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Coherent and Convex Fair Pricing and Variability Measures
Maass, Sebastian - Institut für Schweizerisches Bankwesen <Zürich> - 2005
In this paper, we show that coherent upper and lower previsions as well as coherent risk measures are only meaningful under the assumption that one starts with initial wealth being constantly 0. This implies at least for coherent upper and lower previsions a correction of their interpretation,...
Persistent link: https://www.econbiz.de/10005858724
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Contribution values for allocation of risk capital and for premium calculation
Denneberg, Dieter; Maass, Sebastian - Institut für Schweizerisches Bankwesen <Zürich> - 2005
A class of contribution values for pairs of random variables is introduced as a technical tool for the problem how the risk capital needed for a portfolio of random activities should be allocated to its components. The well known allocation model with expected shortfall as corresponding risk...
Persistent link: https://www.econbiz.de/10005858735
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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
study the case where there exists correlation between interest rate and the probabilities of default of the counterparty. We …
Persistent link: https://www.econbiz.de/10005859381
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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
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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
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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
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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
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An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios
Burkhard, Jürg; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In June 2003 Swiss banks held over CHF 500 billion in mortgages. This important segment accounts for about 63% of all loan portfolios of Swiss banks. Since default insurance is not common in Switzerland, the corresponding risks are a severe threat for the health of the financial system. We...
Persistent link: https://www.econbiz.de/10005858102
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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
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Anomalies in Intertemporal Choice?
Gerber, Anke; Rohde, Kirsten I. M. - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper argues that observations of non-stationary choice behavior need notnecessarily imply specific properties of the individual’s discount function. As weshow, the observed “anomalies” in intertemporal choice can alternatively be explained by an individual’s perception of the risk...
Persistent link: https://www.econbiz.de/10005858206