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When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia

Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010

equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …

Persistent link: https://www.econbiz.de/10009305103

Vergleichende Analyse alternativer Kreditrisikomodelle

Wahrenburg, Mark M; Niethen, Susanne - 2000

In den letzten Jahren wurden verschiedene Modelle entwickelt, um das Ausfallrisiko von Banken unter Berücksichtigung von Portfolioeffekten zu quantifizieren. Bisher hat sich kein Ansatz als allgemein akzeptierter Standard durchsetzen können. Da die Modelle grundlegende konzeptionelle...

Persistent link: https://www.econbiz.de/10005840344

Stabilität der Korrelationen bedeutender Anlageklassen

Auckenthaler, Christoph; Skaanes, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2003

Seit Begründung der modernen Portfoliotheorie ist bekannt, daß die Portfoliovolatilität im Fall niedriger Korrelationen zwischen den Anlageklassen bei sonst gleich bleibenden Parametern ohne Renditeeinbuße reduziert wird...

Persistent link: https://www.econbiz.de/10005856981

International Asset Allocation and Hidden Regime Switching

Morger, Felix - Institut für Schweizerisches Bankwesen <Zürich> - 2006

characteristics of her portfolio. This empirical study is embedded into an introduction to correlation breakdown, which can be … generated by regime-switching models, and theory onasset allocation …

Persistent link: https://www.econbiz.de/10005858133

Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk

Ehlers, Philippe; Schönbucher, Philipp J. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

In single-obligor default risk modelling, using a background filtration in conjunction with a suitable embedding hypothesis (generally known as H-hypothesis or immersion property) has proven a very successful tool to separate the actual default event from the model for the default arrival...

Persistent link: https://www.econbiz.de/10005858244

Private Equity Returns: Is there really a Benefit of low Co-movement with Public Markets?

Ick, Matthias M. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

as exit channel. We find significant statistical evidence for the negative correlation between early stage investments … on correlation coefficients, but need to carefully consider a funds investment strategy. The conflict of objectives for …

Persistent link: https://www.econbiz.de/10005858359

Correlation Risk and Optimal Portfolio Choice

Buraschi, Andrea; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007

In this paper we solve an intertemporal portfolio problem with correlation risk, using a new approach for the … simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an … optimal portfolio demand for hedging correlation risk. We calibrate the model and find that the optimal demand to hedge …

Persistent link: https://www.econbiz.de/10005858523

Default Correlation in a Markov-Chain Credit Migration Model with Contagion Effects

Gibson, Rajna; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich> - 2005

In this paper, we extend the earlier results of Jeanblanc and Valchev (2003) in the single name case to the case of multiple defaults of the issuers in a concentrated industry or homo- geneous bond market. We provide solutions for the pairwise default correlations and credit spreads in an...

Persistent link: https://www.econbiz.de/10005858812

A diffusion limit for generalized correlated random walks

Gruber, Urs; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2005

A generalized correlated random walk is a process X_k of partial sums of random variables Y_j such that (X,Y) forms a Markov chain. For a sequence X^n of such processes where each Y^n_j takes only two values, we prove weak convergence to a diffusion process whose generator is explicitly...

Persistent link: https://www.econbiz.de/10005858866

Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis

Huang, Xin Xun; Zhou, Hao; Zhu, Haibin - Bank für Internationalen Zahlungsausgleich <Basel> - 2010

This paper extends the approach of measuring and stress-testing the systemic risk of a banking sector in Huang, Zhou, and Zhu (2009) to identifying various sources of financial instability and to allocating systemic risk to individual financial institutions. The systemic risk measure, defined as...

Persistent link: https://www.econbiz.de/10005871068