This paper examines the determinants of the "bid-asked" spread on the Canadian option market and evaluates their relative importance. It also sheds some light on the interrelationship between the "bid-asked" spread of options and that of their underlying securities in order to determine if the...

Purpose – The purpose of this paper is to analyse the effects of the maturities of credit-enhanced debt contracts on the value of an insurer's loan-guarantee portfolios. Design/methodology/approach – The paper proposes a contingent-claims model and uses as measure of credit insurance risk,...

<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>The empirical finance literature reveals that conditional models estimated with monthly data generally improve fund performance. Furthermore, it has been shown that using daily instead of monthly returns in an unconditional framework increases the proportion of abnormal performances...

We extend the financial guarantee insurance literature by modeling, under stochastic interest rates, private financial guarantees when the guarantor potentially defaults. By performing numerical simulations under plausible parameters values, we characterize the differential impact of the...

The fact that investment policies are often restricted appears to have been neglected in the performance measurement literature. This paper, using a standard information model, shows how the introduction of constraints on the proportion of assets to be invested in the market affect the expected...

This paper presents an analysis of the relative importance and influence of various socio-economic, institutional and systemic factors considered relevant to portfolio managers' risk perception of securities. The analysis is based on data from a 1990 survey in which twenty institutional...

Measuring the performance of a portfolio manager (PM) is an important concern of financial theory. La mesure de la performance des gestionnaires de portefeuille est un sujet d’importance majeure en finance.