We develop a tailor made semiparametric asymmetric kernel density estimator for the estimation of actuarial loss distributions. The estimator is obtained by transforming the data with the generalized Champernowne distribution initially fitted to the data. Then the density of the transformed data...

We cionsider semiparmetric assymetric kernel density estimators when the unkonwn density has support on [0,∞). We provide a unifying framework which contains assymmetric kernel versions of several semiparametric density estimators considered previously in the literature. This framework allows...

Bayesian Model Averaging (BMA) has recently been discussed in the financial literature as an effective way to account for model uncertainty. In this paper we compare BMA to a new model uncertainty framework introduced by Yang (2004), called Aggregate Forecasting Through Exponential Reweighting,...

This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...

In recent years, the number of automation projects has increased throughout the Finance Industry and particularly in securities trading and processing. The same observation can be made for corporate actions automation projects. Corporate actions messages are triggered when specific decisions are...

In der Schweiz betreibt eine Großzahl der Banken neben dem Bank- ebenfalls das Effektenhandelsgeschäft. Dazu benötigen sie von der eidgenössischen Bankenkommission (EBK) je eine separate Bewiligung als Bank und Effektenhändler. Effektenhändler, welche nicht gleichzeitig auch das...

...We demonstrate how the financial sector’s net output and service production can be measured using aggregate financialstatement data. We briefly examine current treatments of financial services in the national income accounts and introduce aconceptual framework for the construction of a...

Spendensammelnde Non-Profit-Organisationen (NPOs) verfügen verglichen mit gewinnorientierten Unternehmen ähnlicher Größe über relativ hohe finanzielle Reserven in Form eines Finanzvermögens.Deren Höhe hängt von verschiedenen Faktoren ab, die im Rahmen der vorliegenden Studie untersucht...

Die vorliegende Arbeit beschäftigt sich mit dem Thema der Regulierung von Finanzmärkten, über die die Öffentlichkeit getrennter Meinung ist. Während Industrievertreter über die zahlreichen Vorschriften klagen, sehen manche Nichtregierungs-Organisationen in den Finanzmärkten ein Spielfeld...

This paper examines the characteristics of firms that voluntarily provide interim financial reports. Based on a sample of Swiss companies, where semi-annual reports became mandatory in 1997, I document that before interim reports became mandatory, analyst coverage, i.e. analysts demand for...