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Asset-liability management with ultra-low interest rates

Grossman, Richard S.; Molyneux, Philip; Lambert, Frederic; … - Conference on Asset-Liability Management with Ultra-Low …; … - 2015

On 11 March 2015, SUERF jointly organised a conference with the Oesterreichische Nationalbank and the Austrian Society for Bank Research (Bankwissenschaftliche Gesellschaft - BWG). The present SUERF Study 2015/2 includes a selection of papers based on the authors' contributions to the Vienna...

Persistent link: https://www.econbiz.de/10011413495

Machine Learning Treasury Yields

Kakushadze, Zura - 2020

We give explicit algorithms and source code for extracting factors underlying Treasury yields using (unsupervised) machine learning (ML) techniques, such as nonnegative matrix factorization (NMF) and (statistically deterministic) clustering. NMF is a popular ML algorithm (used in computer...

Persistent link: https://www.econbiz.de/10012844700

The Treasury Bill Risk Premium : Why T-Bills Are About as Risky as Stocks in the Long Term

White, James - 2020

These days it's become convention (reinforced by the media's treatment of wealth) to assess our net worth by tallying up the market value of our financial assets, even though it's more natural and useful to think of our wealth as a stream of dollars over time given the nature of our income and...

Persistent link: https://www.econbiz.de/10012834170

Beware of Chasing Yield : Bond Fund Yield, Flows and Performance

Jiang, Hao; Li, Lily; Zheng, Lu - 2021

This paper studies the role of mutual fund yield in driving investor flows and performance of bond funds. Using two common measures, the SEC yield and 12-month distribution yield, we find strong evidence that investors tend to chase bond funds with higher yields, even after controlling for total...

Persistent link: https://www.econbiz.de/10013239855

The LIBOR Market Model : A Critical Review

Nawalkha, Sanjay K. - 2009

make these models powerful alternatives to the LMM for valuing and hedging interest rate derivatives …

Persistent link: https://www.econbiz.de/10014208293

Mutual funds and safe government bonds : do returns matter?

Graziano, Marco; Habib, Maurizio Michael - 2024

This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...

Persistent link: https://www.econbiz.de/10014527087

Risk management of interest rate derivative portfolios : a stochastic control approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

Persistent link: https://www.econbiz.de/10011552973

Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten

Krones, Julia; Cremers, Heinz - 2012

the superior instrument regarding hedging systematic market component risk on single-name and portfolio level. Finally, an …

Persistent link: https://www.econbiz.de/10009576035

Hedging with Swaps Under a Parallel Shift of the Yield Curve

Jaffal, Hanan - 2013

Hedging a bond position under a parallel shift of the interest rate has been largely considered and analyzed, though … analysis of a portfolio hedging by means of a portfolio including swaps. Particularly, we are able to clarify the suitable swap … sensitivities to make use in hedging and risk management, completing the well known bond duration and convexity in the setting of …

Persistent link: https://www.econbiz.de/10013089335

Industry competition, credit spreads, and levered equity returns

Corhay, Alexandre - 2017

This paper examines the relation between industry competition, credit spreads, and levered equity returns. I build a quantitative model where firms make investment, financing, and default decisions subject to aggregate and idiosyncratic risk. Firms operate in heterogeneous industries that differ...

Persistent link: https://www.econbiz.de/10011721599