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The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management

Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011

Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 months Forward Rate Agreement (FRA), and that...

Persistent link: https://www.econbiz.de/10011259157

Markets Evolution After the Credit Crunch

Bianchetti, Marco; Carlicchi, Mattia - Volkswirtschaftliche Fakultät, … - 2012

We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we focus on the fixed income market and we analyse the most relevant empirical evidences regarding the divergence of the existing basis between interbank rates with different...

Persistent link: https://www.econbiz.de/10011260721

Forgive, or Award, Your Debtor? - A Barrier Option Approach

Sun, David; Chow, Da-Ching - Volkswirtschaftliche Fakultät, … - 2014

We introduced in this study a model of sovereign debt with an embedded Down-and-In Put (DIP) to capture the discontinuity in sovereign debt pricing. This study suggests that debt forgiveness is a more effective solution in debt crisis, as repayment bonus or award or capital market exclusion...

Persistent link: https://www.econbiz.de/10011260952

Hedging currency risk: Does it have to be so complicated?

Haefliger, Thomas; Waelchli, Urs; Wydler, Daniel - Volkswirtschaftliche Fakultät, … - 2002

The question of whether foreign investments should be systematically hedged against currency risk has not been clearly answered to date. Numerous theoretical and empirical studies have provided contradictory conclusions. This paper examines to what extent foreign bonds and equities are exposed...

Persistent link: https://www.econbiz.de/10008693568

Computing Skills in the Market Risk Management in the G-Sec Portfolio by the Banks in India

Das, Rituparna - Volkswirtschaftliche Fakultät, … - 2009

Market Risk Management Process in India is in an evolving process since the Banks in India are still in an early stage of development in the sense that they are lacking statistical database, equipped MIS and adequate supply of trained personnel. Many a good number of banks are suffering from...

Persistent link: https://www.econbiz.de/10005619936

Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR

Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012

We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps...

Persistent link: https://www.econbiz.de/10011110035

Asset Liability Management in Insurance Company

Giandomenico, Rossano - Volkswirtschaftliche Fakultät, … - 2003

The model, by using the option theory, determines the fair value of the insurance life policies with different time of maturity and shows that the effective liabilities duration of an Insurance Company exposed to the default risk is different from the duration of a default free zero coupon bond...

Persistent link: https://www.econbiz.de/10005011950

Fertility and Birth Spacing Consequences of Childhood Immunization Program: Evidence from India

Santosh, Kumar - Volkswirtschaftliche Fakultät, … - 2009

What are the effects of childhood immunization program (UIP) on women's fertility and birth spacing? I examine the … effect of this immunization program on women's subsequent fertility and birth spacing by exploiting district …-by-cohort variation in exposure to the program. The results indicate that exposure of the first-born child to the immunization program …

Persistent link: https://www.econbiz.de/10008756294

Childhood Immunization, Mortality and Human Capital Accumulation: Micro-Evidence from India

Santosh, Kumar - Volkswirtschaftliche Fakultät, … - 2009

In the mid-1980s, the Indian government embarked on one of the largest childhood immunization programs …-called "Universal Immunization Program" (UIP)in order to reduce the high mortality and morbidity among children. I examine the effect of … this immunization program on child mortality and educational attainment by exploiting district-by-cohort variation in …

Persistent link: https://www.econbiz.de/10008756307

Asset Liability Management in Insurance Company

Giandomenico, Rossano - Volkswirtschaftliche Fakultät, … - 2006

The model, by using the option theory, determines the fair value of the policies life with different time of maturity and shows that the effective liabilities duration of an Insurance Company exposed to the default-risk is different from the duration of a default-free zero coupon bond with the...

Persistent link: https://www.econbiz.de/10011115483