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Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?

Cossin, Didier; Hricko, Tomas; Aunon-Nerin, Daniel; … - Swiss Finance Institute - 2002

risk pricing theories have a significant impact on the observed levels of credit default prices. We also provide an … pricing credit risk overall. Furthermore, and contrarily to previous results, equity market information seems to matter for …

Persistent link: https://www.econbiz.de/10005248398

R2 Around the World: New Theory and New Tests

JIN, Li; MYERS, Stewart C. - Swiss Finance Institute - 2004

Morck, Yeung and Yu (MYY, 2000) show that R2 and other measures of stock market synchronicity are higher in countries with less developed financial systems and poorer corporate governance. MYY and Campbell, Lettau, Malkiel and Xu (2001) also find a secular decline in R2 in the United States over...

Persistent link: https://www.econbiz.de/10005248400

Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

GILLI, Manfred; WINKER, Peter - Swiss Finance Institute - 2001

Agent based models take into account limited rational behaviour of individuals acting on financial markets. Explicit simulation of this behaviour and the resulting interac-tion of individuals provide a description of aggregate financial market time series. Al-though the outcomes of such...

Persistent link: https://www.econbiz.de/10005248408

Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility

Cheng, Peng; Scaillet, Olivier - Swiss Finance Institute - 2002

identification constraints, and compute standard and extended transforms relevant to asset pricing. We also show that the LQJD class … relationship holds between both classes in terms of transform analysis. An option pricing application to multifactor stochastic … volatility models reveals that adding nonlinearity into the model significantly reduces pricing errors, and further addition of a …

Persistent link: https://www.econbiz.de/10005264581

Estimation of Jump-Diffusion Process vis Empirical Characteristic Function

Rockinger, Michael; Semenova, Maria - Swiss Finance Institute - 2005

This article proposes an estimation procedure for the affine stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint (here bi-variate) unconditional characteristic function for the stochastic process for which we...

Persistent link: https://www.econbiz.de/10005264582

How To Diversify Internationally: A Comparison of Conditional and Unconditional Asset Allocation Methods

BARRAS, Laurent; ISAKOV, Dušan - Swiss Finance Institute - 2001

To obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction stemming from the lower correlation exisiting between assets of different countries. The question that we raise in this...

Persistent link: https://www.econbiz.de/10005264588

Indirect Robust Estimation of the Short-term interest Rate Process

Czellar, Veronika; Karolyi, G. Andrew; Ronchetti, Elvezio - Swiss Finance Institute - 2005

We introduce Indirect Robust Generalized Method of Moments (IRGMM), a new simulation-based estimation methodology, to model short-term interest rate processes. The primary advantage of IRGMM relative to classical estimators of the continuous-time short-rate diffusion processes is that it...

Persistent link: https://www.econbiz.de/10005264594

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

CHACKO, George; VICEIRA, Luis M. - Swiss Finance Institute - 1999

This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using the Duffie-Epstein (1992) formulation of recursive utility in continuous time, it shows that the optimal portfolio demand for stocks under stochastic volatility varies strongly...

Persistent link: https://www.econbiz.de/10005264599

Monte Carlo Simulations for Real Estate Valuation

Hoesli, Martin; Jani, Elion; Bender, André - Swiss Finance Institute - 2005

We use the Adjusted Present Value (APV) method with Monte Carlo simulations for real estate valuation purposes. Monte Carlo simulations make it possible to incorporate the uncertainty of valuation parameters, in particular of future cash flows, of discount rates and of terminal values. We use...

Persistent link: https://www.econbiz.de/10005264600

Who Should Buy Long-Term Bonds?

CAMPBELL, John Y.; VICEIRA, Luis - Swiss Finance Institute - 1998

According to conventional wisdom, long-term bonds are appropriate for long-term investors who value stability of income. We develop a model of optimal consumption and portfolio choice for infinitely-lived investors facing stochastic interest rates, solve it using an approximate analytical...

Persistent link: https://www.econbiz.de/10005264601