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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

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

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

Dynamic Hedging and Order Flow Dynamics

Murawski, Carsten - Institut für Schweizerisches Bankwesen <Zürich> - 2006

The price process in a financial market is driven by demand and supply. Statistical analyses have shown that price feeds back on future demand and supply. To date, few testable models have been proposed that offer an economic explanation for this relationship. In this paper, we investigate a...

Persistent link: https://www.econbiz.de/10005858377

Smooth Extremal Models in Finance and Insurance

Chavez-Demoulin, Valerie; Embrechts, Paul - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

Extreme Value Theory (EVT) has develop ed very rapidly over the past two decades both methodologically and with respect to applications. Whereas (nonlife) actuaries have, at least implicitly, used EVT techniques for a long time, mainly through the emergence of quantitative Risk Management, EVT...

Persistent link: https://www.econbiz.de/10005858379

Pricing of Corporate and Portfolio Securities in Buyer-Supplier Networks

Brumen, Gorazd; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2006

The paper investigates how buyer-supplier firm-specific relationships affect security prices. Starting from the empirical inconsistencies associated with some standard structural models we propose a structural model of firm dependence in a vertically connected network of firms based on cash flow...

Persistent link: https://www.econbiz.de/10005858385

Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators

Hagmann, Matthias; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We cionsider semiparmetric assymetric kernel density estimators when the unkonwn density has support on [0,∞). We provide a unifying framework which contains assymmetric kernel versions of several semiparametric density estimators considered previously in the literature. This framework allows...

Persistent link: https://www.econbiz.de/10005858393

Resolving Macroeconomics Uncertainty in Stock and Bond Markets

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

We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and the ex-post resolution of this uncertainty in financial markets. We measure macroeconomic uncertainty using prices of economic derivatives and relate this measure to changes in implied...

Persistent link: https://www.econbiz.de/10005858394

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

Time to wealth goals in capital accumulation

MacLean, Leonard C.; Ziemba, William T.; Li, Yuming - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper considers the problem of investment of capital in risky assets in adynamic capital market in continuous time. The problem addressed is the control of risk, and in particular the risk associated with errors in the estimation of returns on assets. The framework for investment risk is a...

Persistent link: https://www.econbiz.de/10005858422

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