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Executive Compensation and Analyst Guidance : The Link between CEO Pay and Expectations Management
Bolliger, Guido; Kast, Manuel - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
preservation or enhancementof short term stock value around the earnings announcement has become a priority for managers …
Persistent link: https://www.econbiz.de/10005858100
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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 managers’incentives 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 model …’s main result is that managers havegreater incentives to misreport with stock options than with common stocks.We finally …
Persistent link: https://www.econbiz.de/10005857972
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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
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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
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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
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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
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Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models
Leippold, Markus; Wiener, Zvi - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
In this paper we discuss the implementation of general one-factor short rate models with a trinomial tree. Taking the Hull-White model as a starting point, our contribution is threefold. First, we show how trees can be spanned using a set of general branching processes. Secondly, we improve...
Persistent link: https://www.econbiz.de/10005858854
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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
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On the Forward-Futures Spread and Default Risk
Murawski, Carsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We develop intuitive expressions for the spread between a forwardcontract and a similar futures contract taking into account the pos-sibility of counterparty default. We evaluate these expressions nu-merically and show that the forward-futures spread is significant forrealistic parameter...
Persistent link: https://www.econbiz.de/10005858907
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Structural Credit Modeling and Boundary Sensitivity : Maybe One Half is not Enough!
Metayer, Benoit - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We analyze the role played by the boundary value for the sensitivity of the creditworthiness predictions in methodologies based on Merton [1974]. We run Monte-Carlo simulations with two various samples of firms - American, European - in order to build confidence intervals for the estimator of...
Persistent link: https://www.econbiz.de/10005858908