Publications des institutions partenaires
Relative Implied-Volatility Arbitrage with Index Options
This study investigates the efficiency of markets as to the relative pricing of similar risk by using implied volatilities of options on highly correlated indexes and a statistical arbitrage strategy to profit from potential mispricings. It first analyzes the interrelationships over time of the 3 most highly correlated and liquid pairs of US stock indexes. Based on this analysis, the…
Institution partenaire
English / 01/11/2002
VaR for nonlinear financial instruments - linear approximation or full Monte Carlo?
Institution partenaire
English / 01/09/2001
Monetary Policy and the Fisher Effect
Historical estimates of the informational content in the yield curve may not be relevant after a change in monetary policy. This study uses a small dynamic rational expectations model with staggered price setting to study how monetary policy affects the relation between nominal interest rates, inflation expectations, and real interest rates. The benchmark parameters, including the…
Institution partenaire
English / 01/07/2001
Do Risk-Adjusted Pricing and the New Basel Capital Accord Reinforce the Credit Cycle?
Institution partenaire
English / 01/06/2001
Tracking Error and Tactical Asset Allocation
The relationship between statistical measures of tracking error and asset allocation restrictions expressed as admissible weight ranges is discussed. Tracking errors are typically calculated as annualized second moments of return differentials between a portfolio and a benchmark. In practice, however, constraints on tactical deviations from benchmark weights are often imposed on the…
Institution partenaire
English / 01/03/2001
Performance and Characteristics of Swedish Mutual Funds
This paper studies the relation between fund performance and fund attributes in the Swedish market. Performance is measured as the alpha in a linear regression of fund returns on several benchmark assets, allowing for time-varying betas. The estimated performance is then used in a cross-sectional analysis of the relation between performance and fund attributes such as past…
Institution partenaire
English / 01/09/2000
Evaluating the Long-Term Risk of Equity Investments in a Portfolio Insurance Framework
The impact of the time horizon upon the risk of equity investments is still a controversial issue. In this paper, we analyse long-term risk in a portfolio insurance framework based on option pricing theory. The insurance strategies are implemented alternatively with a portfolio of stocks and put options or bonds and call options. The risk of stock holdings is measured by the…
Institution partenaire
English / 01/07/2000
Market Expectations in the UK Before and After the ERM Crisis
The British pound left the ERM on 16 September 1992 after a period of turbulence. UK monetary policy soon shifted to lower short interest rates and an inflation target was announced. This paper uses daily option prices to estimate how the market's probability distribution of the future marks/pound exchange rate and UK and German interest rates changed over the summer and autumn…
Institution partenaire
English / 01/02/2000
The Credit Model Risk of Interest-Rate Derivatives and Regulatory Implications
Institution partenaire
English / 01/01/2000
Evaluating Portfolio Performance with Stochastic Discount Factors
Institution partenaire
English / 01/07/1999
An Interpretation of SDF Based Performance Measures
Institution partenaire
English / 01/01/1999
Solution and Estimation of RE Macromodels with Optimal Policy
Macro models of monetary policy typically involve forward looking behavior. Except in rare circumstances, we have to apply some numerical method to find the optimal policy and the rational expectations equilibrium. This paper summarizes a few useful methods, and shows how they can be combined with a Kalman filter to estimate the deep model parameters with maximum likelihood.…
Institution partenaire
English / 01/01/1999
Nominal Interest Rates as Indicators of Inflation Expectations
Institution partenaire
English / 01/01/1998
New Techniques to Extract Market Expectations from Financial Instruments
This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates and inflation. More recently, these methods have been refined to rely on implied forward…
Institution partenaire
English / 01/10/1997
Applied Cointegration Analysis in the Mirror of Macroeconomic Theory
Institution partenaire
English / 01/07/1996
What size should banks want to be?
Contents
1. The optimal size of a single bank depends on the technology
2. To which degree should a bank wish to be regulated?
3. Banks versus capital markets
Institution partenaire
English / 01/01/1996
Comment on Sherwin Rosen, "Managerial Compensation, Control, and Investment"
Institution partenaire
English / 01/01/1995
Cyclical Properties of a Real Business Cycle Model
Institution partenaire
English / 01/12/1994
International Spillovers in an Endogenous Growth Model
Institution partenaire
English / 01/09/1994
Intervention Policy and Mean Rversion in Exchange Rate Target Zone: The Swedish Case
Institution partenaire
English / 01/01/1994
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