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The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...
Persistent link: https://www.econbiz.de/10012867841
This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...
Persistent link: https://www.econbiz.de/10011389297
This paper aims to find the effectiveness of Cryptocurrency on well-formed portfolio with assets like Commodities, Exchange Traded Fund (ETFs), Stock assets and currency value of INR. There are several ways to determine the effectiveness in diversification. In this paper we use SOLVER, Modern...
Persistent link: https://www.econbiz.de/10013235837
We conduct an empirical investigation of the pricing and economic sources of commonality in liquidity in the U.S. REIT market. Taking advantage of the specific characteristics of REITs, we analyze three types of commonality in liquidity: within-asset commonality, cross-asset commonality (with...
Persistent link: https://www.econbiz.de/10010412872
Institutional investors, such as pensions and insurers, are typically constrained to hold enough wealth to be able to make their contractually promised payments to fund beneficiaries. This creates an additional risk in the economy, namely the risk of funding shortfall. We seek to explore the...
Persistent link: https://www.econbiz.de/10012969149
A white-box deterministic system simulates long-term LDI cashflows using as input J.P.Morgan Long Term Capital Market Assumptions adapted to make them interest rate dependent. Trading, coupons and dividends provide cashflows to pay liabilities and extract excess cash to stakeholders while...
Persistent link: https://www.econbiz.de/10013290800
A Liability-Driven Investment (LDI) simulation by a white-box deterministic system, with long-term capital market assumptions of J.P.Morgan and Blackrock as key inputs, pays from asset cashflows the liabilities and the excess extractions that are each month the same fixed percentage of remaining...
Persistent link: https://www.econbiz.de/10014351258
small banks, and (2) that this relationship has weakened with the advent of stronger liquidity regulation. Our results …
Persistent link: https://www.econbiz.de/10014048751
We provide a theoretical model for funding liquidity that extends the literature by allowing financial institutions to raise short-term unsecured funding in addition to secured funding. We identify a new liquidity spiral, a credit limit spiral, for unsecured funding and show how it reinforces...
Persistent link: https://www.econbiz.de/10012903698
XVA models for the calculation of CVA, FVA (see for example (Burgard and Kjaer 2013)), KVA(Green, Kenyon, and Dennis 2014), MVA (Green and Kenyon 2014) and TVA (Kenyon and Green 2014a) have frequently been formulated at the counterparty level. However, it is clear that some elements of the...
Persistent link: https://www.econbiz.de/10013031952