Similar Search Results

Cross-border diversification in bank asset portfolios

Buch, Claudia M. (contributor); … - 2005

located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these …

Persistent link: https://www.econbiz.de/10002812657

On the inflation risks embedded in sovereign bond yields

Camba-Méndez, Gonzalo - 2020

by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our … investors for holding the less attractive inflation-linked debt asset. …

Persistent link: https://www.econbiz.de/10012241109

Home, safe home : cross-country monitoring framework for vulnerabilities in the residential real estate sector

Bengtsson, Elias; Grothe, Magdalena; Lepers, Etienne - 2017

This paper proposes a framework for monitoring vulnerabilities related to the residential real estate sector in a cross-country context. The framework might be useful for complementing or cross-checking signals available from existing approaches. It takes into account three dimensions of real...

Persistent link: https://www.econbiz.de/10011710115

Euro area money demand and international portfolio allocation : a contribution to assessing risks to price stability

De Santis, Roberto A. (contributor); … - 2008

euro area M3 growth and model-based fitted or predicted values helps forecast euro area inflation. …

Persistent link: https://www.econbiz.de/10003789419

International stock return comovements

Bekaert, Geert (contributor); Hodrick, Robert J. (contributor) - 2008

We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We...

Persistent link: https://www.econbiz.de/10003789454

Foreign reserves management subject to a policy objective

Coche, Joachim; Koivu, Matti; Nyholm, Ken; Poikonen, Vesa - 2006

This paper studies the implications of introducing an explicit policy objective to the management of foreign reserves at a central bank. A dynamic model is developed which links together reserves management and the exchange rate by foreign exchange interventions. The exchange rate is modelled as...

Persistent link: https://www.econbiz.de/10003337134

Financial integration, international portfolio choice and the European Monetary Union

De Santis, Roberto A. (contributor); … - 2006

We investigate the determinants of bilateral international equity and bond portfolio reallocation across a large cross section of countries over the 1997 to 2001 period. We first argue that financial integration is not a global phenomenon, as equity and bond home biases declined significantly...

Persistent link: https://www.econbiz.de/10003337146

A factor risk model with reference returns for the US dollar and Japanese yen bond markets

Bernadell, Carlos (contributor); Coche, Joachim (contributor) - 2006

This paper develops a new methodology for simulating fixed-income return distributions. It is shown that a traditional factor risk model, when augmented with reference returns, is capable of generating visually consistent return distributions for a broad range of fixed income instruments such as...

Persistent link: https://www.econbiz.de/10003337255

Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks

Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - 2009

In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model - based on publicly available information . with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in...

Persistent link: https://www.econbiz.de/10003831692

Sparse and stable Markowitz portfolios

Brodie, Joshua; Daubechies, Ingrid; De Mol, Christine; … - 2008

We consider the problem of portfolio selection within the classical Markowitz meanvariance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights....

Persistent link: https://www.econbiz.de/10003790940

1
2
3
4
5
6
7
8
9
10
Next
Last