In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody’s KMV asset values for around 2,000 European firms from 1996 to 2004. We compare correlation and value-atrisk (VaR) estimates in a one–factor or market model and a multi-factor or sec...

Traditionally, the real estate asset assessment is performed by experienced valuators, who take into account its economic, social, physical and locational aspects. Nowadays, the construction industry is becoming more and more influenced by the sustainability requirements. Therefore, the inclusion of the sustainability evaluation into real estate asset valuation is of utmost importance. The Neut...

For many kinds of assets, the growth rate of the real asset stock is a nonlinear function of the economic owner’s decision whether to invest or extract the asset. Examples within the economy are primarily biological assets, both privately owned (such as those found in aquaculature and agriculture) and publicly owned or regulated (such as fish stocks, and in some case, timber stocks.) Optimal ex...

How to optimize returns of an international equity or bond portfolio? Which bets should we make between bonds and stocks on a domestic balanced portfolio? Access to capital markets has become increasingly easier for investors. In this context, the Tactical Asset Allocation (TAA), which refers to how a portfolio's funds would be allocated, given the investor's short-term forecasts, is an essenti...

We consider an asset-liability management (ALM) problem for a defined benefit pension fund (PF). The PF manager is assumed to follow a maximal fund valuation problem facing an extended set of risk factors:  due to the longevity of the    PF members, the inflation affecting salaries in real terms and future incomes, interest rates and market factors affecting jointly the PF liability and asset p...

a r t i c l e i n f o JEL classification: C52 E44 G12 Keywords: Consumption based asset pricing model Multi-factor model Panel estimation Fixed effects This article considers a panel framework to test consumption based asset pricing models driven by a US stock market reference for a number of developed economies. Specifically, we focus on a linearized form of what might be seen as a consumption...