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Risk Management for Derivatives in Illiquid Markets : A Simulation-Study

Frey, Rüdiger; Patie, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

new explanation of the smile pattern of implied volatility related to the lack of market liquidity. Finally we present …

Persistent link: https://www.econbiz.de/10005859384

Theory and Calibration of Swap Market Models

Galluccio, Stefano; Huang, Zhijhang; Ly, Jean-Michel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This pap er intro duces a general framework for market mo dels, namedM arket M o del Approach, through the concept of admissible sets of for-ward swap rates spanning a given tenor structure. We relate this conceptto results in graph theory by showing that a set is admissible if and only ifthe...

Persistent link: https://www.econbiz.de/10005858304

Multi-Currency Quadratic Models : Theory and Evidence

Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

The challenge of international term structure models is to simultaneously account for the properties of interest rate term structures and foreign exchange rates within an arbitrage-free framework. We extend the quadratic term structure models proposed in Leippold and Wu (2002) to multiple...

Persistent link: https://www.econbiz.de/10005858853

Efficient Portfolios with Endogenous Liabilities

Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We study the optimal policies and mean-variance frontiers (MVF) of a multiperiod mean-variance optimization of assets and liabilities (AL). Our model allows for a contemporaneous optimization of the balance-sheet as a whole. This makes the analysis more challenging than in a setting based on...

Persistent link: https://www.econbiz.de/10005858859

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

Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models

Leippold, Markus; Wiener, Zvi - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

adjusted to the volatility structure. The proposed approach leads to an efficient and exible constron met for trinomial trees …

Persistent link: https://www.econbiz.de/10005858854

Are stock markets really like beauty contests? - Empirical evidence of higher order belief's impact on asset prices

Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …

Persistent link: https://www.econbiz.de/10005857785

Stock Options and Managers Incentives to cheat

Chesney, Marc; Gibson-Asne, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006

We develop a continuous-time real options pricing model to study managersincentives to cheat in the presence of equity-based compensation policies.We show that managers incentives to cheat are strongly inﬂuenced by theefﬁciency of the justice. Our models main result is that managers...

Persistent link: https://www.econbiz.de/10005857972

Default-Risky Bond Prices with Jumps, Liquidity Risk and Heterogeneous Investors

Jeanblanc, Monique; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper develops a default-risky bond pricing model, which assumes that the default intensity is driven by a Markov chain and which accounts for default and liquidity risk. A representation of the bond price dynamics, which separates three different types of risk, was obtained. Introducing...

Persistent link: https://www.econbiz.de/10005858310

Modelling Dynamic Portfolio Credit Risk

Rogge, Ebbe; Schoenbucher, Phillip J. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

In this paper we present a model to price and hedge basket credit derivatives andcollateralised loan obligation. Based upon the copula-approach by Schönbucher and Schubert (2001) the model allows a speciﬁcation of the joint dynamics of credit spreads and default intensities, including a...

Persistent link: https://www.econbiz.de/10005858551