tactical timing of low volatility equity strategies
... the low volatility strategy was still above 9%. Moreover, in terms of risk-adjusted returns as measured by the Sharpe Ratio the two were even closer (0.09 difference). Though the expectation of interest rates increasing further might be widespread, generally central banks have indicated that this wi ...
... the low volatility strategy was still above 9%. Moreover, in terms of risk-adjusted returns as measured by the Sharpe Ratio the two were even closer (0.09 difference). Though the expectation of interest rates increasing further might be widespread, generally central banks have indicated that this wi ...
A bank is a place that will lend you money if you can prove
... Using Option Valuation Models to Value Loans • Figure 4.1 loan payoff = Figure 4.2 payoff to the writer of a put option on a stock. • Value of put option on stock = equation (4.1) = f(S, X, r, , ) where S=stock price, X=exercise price, r=risk-free rate, =equity volatility,=time to maturity. Val ...
... Using Option Valuation Models to Value Loans • Figure 4.1 loan payoff = Figure 4.2 payoff to the writer of a put option on a stock. • Value of put option on stock = equation (4.1) = f(S, X, r, , ) where S=stock price, X=exercise price, r=risk-free rate, =equity volatility,=time to maturity. Val ...
Value at Risk - Binus Repository
... Value portfolio today Sample once from the multivariate distributions of the xi Use the xi to determine market variables at end of one day Revalue the portfolio at the end of day Options, Futures, and Other Derivatives 6th Edition, Copyright © John C. Hull 2005 ...
... Value portfolio today Sample once from the multivariate distributions of the xi Use the xi to determine market variables at end of one day Revalue the portfolio at the end of day Options, Futures, and Other Derivatives 6th Edition, Copyright © John C. Hull 2005 ...
NBER WORKING PAPER SERIES INTERNATIONAL CONSUMPTION RISK IS SHARED AFTER ALL:
... misleading results about risk-sharing since these preferences restrict the risk aversion parameter to equal the inverse of the intertemporal elasticity of substitition (IES) in consumption. The risk aversion parameter measures how much consumers value reduction in the variability of current period c ...
... misleading results about risk-sharing since these preferences restrict the risk aversion parameter to equal the inverse of the intertemporal elasticity of substitition (IES) in consumption. The risk aversion parameter measures how much consumers value reduction in the variability of current period c ...
Taste, information, and asset prices: Implications for the valuation of
... Our analysis starts with a model of a pure exchange economy with a single risky asset and perfectly competitive, risk-averse investors. We assume that there are two types of investors who we label type 1 and type 2. The risky asset represents shares in a …rm that generates cash and engages in CSR ac ...
... Our analysis starts with a model of a pure exchange economy with a single risky asset and perfectly competitive, risk-averse investors. We assume that there are two types of investors who we label type 1 and type 2. The risky asset represents shares in a …rm that generates cash and engages in CSR ac ...
International Financial Reporting Standard 13 Fair Value
... Fair value is a market-based measurement, not an entity-specific measurement. For some assets and liabilities, observable market transactions or market information might be available. For other assets and liabilities, observable market transactions and market information might not be available. Howe ...
... Fair value is a market-based measurement, not an entity-specific measurement. For some assets and liabilities, observable market transactions or market information might be available. For other assets and liabilities, observable market transactions and market information might not be available. Howe ...
Fair Value of Life Liabilities with Embedded Options: an Application
... The most common types of life policies issued by italian companies present two intimately linked faces: one actuarial and the other financial. From an actuarial point of view, these products provide a financial service to individuals that wish to insure themselves against financial losses which coul ...
... The most common types of life policies issued by italian companies present two intimately linked faces: one actuarial and the other financial. From an actuarial point of view, these products provide a financial service to individuals that wish to insure themselves against financial losses which coul ...
GCD Discount Rate - Global Credit Data
... (WG). The WG does not provide a “correct” number for the discount rate but derives guiding principles for Loss rate Given Default (LGD) discount rate approaches. The WG has analyzed five main discount rate approaches: ...
... (WG). The WG does not provide a “correct” number for the discount rate but derives guiding principles for Loss rate Given Default (LGD) discount rate approaches. The WG has analyzed five main discount rate approaches: ...
How suitable is the Fama-French ve-factor model for
... According to asset pricing theory, assets earn risk premiums when they are exposed to underlying systematic risk factors. It is however still an unanswered question what these risk factors are. The research around this topic can be split into two groups. First, there are theoretical approaches tryin ...
... According to asset pricing theory, assets earn risk premiums when they are exposed to underlying systematic risk factors. It is however still an unanswered question what these risk factors are. The research around this topic can be split into two groups. First, there are theoretical approaches tryin ...
Backtesting Value-at-Risk based on Tail Losses Woon K. Wong
... rightly decided the frequency-of-exceptions method that is simple and straightforward to implement. Though size-based backtests of ES have recently been proposed by Berkowitz (2001) and Kerkhof and Melenberg (2004), they rely on large sample to converge to the required limiting distribution. The bac ...
... rightly decided the frequency-of-exceptions method that is simple and straightforward to implement. Though size-based backtests of ES have recently been proposed by Berkowitz (2001) and Kerkhof and Melenberg (2004), they rely on large sample to converge to the required limiting distribution. The bac ...
Options on Energy Portfolios in an HJM Framework
... nature of spot prices, currency exchange rates and convenience yields. Interest rate risk is also mentioned, but is not included in the numerical implementation. The analytic framework is heavily inspired by Miltersen and Schwartz (1998); however, while they allow the interest rate to be stochastic ...
... nature of spot prices, currency exchange rates and convenience yields. Interest rate risk is also mentioned, but is not included in the numerical implementation. The analytic framework is heavily inspired by Miltersen and Schwartz (1998); however, while they allow the interest rate to be stochastic ...
Estimating Structural Models of Corporate Bond Prices
... to equity prices in the estimation leads to significantly different estimates. Including bond price data in the estimation also seems to reduce the equity pricing errors of the models, sometimes quite dramatically. This in turn means that whatever the merit of structural models, if they are estimate ...
... to equity prices in the estimation leads to significantly different estimates. Including bond price data in the estimation also seems to reduce the equity pricing errors of the models, sometimes quite dramatically. This in turn means that whatever the merit of structural models, if they are estimate ...
Mathematical modeling and analysis of options with jump
... one with exponential and the second with an absolute value function). All of these researchers assumed that the price of the underlying asset and its volatility are uncorrelated. Heston (1993) releases this assumption when offered a model that uses a square-root volatility function and a volatility ...
... one with exponential and the second with an absolute value function). All of these researchers assumed that the price of the underlying asset and its volatility are uncorrelated. Heston (1993) releases this assumption when offered a model that uses a square-root volatility function and a volatility ...
Sensitivity, Hedging, and the "Greeks" (PDF)
... (c) For a particular scripting language of your choice, modify the script to draw a graph of Γ versus t for a call option on an at-themoney stock, with K = 50, r = 0.10, σ = 0.25, T − t = 0.25. (d) For a particular scripting language of your choice, modify the script to draw the graph of Γ versus S ...
... (c) For a particular scripting language of your choice, modify the script to draw a graph of Γ versus t for a call option on an at-themoney stock, with K = 50, r = 0.10, σ = 0.25, T − t = 0.25. (d) For a particular scripting language of your choice, modify the script to draw the graph of Γ versus S ...
CTAs: Shedding light on the black box
... CTA allocation. 6. CTAs can disappoint on a standalone basis (calendar annual or short term in general) but make a lot of sense in a portfolio context. They broadly de-risk traditional assets while re-risking hedge fund portfolios. This may not be the consensus view but we believe it was the source ...
... CTA allocation. 6. CTAs can disappoint on a standalone basis (calendar annual or short term in general) but make a lot of sense in a portfolio context. They broadly de-risk traditional assets while re-risking hedge fund portfolios. This may not be the consensus view but we believe it was the source ...
THE EVOLVING RESIDENTIAL GROUND RENT MARKET
... over a longer period of time directly from housebuilders or existing investors. The advantages of such an approach include the avoidance of having to bid overly aggressively to secure stock. However, such a strategy takes a significant amount of time to employ and build scale. Larger investors have ...
... over a longer period of time directly from housebuilders or existing investors. The advantages of such an approach include the avoidance of having to bid overly aggressively to secure stock. However, such a strategy takes a significant amount of time to employ and build scale. Larger investors have ...
Expected Returns on Major Asset Classes
... DDM-based expected return on stocks. According to this way of thinking, the equity risk premium is an artifact, a derived quantity that depends on the time and place for which it is being estimated. Other premia, or differences of asset class expected returns, have the same characteristic. Ibbotson ...
... DDM-based expected return on stocks. According to this way of thinking, the equity risk premium is an artifact, a derived quantity that depends on the time and place for which it is being estimated. Other premia, or differences of asset class expected returns, have the same characteristic. Ibbotson ...
Credit Ratings and The Cross
... significant only during periods of credit rating downgrades. During such periods, low quality firms experience substantial deterioration in their operating and financial performance, and are sold by institutional investors leading to considerable price drops. The deteriorating fundamental performance i ...
... significant only during periods of credit rating downgrades. During such periods, low quality firms experience substantial deterioration in their operating and financial performance, and are sold by institutional investors leading to considerable price drops. The deteriorating fundamental performance i ...