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Morellec, Erwan; Smith Jr, Clifford W. - Institut für Schweizerisches Bankwesen <Zürich> - 2005

This paper analyzes the relation between agency conflicts and risk management in a contingent claims model of the firm … issued. The paper also examines managers risk-shifting incentives and provides an analysis of the benefits associated with … risk management in different economic enviromnents. …

Persistent link: https://www.econbiz.de/10005858789

Migration Correlation: Definition and Efficient Estimation

Gagliardini, Patrick; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich> - 2004

The aim of this paper is to explain why cross-sectional estimated migration correlations displayed in the academic and professional literature can be either not consistent, or inefficient, and to discuss alternative approaches. The analysis relies on a model with stochastic migration in which...

Persistent link: https://www.econbiz.de/10005858516

Stochastic Migration Models with Application to Corporate Risk

Gagliardini, Patrick; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich> - 2006

agencies in order to predict the future risk of a set of borrowers. The method is developed following the steps suggested by … model with unobservable dynamic factor is estimated from French data on corporate risk. …

Persistent link: https://www.econbiz.de/10005858518

Dismantling the Global Accrual Anomaly

Leippold, Markus; Lohre, Harald - Institut für Schweizerisches Bankwesen <Zürich> - 2007

International evidence on the accrual anomaly is sparse and conﬂicting. Testing for accrual mispricing in 28 equity markets, we provide statistical evidence for anomalous returns in some countries. However, we question whether this result might have occurred by chance alone and that it might...

Persistent link: https://www.econbiz.de/10005858030

The Conditional Value of R&D Investments

Damianova, Kremena - Institut für Schweizerisches Bankwesen <Zürich> - 2005

Companies' investments in research and development (R&D) are usually associated with better growth opportunities incorporated in the firms' market valuation. This study focuses on the question how does the firms' market value attributable to R&D investments depend on the firms' ability to employ...

Persistent link: https://www.econbiz.de/10005858881

Probability misestimation and preferencesin financial investment decision

Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2008

We study the influence of systematic probability misestimation on complexfinancial investment decisions on the context of structured financialproducts. Structured products have in recent years become more and morecomplex. We study the question whether this complexity might be a...

Persistent link: https://www.econbiz.de/10005868835

The dark side of the moon: structured products from the customer's perspective

Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2008

Structured ﬁnancial products have gained more and more popularity in recent years, but nevertheless has their success so far notthoroughly been analyzed. In this article we develop a theoreticalframework for the design of optimal structured products and analyzethe maximal utility gain for an...

Persistent link: https://www.econbiz.de/10005857733

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

Eric Jondeau - Institut für Schweizerisches Bankwesen <Zürich> - 2008

It is well known that the class of strong (Generalized) AutoRegressive Conditional Heteroskedasticity (or GARCH) processes is not closed under contemporaneous aggregation. This paper provides the dynamics followed by the aggregate process when the individual persistence parameters are drawn from...

Persistent link: https://www.econbiz.de/10005857736

CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation

Broda, Simon A.; Paolella, Marc S. - Institut für Schweizerisches Bankwesen <Zürich> - 2008

computationally cheap and extremely accurate most notably in the tail, which is crucial for risk calculations. A simulation study …

Persistent link: https://www.econbiz.de/10005857739

Technical Trading Revisited: Persistence Tests, Transaction Costs, and False Discoveries

Bajgrowicz, Pierre; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008

We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones index. First, we use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it is more powerful and not restricted only to the best...

Persistent link: https://www.econbiz.de/10005857744