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Hybrid Cat-bonds
Barrieu, Pauline; Loubergé, Henri - Institut für Schweizerisches Bankwesen <Zürich> - 2007
Natural catastrophes attract regularly the attention of media and have become a source of public concern. From a financial viewpoint, natural catastrophes represent idiosyncratic risks,diversifiable at the world level. But for reasons analyzed in this pap er reinsurance markets are unable to...
Persistent link: https://www.econbiz.de/10005857781
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Anomalies in Intertemporal Choice?
Gerber, Anke; Rohde, Kirsten I. M. - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper argues that observations of non-stationary choice behavior need notnecessarily imply specific properties of the individual’s discount function. As weshow, the observed “anomalies” in intertemporal choice can alternatively be explained by an individual’s perception of the risk...
Persistent link: https://www.econbiz.de/10005858206
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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
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Prospect Theory for continuous distributions
Rieger, Marc Oliver; Wang, Mei - Institut für Schweizerisches Bankwesen <Zürich> - 2006
Prospect Theory is a widely accepted descriptive framework to model decisions under risk. However, it is limited to … differences in its utility, contrary to experiments. In this article we present two slight modifications to Prospect Theory which … can be theoretically well justified and solve these two problems. We derive in this way a simple model of Prospect Theory …
Persistent link: https://www.econbiz.de/10005858592
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Coherent and Convex Fair Pricing and Variability Measures
Maass, Sebastian - Institut für Schweizerisches Bankwesen <Zürich> - 2005
In this paper, we show that coherent upper and lower previsions as well as coherent risk measures are only meaningful under the assumption that one starts with initial wealth being constantly 0. This implies at least for coherent upper and lower previsions a correction of their interpretation,...
Persistent link: https://www.econbiz.de/10005858724
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Contribution values for allocation of risk capital and for premium calculation
Denneberg, Dieter; Maass, Sebastian - Institut für Schweizerisches Bankwesen <Zürich> - 2005
A class of contribution values for pairs of random variables is introduced as a technical tool for the problem how the risk capital needed for a portfolio of random activities should be allocated to its components. The well known allocation model with expected shortfall as corresponding risk...
Persistent link: https://www.econbiz.de/10005858735
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Misspecified Filtering Theory applied to Optimal Allocation Problems in Finance
Martinez, Miguel; Rubenthaler, Sylvain; Tanr, Etienne - Institut für Schweizerisches Bankwesen <Zürich> - 2006
filter arising in Filtering Theory. We study the case where the model is misspecified and where the observations can only be …
Persistent link: https://www.econbiz.de/10005858585
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Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models
Leippold, Markus; Wiener, Zvi - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
In this paper we discuss the implementation of general one-factor short rate models with a trinomial tree. Taking the Hull-White model as a starting point, our contribution is threefold. First, we show how trees can be spanned using a set of general branching processes. Secondly, we improve...
Persistent link: https://www.econbiz.de/10005858854
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An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios
Burkhard, Jürg; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In June 2003 Swiss banks held over CHF 500 billion in mortgages. This important segment accounts for about 63% of all loan portfolios of Swiss banks. Since default insurance is not common in Switzerland, the corresponding risks are a severe threat for the health of the financial system. We...
Persistent link: https://www.econbiz.de/10005858102
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Some Statistical Pitfalls in Copula Modeling for Financial Applications
Fermanian, Jean-David; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In this paper we discuss some statistical pitfalls that may occur in modeling cross-dependences with copulas in financial applications. In particular we focus on issues arising in the estimation and the empirical choice of copulas as well as in the design of time-dependent copulas.
Persistent link: https://www.econbiz.de/10005858145