Similar Search Results

Aktionärsverhalten in der Schweiz - Statistische Auswertung einer empirischen Studie

Cocca, Teodoro D.; Volkart, Rudolf - Institut für Schweizerisches Bankwesen <Zürich> - 2001

In diesem Beitrag gehen die Autoren der Studie "Equity Ownership in Switzerland 2000" auf einzelne Aspekte dieser Befragung ein und unterziehen sich einer genaueren statistischen Analyse. Ini einem ersten Teil werden regionale Unterschiede im Anlageverhalten untersucht...

Persistent link: https://www.econbiz.de/10005857012

THE "FED-MODEL"AND THE CHANGINGCORRELATION OF STOCK AND BONDRETURNS: AN EQUILIBRIUM APPROACH

Hasseltoft, Henrik - Institut für Schweizerisches Bankwesen <Zürich> - 2010

the time-varying correlation of US stock and bond returns. Key ingredients are time-varyingrst and second moments of …. This generates a positive correlation between dividendyields and nominal yields and between stock and bond returns. High …

Persistent link: https://www.econbiz.de/10009354140

International Asset Allocation and Hidden Regime Switching

Morger, Felix - Institut für Schweizerisches Bankwesen <Zürich> - 2006

characteristics of her portfolio. This empirical study is embedded into an introduction to correlation breakdown, which can be …

Persistent link: https://www.econbiz.de/10005858133

Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk

Ehlers, Philippe; Schönbucher, Philipp J. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

In single-obligor default risk modelling, using a background filtration in conjunction with a suitable embedding hypothesis (generally known as H-hypothesis or immersion property) has proven a very successful tool to separate the actual default event from the model for the default arrival...

Persistent link: https://www.econbiz.de/10005858244

Private Equity Returns: Is there really a Benefit of low Co-movement with Public Markets?

Ick, Matthias M. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

as exit channel. We find significant statistical evidence for the negative correlation between early stage investments … on correlation coefficients, but need to carefully consider a funds investment strategy. The conflict of objectives for …

Persistent link: https://www.econbiz.de/10005858359

Correlation Risk and Optimal Portfolio Choice

Buraschi, Andrea; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007

In this paper we solve an intertemporal portfolio problem with correlation risk, using a new approach for the … simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an … optimal portfolio demand for hedging correlation risk. We calibrate the model and find that the optimal demand to hedge …

Persistent link: https://www.econbiz.de/10005858523

Default Correlation in a Markov-Chain Credit Migration Model with Contagion Effects

Gibson, Rajna; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich> - 2005

In this paper, we extend the earlier results of Jeanblanc and Valchev (2003) in the single name case to the case of multiple defaults of the issuers in a concentrated industry or homo- geneous bond market. We provide solutions for the pairwise default correlations and credit spreads in an...

Persistent link: https://www.econbiz.de/10005858812

A diffusion limit for generalized correlated random walks

Gruber, Urs; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2005

A generalized correlated random walk is a process X_k of partial sums of random variables Y_j such that (X,Y) forms a Markov chain. For a sequence X^n of such processes where each Y^n_j takes only two values, we prove weak convergence to a diffusion process whose generator is explicitly...

Persistent link: https://www.econbiz.de/10005858866

Stabilität der Korrelationen bedeutender Anlageklassen

Auckenthaler, Christoph; Skaanes, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2003

Seit Begründung der modernen Portfoliotheorie ist bekannt, daß die Portfoliovolatilität im Fall niedriger Korrelationen zwischen den Anlageklassen bei sonst gleich bleibenden Parametern ohne Renditeeinbuße reduziert wird...

Persistent link: https://www.econbiz.de/10005856981