The Euler allocation scheme is a well-suited risk management tool that meets the three axioms of capital allocation: diversification, continuity, and RORAC compatible. However, the Euler allocation scheme of the risk measure VaR meets the desirable property of portfolio-invariance only under the...

This article proposes a multi-factor approach to incorporate issuer default risk into basket credit linked note (BCLN) pricing based on the Gaussian copula. The numerical analysis demonstrates that the issuer default risk increases the fair coupon rate. Contradicting the common belief that a...

Equity mutual fund data from 1976-1993 is used to test hypotheses that distinguish window dressing from performance hedging. No significant difference is found pre/post 1983 in the number of funds choosing non-December fiscal year ends or in the percentage of dollars invested when comparing...