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Time-Varying Asset Volatility and the Credit Spread Puzzle 时变资产波动率与信用价差之谜
Paris December 2011 Finance Meeting EUROFIDAI - AFFI (Archive) Pub Date : 2018-03-17 DOI: 10.2139/ssrn.1943575
Du Du, Redouane Elkamhi, Jan Ericsson
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引用次数: 54
Outsourcing in the International Mutual Fund Industry: An Equilibrium View 国际共同基金业的外包:一个均衡的观点
Paris December 2011 Finance Meeting EUROFIDAI - AFFI (Archive) Pub Date : 2014-09-01 DOI: 10.2139/ssrn.1943479
O. Chuprinin, M. Massa, David Schumacher
{"title":"Outsourcing in the International Mutual Fund Industry: An Equilibrium View","authors":"O. Chuprinin, M. Massa, David Schumacher","doi":"10.2139/ssrn.1943479","DOIUrl":"https://doi.org/10.2139/ssrn.1943479","url":null,"abstract":"type=\"main\"> We study outsourcing relationships among international asset management firms. We find that, in companies that manage both outsourced and in-house funds, in-house funds outperform outsourced funds by 0.85% annually (57% of the expense ratio). We attribute this result to preferential treatment of in-house funds via the preferential allocation of IPOs, trading opportunities, and cross-trades, especially at times when in-house funds face steep outflows and require liquidity. We explain preferential treatment with agency problems: it increases with the subcontractor's market power and the difficulty of monitoring the subcontractor, and decreases with the subcontractor's amount of parallel in-house activity.","PeriodicalId":145187,"journal":{"name":"Paris December 2011 Finance Meeting EUROFIDAI - AFFI (Archive)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116544600","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 55
An Economic Evaluation of the Model Risk for Risk Models 风险模型的模型风险的经济评价
Paris December 2011 Finance Meeting EUROFIDAI - AFFI (Archive) Pub Date : 2011-10-13 DOI: 10.2139/ssrn.1943605
Bertrand B. Maillet, C. Boucher, P. Kouontchou
{"title":"An Economic Evaluation of the Model Risk for Risk Models","authors":"Bertrand B. Maillet, C. Boucher, P. Kouontchou","doi":"10.2139/ssrn.1943605","DOIUrl":"https://doi.org/10.2139/ssrn.1943605","url":null,"abstract":"The recent experience from the global financial crisis has raised serious doubts about the accuracy of standard risk measures as a tool to quantify extreme downward risks. Standard risk measures are subject to a “model risk” due to the specification and estimation uncertainty. We propose a general adjustment of the Value-at-Risk to compute risk measures robust to the model risk. The proposed procedure aims empirically adjusting the imperfect quantile estimate assessing the good quality of VaR models such as frequency exceptions, independence of violations and magnitude of violations. Based on a long sample of U.S. data, we find an inverse U-shape relation between VaR model errors and the horizon: corrections (for model errors) are higher for short-term horizons but are also increasing for long-term horizons. We also provide a fair comparison between the main risk models using the same metric that corresponds to model risk required corrections.","PeriodicalId":145187,"journal":{"name":"Paris December 2011 Finance Meeting EUROFIDAI - AFFI (Archive)","volume":"91 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130489451","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Were Multinational Bank Taking Excessive Risks Before the Recent Financial Crisis? 金融危机前跨国银行是否存在过度风险?
Paris December 2011 Finance Meeting EUROFIDAI - AFFI (Archive) Pub Date : 2011-10-12 DOI: 10.2139/ssrn.1942944
C. Pinheiro, A. Gulamhussen, A. Pozzolo
{"title":"Were Multinational Bank Taking Excessive Risks Before the Recent Financial Crisis?","authors":"C. Pinheiro, A. Gulamhussen, A. Pozzolo","doi":"10.2139/ssrn.1942944","DOIUrl":"https://doi.org/10.2139/ssrn.1942944","url":null,"abstract":"The recent financial crisis has clearly shown that the relationship between bank internationalization and risk is complex. Previous scholars have argued that multinational banks benefit from portfolio diversification because it reduces their overall riskiness. However, researchers have radically questioned this argument on the grounds that these banks face perverse incentives, which lead them to take excessive risks. Because both theses are grounded on solid theoretical arguments, the true risks level of bank internationalization is an empirical issue. In this paper, we study the relationship between bank internationalization and risk in the period prior to the recent financial crisis. We consider market-based, forward-looking indicators (i.e., expected default frequency (EDF), credit default swaps (CDS), the Sharpe ratio, and the implied volatility of option prices on bank stock) and balance-sheet-based backward-looking measures (i.e., Z-score and earnings volatility) of excess risk for a sample of 384 listed banks from 56 countries from 2001 to 2007 and relate them to the degree of internationalization of the banks’ activities. We find robust evidence that international diversification increases bank risk.","PeriodicalId":145187,"journal":{"name":"Paris December 2011 Finance Meeting EUROFIDAI - AFFI (Archive)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131649254","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Recovering Nonlinear Dynamics from Option Prices 从期权价格中恢复非线性动力学
Paris December 2011 Finance Meeting EUROFIDAI - AFFI (Archive) Pub Date : 2011-06-14 DOI: 10.2139/ssrn.1944051
Raul Gonzalez, O. Scaillet, Alexandre Engulatov
{"title":"Recovering Nonlinear Dynamics from Option Prices","authors":"Raul Gonzalez, O. Scaillet, Alexandre Engulatov","doi":"10.2139/ssrn.1944051","DOIUrl":"https://doi.org/10.2139/ssrn.1944051","url":null,"abstract":"Using the wavelet-Galerkin method for solving partial integro-differential equations, we derive an implement computationally efficient formula for pricing European options on assets driven by multivariate jump-diffusions. This pricing formula is then used to solve the inverse problem of estimating the corresponding risk-neutral coefficient functions of the underlying jump-diffusions from observed option data. The ill-posedness of this estimation problem is proved, and a consistent estimation technique employing Tikhonov regularization is proposed. Using S&P 500 Index option data, it is shown that the coefficient functions in a stochastic volatility model with jumps are nonlinear, contrary to the affine specification widely used in the literature.","PeriodicalId":145187,"journal":{"name":"Paris December 2011 Finance Meeting EUROFIDAI - AFFI (Archive)","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122587156","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Stressing Correlations and Volatilities - A Consistent Modeling Approach 强调相关性和波动性-一致的建模方法
Paris December 2011 Finance Meeting EUROFIDAI - AFFI (Archive) Pub Date : 2011-05-31 DOI: 10.2139/ssrn.1944050
Chris Becker, Wolfgang M. Schmidt
{"title":"Stressing Correlations and Volatilities - A Consistent Modeling Approach","authors":"Chris Becker, Wolfgang M. Schmidt","doi":"10.2139/ssrn.1944050","DOIUrl":"https://doi.org/10.2139/ssrn.1944050","url":null,"abstract":"We propose a new approach to the definition of stress scenarios for volatilities and correlations. Correlations and volatilities depend on a common market factor, which is the key to stressing them in a consistent and intuitive way. Our approach is based on a new asset price model where correlations and volatilities depend on the current state of the market, which captures market-wide movements in equity-prices. For sample portfolios we compare correlations and volatilities in a normal market and under stress and explore consequences for value-at-risk. We compare our modeling approach with multivariate GARCH models. For all data analyzed our model proved to be superior in capturing the dynamics of volatilities and correlations.","PeriodicalId":145187,"journal":{"name":"Paris December 2011 Finance Meeting EUROFIDAI - AFFI (Archive)","volume":"62 7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124828102","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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