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Agency Conflicts and Risk Management
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
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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
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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
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Credit Default Swaps and Financial Crisis Prediction
Neftci, Salih; Oliveira Santos, Andre; Lu, Yinqiu - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
Credit Default Swaps (CDS) are in the process of becoming, liquid and extremelyinformative instruments of default risk …. Yet, default swap market has severalnovel aspects that have not received much attention. In this paper we studyan aspect …
Persistent link: https://www.econbiz.de/10005858549
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The Influence of FX Risk on Credit Spreads
Ehlers, Philippe; Schönbucher, Philipp - Institut für Schweizerisches Bankwesen <Zürich> - 2004
We analyze the connections between the credit spreads that the same credit risk commands in different currencies. We … default risk of the obligor and the exchange rate. In our model there are two different channels to capture this dependence … pricing measures are analyzed and closed-form prices for a variety of securities affected by default risk and FX risk are …
Persistent link: https://www.econbiz.de/10005858879
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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
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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
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Financial Market Equilibria with Cumulative Prospect Theory
de Giorgio, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2009
The paper rst shows that nancial market equilibria need not to exist if agents possesscumulative prospect theory preferences with piecewise-power value functions. This is due tothe boundary behavior of the cumulative prospect theory value function, which might causean innite short-selling...
Persistent link: https://www.econbiz.de/10009354077
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Will investors adapt their investment behavior whenfaced with a change in information feedback and investmentflexibility?
Zeisberger, Stefan; Langer, Thomas; Weber, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2011
Assuming investors are loss averse, repeated risky investments are less attractive inmyopic evaluation. A theoretical foundation for this effect is given by the behavioralconcept of myopic loss aversion (MLA). The consequences of MLA have been confirmedin several between-subject experimental...
Persistent link: https://www.econbiz.de/10009354101
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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