We compute optimally diversified international asset portfolios for banks located in France, Germany, Italy, the U …

Introduction -- Development of theories on currency option management -- Volatility recovery -- Value …

volatility during the time period from January 2006 until July 2007 using an international sample of 227 banks from 42 countries …. Although fair value accounting is generally believed to increase earnings volatility, I find evidence that banks applying the … FVO with the intention of reducing accounting mismatches report lower levels of earnings volatility than the control group …

In this article, we test the implied volatility of a credit risk of a bond, an interest rate swap and a swaption of … from significant fluctuations in the FOREX and Treasury bill interest rates. We find that the implied volatility is too … volatility decrease when we use a swaption …