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Soft landing of a stock market bubble : An experimental study

Becker, Ralf; Fischbacher, Urs; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2007

The paper investigates the effect of interest rate policy on price bubbles, trading behavior, and portfolio choice in experimental stock markets. In a series of experiments, participants trade an asset over 15 periods. Alternatively, the participants can invest money in interest-bearing bonds....

Persistent link: https://www.econbiz.de/10005859101

Analyzing Credit Risk in Default Swap Transaction Data : Is Fixed-Income Markets Information Sufficient to Evaluate Credit Risk?

Cossin, Didier; Hricko, Tomas; Aunon-Nerin, Daniel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are …

Persistent link: https://www.econbiz.de/10005859382

Optimal Investment in Variance Swaps Under Stochastic Volatility

Egloff, Daniel; Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich> - 2006

, the industry has created a series of variance derivative products to span variance risk. The variance swap contract is the … rate, called the variance swap rate, determined at the inception of the contract. We obtain a decade worth of variance swap … structure of the variance swap rates to analyze the return variance rate dynamics and market pricing of variance risk. We then …

Persistent link: https://www.econbiz.de/10005858375

A Simple Model of Credit Contagion

Eglo, Daniel; Leippold, Markus; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

We propose a simple and implementable model of credit contagion where we in-clude macro- and microstructural dependencies among the debtors within a creditportfolio. We show that, even for diversified portfolios, moderate microstructuraldependencies have already a significant impact on the tails...

Persistent link: https://www.econbiz.de/10005858362

Optimal Credit Limit Management

Leippold, Markus; Ebnoether, Silvan; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

Credit limit management is of paramount importance for successful short-term credit-risk management, even more so when the situation in credit and ﬁnancial markets is tense. We consider a continuous-time model where the credit provider and the credit taker interact within a game-theoretic...

Persistent link: https://www.econbiz.de/10005858857

Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation

Egloff, Daniel; Leippold, Markus; Jöhri, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2005

We introduce an adaptive importance sampling method for the loss distribution of credit portfolios based on the Robbins-Monro stochastic approximation procedure. After presenting the subtle construction of the algorithm, we apply our adaptive scheme for calculating the risk figures of a typical...

Persistent link: https://www.econbiz.de/10005858875

Financial Market Equilibria With Cumulative Prospect Therory

De Giorgi, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2007

The paper shows that ﬁnancial market equilibria need not exist if agents possess cumulative prospect theory preferences with piecewise-power value functions. The reason is an inﬁniteshort-selling problem. But even when a short-sell constraint is added, non-existence can occur due to...

Persistent link: https://www.econbiz.de/10005857777

Survival of the Fittest on Wall Street

Hens, Thorsten; SchenkHoppe, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper studies an application of a Darwinian theory of portfolioselection to stocks listed in the Dow Jones Industrial Average (DJIA).We analyze numerically the long-run outcome of the competition ofﬁx-mix portfolio rules in a stock market with actual DJIA dividends.In the model seemingly...

Persistent link: https://www.econbiz.de/10005858308

Evolutionary Stable Stock Markets

Hens, Thorsten; Schenk-Hoppe, Klaus Reiner; Evstigneev, Igor - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper shows that a stock market is evolutionary stable if andonly if stocks are evaluated by expected relative dividends. Any othermarket can be invaded by portfolio rules that will gain market wealthand hence change the valuation. In the model the valuation of assetsis given by the wealth...

Persistent link: https://www.econbiz.de/10005858757

Markets Do Not Select for a Liquidity Preference as Behavior Towards Risk

Hens, Thorsten; Schenk-Hoppe, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

Tobin (1958) has argued that in the face of potential capital losses on bonds it is reasonable to hold cash as a means to transfer wealth over time. It is shown that this assertion cannot be sustained taking into account the evolution of wealth of cash holders versus non cash holders. Cash...

Persistent link: https://www.econbiz.de/10005859324