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Establishing Consistent Collateral Policies for Central Banks’ Open Market Operations
Cossin, Didier; Huang, Zhijiang; González, Fernando; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
We derive a general framework for collateral risk control determination for central bank's open market operations. This framework allows us to determine the schedule of haircuts consistent with the risk tolerated by the central bank while at the same time reducing the possibility of arbitrage...
Persistent link: https://www.econbiz.de/10005859381
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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 arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity markets data. We thus provide an international analysis of...
Persistent link: https://www.econbiz.de/10005859382
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Evolutionary Portfolio Selection with Liquidity Shocks
De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
The wealth dynamics of insurance companies strongly depends on the success of their investment strategies, but also on … investment strategy that does not take liquidity shocks into account, exposes insurance companies to the risk of bankruptcy. This … paper analyzes the behavior of insurance companies in an evolutionary framework. We show that an insurance company that …
Persistent link: https://www.econbiz.de/10005858142
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Hybrid Cat-bonds
Barrieu, Pauline; Loubergé, Henri - Institut für Schweizerisches Bankwesen <Zürich> - 2007
analyzed in this pap er reinsurance markets are unable to cope with this risk completely. Insurance-linked securities, such as …
Persistent link: https://www.econbiz.de/10005857781
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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
loan portfolios of Swiss banks. Since default insurance is not common in Switzerland, the corresponding risks are a severe …
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
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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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Bankruptcy law and firms' behavior
Epaulard, Anne; Pommeret, Aude - Institut für Schweizerisches Bankwesen <Zürich> - 2006
The aim of this paper is to study the impact of bankruptcy law on financing, investment, default and liquidation decisions of firms. We build a model in which a firm can finance its investment by issuing debt. The investment is risky. Because of risk, the firm may default. The firm manager takes...
Persistent link: https://www.econbiz.de/10005858212
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Why Have Exchange-Traded Catastrophe Instruments Failed to Displace Reinsurance?
Gibson, Rajna; Habib, Michel; Ziegler, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2007
markets and reinsurance companies. Using a simple model of an insurance company that seeks to transfer a fraction of its risk … informed traders in financial markets may be excessive relative to its value for the insurance company, causing reinsurance to …
Persistent link: https://www.econbiz.de/10005858213
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Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance
Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Ewald, … - Institut für Schweizerisches Bankwesen <Zürich> - 2007
In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic volatility...
Persistent link: https://www.econbiz.de/10005858246