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

We study in a general perspective the partial equilibrium incentives and the general equilibrium asset pricing implications of Value-at-Risk (VaR) regulation in continuous time economies with intermediate consumption, stochastic opportunity set, and heterogenous attitudes to risk. Our findings...

Persistent link: https://www.econbiz.de/10005858903

Perturbative Solutions of Hamilton Jacobi Bellman Equations in Robust Decision Making

Troiani, Fabio; Vanini, Paolo; Ferretti, Robetro G. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006

We apply perturbation methods to solve in closed form a class of robust control problems, implied by Anderson, Hansen and Sargent setting of a preference for robustness. In the constant investment opportunity set case, we obtain closed form power series solutions for the arising robust Bellman...

Persistent link: https://www.econbiz.de/10005858905

A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities

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

We present a geometric approach to discrete time multiperiod mean variance portfolio opti-mization that largely simplifies the mathematical analysis and the economic interpretation of such model settings. We show that multiperiod mean variance optimal policies can be decom-posed in an orthogonal...

Persistent link: https://www.econbiz.de/10005858942

Learning and Asset Prices under Ambiguous Information

Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2006

We propose a new continuous time framework to study asset prices under learning and ambiguity aversion. In a partial information Lucas economy with time additive power utility, a discount for ambiguity arises if and only if the elasticity of intertemporal substitution (EIS) is above one. Then,...

Persistent link: https://www.econbiz.de/10005858768

Pricing of Corporate and Portfolio Securities in Buyer-Supplier Networks

Brumen, Gorazd; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2006

The paper investigates how buyer-supplier firm-specific relationships affect security prices. Starting from the empirical inconsistencies associated with some standard structural models we propose a structural model of firm dependence in a vertically connected network of firms based on cash flow...

Persistent link: https://www.econbiz.de/10005858385

Credit portfolios : What defines risk horizons and risk measurement?

Ebnöther, Silvan; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2005

Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to measure risk adequately in a multi period...

Persistent link: https://www.econbiz.de/10005858869

An intergenerational cross-country swap

Padovani, Miret; Vanini, Paolo - 2009

This paper addresses the issue of intergenerational and international sharing of longevity and growth risks. Current research on worldwide demographic changes highlights the importance of longevity risk on financial markets and the need to devise optimal hedging vehicles. We present a potential...

Persistent link: https://www.econbiz.de/10003970417

Market efficiency reloaded: why insider trades do not reveal exploitable information

Dickgiesser, Sebastian; Kaserer, Christoph - 2008

by a subset of stocks with high arbitrage risk as measured by their idiosyncratic volatility. This restrains arbitrageurs … from engaging in otherwise profitable and price-correcting trades. As arbitrage risk is positively related to a stock's bid … mainly be explained by the cost associated with risky arbitrage. Our findings provide evidence that the German stock market …

Persistent link: https://www.econbiz.de/10010305695

Market liquidity risk: an overview

Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...

Persistent link: https://www.econbiz.de/10010305705

Measuring market liquidity risk - which model works best?

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

Persistent link: https://www.econbiz.de/10010305708