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Wojtowicz, Marcin - Tinbergen Instituut - 2014

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive annualized return of 24.35% on invested capital....

Persistent link: https://www.econbiz.de/10011255777

The Determinants of CDS Bid-ask Spreads

Wojtowicz, Marcin - Tinbergen Instituut - 2014

We investigate the determinants of bid-ask spreads on corporate credit default swaps (CDSs). We find that proxies for dealer inventory costs such as variability of CDS premia and CDS trading volume explain as much as 80% of variation in CDS bid-ask spreads. We also analyze the influence of...

Persistent link: https://www.econbiz.de/10011256084

Tail Mutual Exclusivity and Tail-Var Lower Bounds

Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan - Tinbergen Instituut - 2015

In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to its tail counterpart and baptise this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency...

Persistent link: https://www.econbiz.de/10011257334

Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - Tinbergen Instituut - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benets. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10011257582

Mutual Funds and Information Diffusion: The Role of Country-Level Governance

Lin, Chunmei; Massa, Massimo; Zhang, Hong - Tinbergen Instituut - 2014

We hypothesize that poor country-level governance, which makes public information less reliable, induces fund managers to increase their use of semi-public information. Utilizing data from international mutual funds and stocks over the 2000-2009 period, we find that semi-public...

Persistent link: https://www.econbiz.de/10011272600

Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements

Lizyayev, Andrey - Tinbergen Instituut - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10011255464

Volatility Spillovers from the US to Australia and China across the GFC

Allen, David E.; McAleer, Michael; Powell, R.J.; Singh, A.K. - Tinbergen Instituut - 2013

This paper features an analysis of volatility spillover effects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global...

Persistent link: https://www.econbiz.de/10011255545

Insurance Sector Risk

Slijkerman, Jan Frederik - Tinbergen Instituut - 2006

We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...

Persistent link: https://www.econbiz.de/10011255587

Model-based Measurement of Actual Volatility in High-Frequency Data

Jungbacker, B.; Koopman, S.J. - Tinbergen Instituut - 2005

empirical finance literature it is known that tick-by-tick prices are subject to market micro-structure such as bid-ask bounces … and trade information. Such market micro-structure effects become more and more apparent as prices or returns are sampled … micro-structure noise, the estimator diverges. Parametric and nonparametric methods can be adopted to account for the micro-structure …

Persistent link: https://www.econbiz.de/10011255617

Stock Selection Strategies in Emerging Markets

Hart, Jaap van der; Slagter, Erica; Dijk, Dick van - Tinbergen Instituut - 2001

This discussion paper resulted in a publication in 'Emerging Markets Review', 2005, 6, 238-262.<P> See also the publication in the 'Journal of Empirical Finance', 2003, 10, 1-5=132.<P> Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging...</p></p>

Persistent link: https://www.econbiz.de/10011255877