When rates of return on bonds are computed over extremely short holding periods, the ex post cross-sectional relationship between realized return and risk is linear. It is therefore possible, at any time, to extrapolate the cross-sectional relationship to a zero risk level, and thus to determine...

Asset allocation contribution to ex-post performance is of primary importance. Nobody denies its role, yet the subject of allocating assets remains controversial. To some contenders, the added value stems only from strategic asset allocation which aims at providing the long-term average exposure...

Le recours au coût historique et à des techniques d'allègement des bilans comme la titrisation permettent aux banques de disposer d'une marge de manoeuvre en matière comptable. Le développement des marchés financiers et l'orientation actuelle de l'IASC et du FASB en faveur de la juste...

When historical cost is used, the incomes are smoothed in a way that delays the recognition of the financial institutions lessening solvency, especially in the case of fixed rate loans when market rates are decreasing. We study the case of Credit Lyonnais which had the opportunity to transfer...

The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This...

This paper considers an international sample of conventional and Islamic mutual funds to assess whether law, culture and political risk affect their compensation fees and expense ratio. The data are hand-collected from many sources. Overall, the results show strongly that legal conditions,...

We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as progressive enlargement of a default-free Brownian filtration, and the dependence of default times is modelled by a conditional...

Purpose of the paper: Risk orientated disclosure is a focal issue of corporate communication. Many provisions have been implemented in the USA and in Europe to promote transparency about risks faced by companies, especially by quoted ones. The increase of mandatory risk reporting applying to...

Does historical performance helps predict future performance of portfolio managers and does persistence in performance exist? These are some of the recurring questions that used to be raised in this part of financial literature. Different methods since the 60's have been proposed but many of...

Understanding the relationships among multivariate assets would help one greatly about how best to position one’s investments and enhance one’s financial risk protection. We present a new method to model parametrically the dependence structure of stock index returns through a continuous...