This paper analyses the international equity holdings of a large panel of UK pension funds. We find considerable evidence of market timing activity, as illustrated by the funds' decision to scale back their investments in the US stock market during the 1990s. To explain this we model portfolio...

The structure of securitization deals, referred to as tranching , is standard. In those transactions, claims on cash flows generated by the collateral are split into several classes of notes, at least 3 and possibly more than 5. Each class is called a tranche and has absolute priority in the...

This paper examines the performance of personal pensions (exempt unit trusts) in the UK 1980-2000. Unitised personal pension schemes are a type of mutual fund that is constituted as a contractual savings scheme, whose value can only be accessed at retirement. By studying the performance of these...

We initiated a survey to examine whether the transition from national currencies to the Euro involved significant increases in transaction times. Based on our sample of 42 observations, we found that the pure transaction time for making change did actually increase, while queuing time increased...

No abstract available

We show that the recently developed nonparametric procedure for fitting the term structure of interest rates developed by Linton, Mammen, Nielson and Tanggaard (2000) overall performs notably better than the highly flexible McCulloch (1975) cubic spline and Fama and Bliss (1987) bootstrap...

This paper investigates the benefits of allowing households to compensate the portfolio distortion due to their housing consumption through investments in housing price derivatives. Focusing on the London market, we show that a major loss from over-investment in housing is that households are...

Most of those who take macro and monetary policy decisions are agents. The worst penalty which can be applied to these agents is to sack them if they are perceived to have failed. To be publicly sacked as a failure is painful, often severely so, but the pain is finite. Agents thus have loss...

We consider the choices available to a defined contribution (DC) pension plan member at the time of retirement for conversion of his pension fund into a stream of retirement income. In particular, we compare the purchase at retirement age of a conventional life annuity (i.e., a bond-based...

We investigate the valuation of catastrophe insurance derivatives that are traded at the Chicago Board of Trade. By modeling the underlying index as a compound Poisson process we give a representation of no-arbitrage price processes using Fourier analysis. This characterization enables us to...