Purpose – The purpose of this paper is to analyse the effects of the maturities of credit-enhanced debt contracts on the value of an insurer's loan-guarantee portfolios. Design/methodology/approach – The paper proposes a contingent-claims model and uses as measure of credit insurance risk,...

The empirical results in recent finance literature reveal that conditional performance measures generally improve our perception of fund managers. Furthermore, it has been shown that using daily data in an unconditional framework increases the proportion of abnormal performances relative to...

This paper presents an analysis of the relative importance and influence of various socio-economic, institutional and systemic factors considered relevant to portfolio managers' risk perception of securities. The analysis is based on data from a 1990 survey in which twenty institutional...

Measuring the performance of a portfolio manager (PM) is an important concern of financial theory. La mesure de la performance des gestionnaires de portefeuille est un sujet d’importance majeure en finance.