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Barrieu, Pauline (contributor); Loubergé, Henri (contributor) - 2007

Natural catastrophes attract regularly the attention of media and have become a source of public concern. From a financial viewpoint, natural catastrophes represent idiosyncratic risks, diversifiable at the world level. But for reasons analyzed in this paper reinsurance markets are unable to...

Persistent link: https://www.econbiz.de/10003550859

Facelifting in utility maximization

Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - 2014

We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility maximization in incomplete semimartingale-driven financial markets. Unlike in the lower- and upper-hedging problems, and somewhat unexpectedly,...

Persistent link: https://www.econbiz.de/10010442910

Strategic technology adoption and hedging under incomplete markets

Leippold, Markus; Stromberg, Jacob - 2014

We investigate the implications of technological innovation and non-diversifiable risk on entrepreneurial entry and optimal portfolio choice. In a real options model where two risk-averse individuals strategically decide on technology adoption, we show that the impact of non-diversifiable risk...

Persistent link: https://www.econbiz.de/10011293735

The global factor structure of exchange rates

Korsaye, Sofonias Alemu; Trojani, Fabio; Vedolin, Andrea - 2020

We provide a model-free framework to study the global factor structure of exchange rates. To this end, we propose a new methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sections of international assets, such as stocks, bonds, and currencies, in...

Persistent link: https://www.econbiz.de/10012419696

Economically consistent valuations and put-call parity

Herdegen, Martin; Schweizer, Martin - 2016 - This version: January 12, 2016

We propose an approach to the valuation of payoffs in general semimartingale models of financial markets where prices are nonnegative. Each asset price can hit 0; we only exclude that this ever happens simultaneously for all assets. We start from two simple, economically motivated axioms, namely...

Persistent link: https://www.econbiz.de/10011514353

Optimal risk-sharing across a network of insurance companies

Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; … - 2020

Risk transfer is a key risk and capital management tool for insurance companies. Transferring risk between insurers is used to mitigate risk and manage capital re- quirements. We investigate risk transfer in the context of a network environment of insurers and consider capital costs and capital...

Persistent link: https://www.econbiz.de/10012270812

Arbitraging the Basel Securitization Framework : evidence from German ABS investment

Efing, Matthias - 2014

yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this …

Persistent link: https://www.econbiz.de/10011293796

Optimal securitization with heterogeneous investors

Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - 2010

We solve the problem of optimal securitization for an issuer facing heterogeneous investors with arbitrary time and … risk preferences. We show that the optimal securitization is characterized by multiple nonlinear tranches, and each … derive a number of comparative static results for optimal securitization. The model generates theoretical predictions and …

Persistent link: https://www.econbiz.de/10003979499

Optimal incentives and securitization of defaultable assets

Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - 2011

We study optimal securitization of defaultable assets in a continuous time setting. A financial intermediary can create … intermediaries have all the bargaining power, securitization improves the intermediary's screening incentives and increases the … best levels when the number of securitized assets is sufficiently large. securitization, mortgage-backed securities, moral …

Persistent link: https://www.econbiz.de/10009375121

Fractional cointegration analysis of securitized real estate

Serrano, Camilo; Hoesli, Martin - 2009

This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such...

Persistent link: https://www.econbiz.de/10003970286