In this paper we examine whether a three-regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500 Composite Index for the period 1888-2001. We extend existing two-regime models of speculative behaviour by including a third...

Risk and loss are common words that need to be clearly defined when embarking on the task of assessing operational risks. Financial institutions may rush into implementing the methodologies proposed by Basel in the hope of achieving better risk management – or simply to satisfy a regulatory...

We examine the pricing of Asian and non-Asian credit default swaps that traded during the 1997 to 1999 time period. We employ two credit risk models, Duffie and Singleton (1999) and Jarrow and Turnbull (1995). We argue that credit default swaps should have a positive economic value since credit...

This paper proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the standard Student’s t density and...

We view risk management as an integral part of good management. Risk management should take a balanced view of decision problems encompassing all significant risks and rewards. Operational risks are only one type of risks and therefore are only one piece in the jigsaw puzzle that only makes...

We study the short-run performance of the Chinese privatization initial public offerings (PIPOs), using data of 668 new issues on the both Shanghai and Shenzhen Stock Exchanges from 1 January 1996 through 31 December 2000. We find that the average market-adjusted initial returns on the 1st, 5th,...

We study the short-run and long-run performance of Chinese privatization initial public offerings (PIPOs), using data for 340 and 409 new issues on the Shanghai and Shenzhen Stock Exchanges respectively, from 1 January 1996 through 31 December 1997. The average market-adjusted initial return is...

We present an extension of the traditional Sharpe ratio to allow for the evaluation of non-normal return distributions. Combining earlier work in this area with stochastic simulation, we develop a procedure that allows for the construction of a benchmark for the evaluation of the performance of...

In this paper we investigate whether it is possible for a fund of hedge funds to not only offer investors access to a diversified basket of hedge funds but to provide skewness protection at the same time. We study two different strategies. The first is for a fund to buy stock index puts and...

This paper provides an overview of the most important statistical properties of individual hedge fund returns. We find that the net-of-fees monthly returns of the average individual hedge fund exhibit significant degrees of negative skewness, excess kurtosis, as well as positive first-order...