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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 … large class of diffusion-type stochastic volatility models, and they are as easy to implement as usual delta hedges. Our …

Persistent link: https://www.econbiz.de/10005858246

Agency Conflicts and Risk Management

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

financing and hedging policies, shareholders generally have no incentives to engage in asset substitution once debt has been …

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

Capital Structure, Credit Risk, and Macroeconomic Conditions

Hackbarth, Dirk; Miao, Jianjun; Morellec, Erwan - Institut für Schweizerisches Bankwesen <Zürich> - 2004

This paper develops a quantitative framework for analyzing the impact of macroeconomic conditions on credit risk and dynamic capital structure choice. We begin by observing that when cash flows depend on current economic conditions, there will be a benefit for firms to adapt their default and...

Persistent link: https://www.econbiz.de/10005858794

Die Risikopolitik der Banken in ihrer konkreten Ausgestaltung - Entwurf einer ausformulierten Risikopolitik als Vorlage - 2. Teil

Geiger, Hans - Institut für Schweizerisches Bankwesen <Zürich> - 1999

Die folgende Vorlage will als Hilfe bei der Entwicklung, Formulierung und Überprüfung der Risikopolitk einer Bank …

Persistent link: https://www.econbiz.de/10005857023

Bank Risk Management and the Franchise Value

Bauer, Wolfgang; Ryser, Marc - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We analyze optimal risk management strategies for a regulatory restricted bank financed with deposits and equity in an … infinite horizonmodel. The bank has a positive franchise value from rents coming from deposit related services (liquidity … franchise value and the liquidation costs in case of a bank run give the bank a motivation for risk management. The franchise …

Persistent link: https://www.econbiz.de/10005859100

Regulating and Supervising Operational Risk for Banks

Geiger, Hans - Institut für Schweizerisches Bankwesen <Zürich> - 2000

There is a renewed interest of banks and supervisors in operational risk. In the new Capital Adequacy Framework of June 1999 the Basel Committee calls for capital charges for operational risks as a component of Pillar one...

Persistent link: https://www.econbiz.de/10005857015

Gedanken zum Konzept eines Total Enterprise Wide Risk Management (TERM)

Auckenthaler, Christoph; Gabathuler, Jürg - Institut für Schweizerisches Bankwesen <Zürich> - 1997

Praktiker wie Akademiker setzen sich im Allgemeinen mit Finanzrisiken vertieft auseinander und vernachlässigen dabei die übrigen Risiken. Damit geht ein unnötiger Wertverzehr einher...

Persistent link: https://www.econbiz.de/10005857042

Hybrid Cat-bonds

Barrieu, Pauline; Loubergé, Henri - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Natural catastrophes attract regularly the attention of media and have become a source of public concern. From a ﬁnancial viewpoint, natural catastrophes represent idiosyncratic risks,diversiﬁable at the world level. But for reasons analyzed in this pap er reinsurance markets are unable to...

Persistent link: https://www.econbiz.de/10005857781

An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios

Burkhard, Jürg; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

integrate the signiﬁcant factors into any reasonable bank risk, portfolio or capital management framework or approaches for …

Persistent link: https://www.econbiz.de/10005858102

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