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Stability of Sigma-Martingale Densities in L log L Under an Equivalent Change of Measure

Choulli, Tahir; Schweizer, Martin - National Centre of Competence in Research - Financial … - 2011

An equivalent !-martingale measure (E!MM) for a given stochastic process Sis a probability measure R equivalent to the original measure P such that S isan R-!-martingale. Existence of an E!MM is equivalent to a classical absenceof-arbitrage property of S, and is invariant if we replace the...

Persistent link: https://www.econbiz.de/10009486965

Interaction of market and credit risk:an analysis of inter-risk correlationand risk aggregation

Böcker, Klaus; Hillebrand, Martin - Deutsche Bundesbank <Frankfurt, Main> / … - 2008

as market risk. Combining Merton-like factor models forcredit risk with linear factor models for market risk, we … analytically calculate their interriskcorrelation and show how inter-risk correlation bounds can be derived. Moreover, weelaborate … how our model naturally leads to a Gaussian copula approach for describingdependence between both risk types. In …

Persistent link: https://www.econbiz.de/10005866354

Irreversible Investment in General Equilibrium

Hugonnier, Julien; Morellec, Erwan; Sundaresan, Suresh - Institut für Schweizerisches Bankwesen <Zürich> - 2005

theory of lumpy investments and show that such feedback effects can severely erode the option value of waiting even for … moderate levels of risk aversion. Our analysis demonstrates that the implications of partial equilibrium models of investment … investment lead to time variation in risk aversion and produce a countercyclical equity risk premium. …

Persistent link: https://www.econbiz.de/10005858793

A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements

Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - Institut für Schweizerisches Bankwesen <Zürich> - 2005

In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...

Persistent link: https://www.econbiz.de/10005858728

Time dynamic and hierarchicaldependence modelling of an aggregatedportfolio of trading books –a multivariate nonparametric approach

Gaisser, Sandra; Memmel, Christoph; Schmidt, Rafael; … - Deutsche Bundesbank <Frankfurt, Main> / … - 2009

From a banking supervisory perspective, this paper analyses aspects of market risk of anaggregated trading portfolio … comprised of the trading books of 11 German banks with aregulatory approved internal market risk model. Based on real, clean … prot and loss dataand Value-at-Risk estimates of the 11 banks, the paper specically models and analyzesthe portfolio …

Persistent link: https://www.econbiz.de/10005866169

Die Performance deutscher AktienfondsLassen sich Selektions- und Timingfähigkeiten nachweisen und hat dieWahl des Performancemaßes einen Einfluss auf die Beurteilung?

Rottmann, Horst; Franz, Thomas - Hochschule für Angewandte Wissenschaften <Amberg - 2008

Neben den klassischen Performancemaßen, wie der Sharpe-Ratio, der Treynor-Ratio und dem Jensen-Alpha wurden in den letzten Jahrzehnten weiterführende Ansätze für die Analyse und Bewertung vonKapitalanlagen entwickelt. Die moderneren Performancemaße verlangen keine Konstanz derRisikomaße...

Persistent link: https://www.econbiz.de/10005866098

Compactness in Spaces of Inner Regular Measures and a General Portmanteau Lemma

Krätschmer, Volker - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

basicallyon the inner extension theory for measures which has been systemized recently by K¨onig ([8], [10],[12]). …

Persistent link: https://www.econbiz.de/10005861236

Performance Measurement, Expectancy andAgency Theory: An Experimental Study

Sloof, Randolph; Praag, Mirjam van - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007

Theoretical analyses of (optimal) performance measures are typically performed within therealm of the linear agency model. This model implies that, for a given compensation scheme,the agent's optimal effort is unrelated to the amount of noise in the performance measure...

Persistent link: https://www.econbiz.de/10005861675

Discussion of "Measuring organizational capital"

Brenner, Steffen; Schwalbach, Joachim - Institut für Management <Berlin, Humboldt-Universität> - 2009

Ludewig and Sadowski (2009) empirically examine the economic value of organizationalcapital. They use a comprehensive panel data set from the Institute for EmploymentResearch (IAB) that provides standard information about inputs and outputs of theproduction process of German corporate...

Persistent link: https://www.econbiz.de/10005866651

Liquidity in the Foreign Exchange Market:Measurement, Commonality, and Risk Premiums

Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - National Centre of Competence in ResearchFinancial … - 2009

commonality in liquidity across dierent exchange rates, and determines theextent of liquidity risk premiums embedded in FX returns …

Persistent link: https://www.econbiz.de/10005868531