Similar Search Results

Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia

Huang, Huichou; MacDonald, Ronald - Volkswirtschaftliche Fakultät, … - 2012

This is the first study that employs option pricing model to measure the position-unwinding risk of currency carry trade portfolios, which covers moment information as the proxy for crash risk. We show that high interest-rate currencies are exposed to higher position-unwinding risk than low...

Persistent link: https://www.econbiz.de/10011107339

The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data

Bicchetti, David; Maystre, Nicolas - Volkswirtschaftliche Fakultät, … - 2012

This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...

Persistent link: https://www.econbiz.de/10011107807

The arc sine law and the treasury bill futures market

Dale, Charles; Workman, Rosemarie - Volkswirtschaftliche Fakultät, … - 1980

According to the so-called "arc sine law," mechanical trading rules applied to price movements in financial assets will result in long periods of cumulative success, but equally long periods of cumulative failure. The long periods of success will tempt investors to apply trading rules to actual...

Persistent link: https://www.econbiz.de/10011108173

Why African Stock Markets Should Formally Harmonise and Integrate their Operations

Ntim, Collins G - Volkswirtschaftliche Fakultät, … - 2012

Despite experiencing rapid growth in their number and size, existing evidence suggests that African stock markets remain highly fragmented, small, illiquid and technologically weak, severely affecting their informational efficiency. Therefore, this study attempts to empirically ascertain whether...

Persistent link: https://www.econbiz.de/10011108992

Mental Accounting: A Closed-Form Alternative to the Black Scholes Model

Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2013

The principle of no arbitrage says that identical assets should offer the same returns. However, experimental and anecdotal evidence suggests that people often rely on analogy making while valuing assets. The principle of analogy making says that similar assets should offer the same returns. I...

Persistent link: https://www.econbiz.de/10011109273

Collateral choice and the fundamental theorem of asset pricing

Manuel, Luis; Muñoz, García - Volkswirtschaftliche Fakultät, … - 2012

In the classical quantitative finance literature it is assumed that there is a risk free rate at which hedgers can borrow and lend in the dynamic replication process of financial derivatives. In such a framework, under complete market conditions and absence of arbitrage opportunities, for a...

Persistent link: https://www.econbiz.de/10011109288

Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds

Xiao, Tim - Volkswirtschaftliche Fakultät, … - 2013

Tim Xiao: This paper argues that the reduced-form jump diffusion model may not be appropriate for credit risk modeling. To correctly value hybrid defaultable financial instruments, e.g., convertible bonds, we present a new framework that relies on the probability distribution of a default jump...

Persistent link: https://www.econbiz.de/10011109339

Hedging with Foreign-listed Single Stock Futures

Hung, Mao-wei; Lee, Cheng-few; So, Leh-chyan - Volkswirtschaftliche Fakultät, … - 2005

The objective of this paper is to estimate the hedge ratios of foreign-listed single stock futures (SSFs) and to compare the performance of risk reduction of different methods. The OLS method and a bivariate GJR-GARCH model are employed to estimate constant optimal hedge ratios and the dynamic...

Persistent link: https://www.econbiz.de/10011109598

CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions.

Muñoz, García; Manuel, Luis - Volkswirtschaftliche Fakultät, … - 2013

In this paper we explore the components that should be incorporated in the price of an uncolateralized derivative. We … derivative's price will reflect the replication costs from the hedger's perspective, which will not be equal to the replication … value that the derivative experiences while the hedger remains not defaulted. We assume that both the investor's and the …

Persistent link: https://www.econbiz.de/10011110003

Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR

Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012

the overnight discounting of cash flows originated by derivative transactions under collateral with daily margination. We …

Persistent link: https://www.econbiz.de/10011110035