Similar Search Results

Modellierung desKreditrisikos im Portfoliofall

Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance & Management - 2009

key focus of thisworking paper.Literature distinguishes between three different kinds of credit pricing models: Asset …

Persistent link: https://www.econbiz.de/10008695277

Firm Migration and Stock Returns

Puopolo, Giovanni W. - Finrisk - 2009

This paper studies the asset pricing implications of a general equi-librium model in which real investment is …

Persistent link: https://www.econbiz.de/10009022140

Asset Pricing with Matrix Jump Diffusions

Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010

applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …

Persistent link: https://www.econbiz.de/10009248844

Price Impact and Portfolio Impact

Cvitanić, Jakša; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2010

We study survival, price impact and portfolio impact in heterogeneouseconomies. We show that, under the equilibrium risk-neutral measure,long-run price impact is in fact equivalent to survival, whereas longrunportfolio impact is equivalent to survival under an agent-specic,wealth-forward...

Persistent link: https://www.econbiz.de/10009305110

Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets

Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - Bank für Internationalen Zahlungsausgleich <Basel> - 2008

Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. We find that one can...

Persistent link: https://www.econbiz.de/10009305112

Three Solutions to the Pricing Kernel Puzzle

Hens, Thorsten; Reichlin, Christian - Swiss National Centre of Competence in Research North … - 2010

The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …

Persistent link: https://www.econbiz.de/10009305117

Price discovery in government bond markets

Valseth, Siri - Universitetet <Stavanger> / School of Business … - 2011

This paper investigates the process of price discovery in government bond markets.By using a new data set including interdealer trades, customer trades, trade types anddealer identities, the paper explores the role of dealers in the price formation processand seeks to identify their sources of...

Persistent link: https://www.econbiz.de/10009305184

What factors aect the Oslo Stock Exchange?

Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne - Universitetet <Stavanger> / School of Business … - 2009

that a three-factor model con-taining the market, a size factor and a liquidity factor provides a reasonable t forthe cross …

Persistent link: https://www.econbiz.de/10009305197

Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps

Cremers, Heinz; Walzner, Jens - 2007

Within the last decade, credit risk management of financial institutions has been subject to major changes due to the development of the credit derivatives market. In the past, financial institutions merely had the possibility to manage their credit portfolio by either approving or refusing a...

Persistent link: https://www.econbiz.de/10010298923

Modellierung des Kreditrisikos im Einwertpapierfall

Cremers, Heinz; Walzner, Jens - 2009

valid valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a …

Persistent link: https://www.econbiz.de/10010299007