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Do pension funds reach for yield? : evidence from a new database

Konradt, Maximilian - 2023 - This version: February 1st, 2023

This paper investigates the financial risk-taking behavior of pension funds since 2000. I assemble a new database containing portfolio holdings of more than 100 pension funds from 14 advanced economies. The study reveals three key findings. First, I show that pension fund portfolios have become...

Persistent link: https://www.econbiz.de/10013540615

Heterogeneous Beliefs, Bonds, and Interest Rates

Beddock, Arthur; Jouini, Elyes - 2023

We develop a general equilibrium model of interest rates based on a continuous-time production economy populated by heterogeneous shareholders with logarithmic preferences. It allows us to study the impact of belief heterogeneity on bonds, the risk-free rate, and the yield curve. In particular,...

Persistent link: https://www.econbiz.de/10014348995

Option-Based Pricing of Wrong Way Risk for CVA

Kenyon, Chris - 2016

The two main issues for managing wrong way risk (WWR) for the credit valuation adjustment (CVA, i.e. WW-CVA) are calibration and hedging. Hence we start from a novel model-free worst-case approach based on static hedging of counterparty exposure with liquid options. We say "start from" because...

Persistent link: https://www.econbiz.de/10012986205

Unsecured Credit Supply Risk and Bond Prices

Mabille, Pierre - 2021

Changes in credit supply induce large and frequent variations in households' access to unsecured debt. They generate a novel financial precautionary motive, which compounds the classical motive associated with idiosyncratic income risk, as borrowers accumulate risk-free bonds to hedge against...

Persistent link: https://www.econbiz.de/10013239541

Static Mitigation of Volumetric Risk

Id Brik, Rachid - 2015

We consider the problem of designing a financial instrument aimed at mitigating the joint exposure to random price and volume delivery fluctuations of energy-linked commitments. We formulate a functional optimization problem over a set of regular pay-off functions: one is written on energy...

Persistent link: https://www.econbiz.de/10013012273

Market liquidity and market making : the case of fixed income and low interest rates

Strøm Kristoffersen, Mark; Pedersen, Jesper - 2015

Market liquidity and market making – the case of fixed income and low interest rates Market liquidity has received a lot of attention lately, especially in fixed-income markets. This paper studies the determinants of market liquidity in a theoretical model for market making with inventory...

Persistent link: https://www.econbiz.de/10011439590

The Duration of Bank Retail Interest Rates

Craig, Ben R. - 2011

functional form of the hazard of changing a price, the effect of firm and market characteristics on the duration of prices, and … determinants of the duration of retail interest rates are the cumulated change in the money market interest rates and the policy …

Persistent link: https://www.econbiz.de/10013133627

Cross- and auto-correlation effects arising from averaging : the case of US interest rates and equity duration

Hallerbach, Winfried G. - 2000

duration analysis, viz. whenestimating the relationship between interest rates andfinancial market variables like equity or …

Persistent link: https://www.econbiz.de/10011303868

How do banks and households manage interest rate risk? : evidence from the Swiss mortgage market

Basten, Christoph; Guin, Benjamin; Koch, Cathérine - 2017

We exploit a unique data set that features both un-intermediated mortgage requests and independent offers from multiple banks for each request. We show that households typically are not prudent risk managers but prioritize the minimization of current mortgage payments over the risk of possible...

Persistent link: https://www.econbiz.de/10011721608

A Guide to Duration, DV01, and Yield Curve Risk Transformations

Coleman, Thomas - 2011

Duration and DV01 (dollar duration) measure price sensitivity and provide the basic risk measure for bonds, swaps, and … other fixed income instruments. When valuing instruments off a yield curve, duration and DV01 naturally extend to a vector … reviews the concepts of partial DV01 and duration and then discusses a simple method for transforming partial DV01s between …

Persistent link: https://www.econbiz.de/10013131943