 2006

Economists have forcefully argued for the introduction and use of property derivatives as a hedge against house price risk (e.g. Shiller and Weiss, 1999). The rationale for these ﬁnancial instruments seems clear, as many households are heavily invested in housing and standard ﬁnancial...

Persistent link: https://www.econbiz.de/10005858211

Sensitivity Analysis of VaR and Expected Shortfall for Portfolios under Netting Agreements

Fermanian, Jean-David; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

In this paper, we characterize explicitly the ﬁrst derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order to illustrate the impact of netting...

Persistent link: https://www.econbiz.de/10005858398

Incentives and Risk Taking in Hedge Funds

Kouwenberg, Roy; Ziemba, William T. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper presents a theoretical study of how incentives affect hedge fund risk and returns and an empirical study of the performance of a large group of operating hedge funds. Most hedge fund managers receive a flat fee plus a share of the returns above a certain benchmark. We investigate how...

Persistent link: https://www.econbiz.de/10005858410

A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements

Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - Institut für Schweizerisches Bankwesen <Zürich> - 2005

In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...

Persistent link: https://www.econbiz.de/10005858728

Arbitrage opportunities in diverse markets via a non-equivalent measure change

Osterrieder, Jörg; Rheinländer, Thorsten - Institut für Schweizerisches Bankwesen <Zürich> - 2004

We study arbitrage opportunities in diverse markets as introduced by R. Fernholz in [2]. By a change of measure technique we are able to generate a variety of diverse markets. The construction is based on an absolutely continuous but non-equivalent measure change which implies the existence of...

Persistent link: https://www.econbiz.de/10005858729