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The puzzle is that spreads on corporate bonds are about twice as large as can be explained by defaults, taxes and illiquidity. The higher a bond’s rating and the shorter its maturity, the greater is the puzzle. We use a large dataset of bonds to identify the relevant risk factors. Systematic factors fail to generate large spreads, regardless of whether they are conventional (market covariance, ...
anks have ent of VaR lio return. set returns are typically found to be fat-tail distributed. The VaR estimators based on the normal f the risk. ted power ibution of Taiwan, ment of a dress the ing results demonstrate that, due to the flexibility of the power parameters of the conditional tailedness the asset return distributions. Most of the family of EWMA estimators based on power exponential ...
A safety-first investor maximizes expected return subject to a downside risk constraint. w Arzac and Bawa Arzac, E.R., Bawa, V.S., 1977. Portfolio choice and equilibrium in capital x markets with safety-first investors. Journal of Financial Economics 4, 277–288. use the Value at Risk as the downside risk measure. The paper by Gourieroux, Laurent and Scaillet estimates the optimal safety-first p...
Analyses of sequence data from three nuclear genes and one chloroplast gene region for Juniperus blancoi, J. b. var. huehuentensis, J. mucronata, J. scopulorum and J. virginiana revealed that the J. blancoi huehuentensis mucronata complex is closely allied but distinct from J. scopulorum and very distinct from J. virginiana. The combined DNA data support J. mucronata as a sibling species to J. ...
We analyze the performance of RiskMetrics, a widely used methodology for measuring market risk. Based on the assumption of normally distributed returns, the RiskMetrics model completely ignores the presence of fat tails in the distribution function, which is an important feature of financial data. Nevertheless, it was commonly found that RiskMetrics performs satisfactorily well, and therefore t...
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