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Low Risk Sharing with Many Assets
Marin, Emile A.; Singh, Sanjay R. - 2023
Classical contributions in international macroeconomics rely on goods-market mechanisms to reconcile the cyclicality of real exchange rates when financial markets are incomplete. However, cross-border trade in one domestic and one foreign-currency-denominated risk-free asset prohibits these...
Persistent link: https://www.econbiz.de/10014474481
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Unconventional monetary policy under appreciation pressure: The role of financial frictions
Aregger, Nicole; Leutert, Jessica - 2017
We build a two-country model with imperfect financial intermediation. Banks face limits to arbitrage which lead to positive excess returns in the investment markets and a risk premium in the international credit market. Gross capital flows affect the exchange rate since banks are balance sheet...
Persistent link: https://www.econbiz.de/10011961432
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Correlated risks: A conflict of interest between insurers and consumers and its resolution
Eugster, Patrick; Zweifel, Peter - 2006
Switzerland. Private U.S. but not Swiss insurance has a hedging effect for consumers, while both social insurance schemes expose … of common trends. Therefore, insurance companies could offer combined policies to the benefit of consumers, hedging their …
Persistent link: https://www.econbiz.de/10010315580
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Analyzing Credit Risk in Default Swap Transaction Data : Is Fixed-Income Markets’ Information Sufficient to Evaluate Credit Risk?
Cossin, Didier; Hricko, Tomas; Aunon-Nerin, Daniel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity markets data. We thus provide an international analysis of...
Persistent link: https://www.econbiz.de/10005859382
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Market Liquidity Risk - An Overview
Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 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/10005870300
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Expected Life-Time Utility and Hedging Demands In a Partially Observable Economy
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper analyzes the expected life-time utility and the hedging demands in an exchange only, representative agent … analyze his hedging demands for intertemporal changes in the stochastic unobservable growth of the endowment process and the … changing quality of information regarding these changes. The hedging demands consist of two components, which could work in …
Persistent link: https://www.econbiz.de/10005858506
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The Effect of Information Quality on Optimal Portfolio Choice
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2005
Three types of agents acting on different information sets are considered: fully informed agents, insiders, and outsiders. Differences in information quality are shown to affect the properties of their optimal portfolios. For an outsider, the share of wealth invested in the stock is decreasing...
Persistent link: https://www.econbiz.de/10005858588
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Agency Conflicts and Risk Management
Morellec, Erwan; Smith Jr, Clifford W. - Institut für Schweizerisches Bankwesen <Zürich> - 2005
financing and hedging policies, shareholders generally have no incentives to engage in asset substitution once debt has been …
Persistent link: https://www.econbiz.de/10005858789
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Family Firms, Agency Costs and Risk Aversion - Empirical Evidence from Diversification and Hedging Decisions
Schmid, Thomas; Ampenberger, Markus; Kaserer, Christoph; … - Center for Entrepreneurial and Financial Studies <München> - 2008
diversification or the application of currency hedging instruments. This analysis is based on a unique dataset of 339 publicly listed … hedging instruments.In a second step, we go beyond existing research and distinguish between two separate dimensions of family … costs and thus leads to lower levels of business segment diversification and less currency hedging. In contrast family …
Persistent link: https://www.econbiz.de/10005870324
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Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance
Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Ewald, … - Institut für Schweizerisches Bankwesen <Zürich> - 2007
In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic volatility...
Persistent link: https://www.econbiz.de/10005858246