We investigate how the spectral risk measure associated with holding stocks rather than a riskfree deposit, depends on the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock price follows specific processes, spectral risk becomes...

To efficiently assess the performance of investing in stocks rather than in a bank account for the long run, stochastic interest rate modelling is advocated. We introduce a correlated stochastic interest rate model that addresses this problem. We derive analytic formulas for general spectral...

A hosszú távon befektetők (például nyugdíjalapok, céldátum-eszközalapok és fiatal befektetők) számára fontos kérdés, hogy mennyire kockázatos hosszú távon részvényt tartani. Tanulmányunk a spektrális kockázati mértékeket helyezi középpontba, amelyek a vizsgált...

We demonstrate that margin requirements of central counterparties show a significantly different behavior when calculated with a portfoliowise treatment instead of taking the weighted sum of the margin requirements of the components without accounting for their correlation structures. This is...

A viselkedési pénzügyek szerint a befektetőket az érzelmeik is befolyásolják, nem racionálisan döntenek, ezzel magyarázatot szolgáltatva a tőzsdei anomália jelenségére. A tanulmányban a naptárhatás és az időjárás hatásának a meglétét vizsgáltuk 1991 és 2022 között a...

We model the consequences of the soft budget constraint in the context of retail borrowers. While János Kornai formulated the term of “soft budget constraint” mainly for organizations (firms, banks, municipalities, NGOs, etc.), we show that it can be applied to individual borrowers as well....

In response to the Global Financial Crisis of 2007–2009, by now, most of the financial transactions must be cleared through central counterparties operating a dynamic margin setting mechanism. High margin calls can reduce counterparty risk in a turbulent market but, at the same time, increase...

The paper analyzes a special corporate banking product, the so called cash-pool, which gained remarkable popularity in the recent years as firms try to centralize and manage their liquidity more efficiently. The novelty of this paper is the formalization of a valuation model which can serve as a...

Following our earlier paper on the subject, we present a general closed formula to value the interest savings due to a multi-firm cash-pool system. Assuming normal distribution of the accounts the total savings can be expressed as the product of three independent factors representing the...

We explain the diversity of corporate hedging behavior in a single model. The hedging ratio is obtained by maximizing expected utility that is a combination of the corporate level utility and a component that models the incentives of the financial manager. We derive a theoretical model that...