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Structured Finance, Risk Management, and the Recent Financial Crisis

Dionne, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

management such as agency problems in the securitization market, poor rating and pricing standards, rating agency incentives …

Persistent link: https://www.econbiz.de/10008577822

Pricing of non-redundant derivatives in a complete market.

Jouini, Elyès; Bizid, Abdelhamid; Koehl, Pierre-François - Université Paris-Dauphine - 1999

We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framework, we derive an equilibrium...

Persistent link: https://www.econbiz.de/10008800245

Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach

Voloshyn, Ihor; Voloshyn, Mykyta - Volkswirtschaftliche Fakultät, … - 2013

In this article, on the basis of the "cash flow at risk" approach, the system of the integrated (credit, market, operational and liquidity risks) risk management in a market-maker commercial bank is developed. This system guarantees reaching profitability, liquidity and coverage of banking risks...

Persistent link: https://www.econbiz.de/10011130320

Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR

Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners … report the classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market …

Persistent link: https://www.econbiz.de/10011110035

Asymptotic Arbitrage and the APT with or Without Measure-Theoretic Structures.

Khan, A.; Sun, Y. - Centre de recherche de mathématiques et économie … - 2000

deviations of the individual rates of return from a factor-pricing formula sum to a finite number ; and that this absence, while …

Persistent link: https://www.econbiz.de/10005630650

Arbitrage and Super-Replication Cost with Convex Constraints

Carassus, L.; Pham, H.; Touzi, N. - Centre de recherche de mathématiques et économie … - 1997

martingale measures in discrete time is known as the fundamental Theorem of Asset Pricing. In the presence of convex constraints …

Persistent link: https://www.econbiz.de/10005630750

How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods.

Barras, L.; Isakov, D. - Economics Department, University of Manitoba - 2001

To obtain the maximum benefit from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction stemming from the lowe correlation existing between assets of different countries. The question that we raise in this...

Persistent link: https://www.econbiz.de/10005630835

Connecting Discrete and Continuous Path-Dependent Options

Broadie, M.; Glasserman, P.; Kou, S. - Graduate School of Business, Columbia University - 1997

This paper develops methods for relating the prices of discrete- and continuous-time versions of path-dependent options sensitive to external values of the underlying aset. including lookback, barrier, and hindsight options. The relationships take the form of correction terms that can be...

Persistent link: https://www.econbiz.de/10005630969

Dividends, Earnings and Fundamental Valuation.

Kamstra, M. - 1999

approaches. Extension of this method to pricing initial public offerings (IPOs) is also provided. Careful analysis of price …

Persistent link: https://www.econbiz.de/10005631129

Application of Simple Technical Trading Rules to Swiss Stock Prices: Is It Profitable?

Isakov, D.; Hollistein, M. - Geneva School of Economics and Management, Université … - 1998

This paper tests if the use of simple technical trading rules on Swiss stock prices is profitable. It considers several trading rules based on the crossing of moving averages. The use of bands and oscillators such as the relative strength index or the stochastic indicator is also investigated,...

Persistent link: https://www.econbiz.de/10005634250