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Performance of advanced stock price models when it becomes exotic: an empirical study 先进股票价格模型在变得奇异时的表现:一项实证研究
IF 1 Q4 BUSINESS, FINANCE Pub Date : 2021-08-28 DOI: 10.1007/s10436-021-00396-2
Gero Junike, Wim Schoutens, Hauke Stier

We calibrate several advanced stock price models to a time series of real market data of European options on the DAX. Via a Monte Carlo simulation, we price barrier down-and-out call options for all models and compare the modeled prices to given real market data of the barrier options. The Bates model reproduces barrier option prices very well. The BNS model overvalues and Lévy models with stochastic time-change and leverage undervalue the exotic options. The Heston model and a local volatility model undervalue the barrier option prices by about 5–6%. A heuristic analysis suggests that the different degree of fluctuation of the random paths of the models are responsible of producing different prices for the barrier options. Higher margins or additional risks like liquidity, calibration or model risk might economically explain why many advanced models undervalue barrier options.

我们在DAX上将几个先进的股票价格模型校准为欧洲期权的真实市场数据的时间序列。通过蒙特卡罗模拟,我们对所有模型的向下和向外看涨期权定价,并将建模的价格与给定的实际市场数据进行比较。贝茨模型很好地再现了障碍期权的价格。BNS模型高估了奇异期权,而具有随机时间变化和杠杆作用的Lévy模型低估了奇异期权。赫斯顿模型和局部波动率模型低估了障碍期权价格约5-6%。启发式分析表明,模型随机路径的不同程度的波动是产生不同价格的原因。更高的利润率或额外的风险,如流动性、校准或模型风险,可能从经济上解释了为什么许多先进的模型低估了障碍期权的价值。
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引用次数: 2
Deposit insurance and reinsurance 存款保险和再保险
IF 1 Q4 BUSINESS, FINANCE Pub Date : 2021-07-29 DOI: 10.1007/s10436-021-00387-3
Volker Britz, Hans Gersbach, Hans Haller

We study the consequences and optimal design of bank deposit insurance and reinsurance in a general equilibrium setting. The model involves two production sectors, financed by bonds and bank loans, respectively. Financial intermediation by banks is required in the model as we assume that one of the production sectors is risky and requires monitoring by banks. Households fund banks through deposits and equity. Deposits are explicitly insured and banks pay a premium per unit of deposits. Any remaining shortfall is implicitly guaranteed by the government. Two types of equilibria emerge: One type of equilibria supports the Pareto optimal allocation. In the other type, bank lending and the default risk are excessively large. The intuition is as follows: the combination of financial intermediation by banks, limited liability of bank shareholders, and deposit insurance makes deposits risk-free from the individual households’ perspective, although they involve risk from the societal point of view. This distorts investment choices and the resulting input allocation to production sectors. We show, however, that a judicious combination of deposit insurance and reinsurance eliminates all non-optimal equilibrium allocations. Our paper thus may provide a benchmark result for policy proposals advocating deposit insurance cum reinsurance.

我们研究了一般均衡环境下银行存款保险和再保险的后果和优化设计。该模式涉及两个生产部门,分别由债券和银行贷款提供资金。模型中需要银行进行金融中介,因为我们假设其中一个生产部门存在风险,需要银行进行监控。家庭通过存款和股权为银行提供资金。存款有明确的保险,银行为每单位存款支付保费。任何剩余的短缺都由政府暗中保证。出现了两种类型的均衡:一种类型的平衡支持帕累托最优分配。另一类是银行放贷和违约风险过大。直觉如下:银行的金融中介、银行股东的有限责任和存款保险的结合使存款从个人家庭的角度来看是无风险的,尽管从社会的角度来看它们涉及风险。这扭曲了投资选择以及由此产生的对生产部门的投入分配。然而,我们表明,存款保险和再保险的明智组合消除了所有非最优均衡分配。因此,我们的论文可以为提倡存款保险兼再保险的政策建议提供一个基准结果。
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引用次数: 2
On the money creation approach to banking 论银行业的货币创造方法
IF 1 Q4 BUSINESS, FINANCE Pub Date : 2021-07-27 DOI: 10.1007/s10436-021-00385-5
Salomon Faure, Hans Gersbach

We study today’s two-tier money creation and destruction system: Commercial banks create bank deposits (privately created money) through loans to firms or asset purchases from the private sector. Bank deposits are destroyed when households buy bank equity or when firms repay loans. Central banks create electronic central bank money (publicly created money or reserves) through loans to commercial banks. In a simple general equilibrium setting, we show that symmetric equilibria yield the first-best level of money creation and lending when prices are flexible, regardless of monetary policy and capital regulation. When prices are rigid, we identify the circumstances in which money creation is excessive or breaks down and the ones in which an adequate combination of monetary policy and capital regulation can restore efficiency. Finally, we provide a series of extensions and generalizations of the results.

我们研究了今天的双层货币创造和破坏系统:商业银行通过向公司贷款或从私营部门购买资产来创造银行存款(私人创造的货币)。当家庭购买银行股权或公司偿还贷款时,银行存款就会被摧毁。中央银行通过向商业银行发放贷款来创建电子中央银行货币(公开创建的货币或储备)。在一个简单的一般均衡设置中,我们表明,当价格灵活时,无论货币政策和资本监管如何,对称均衡都会产生第一个最佳的货币创造和贷款水平。当价格是刚性的时,我们确定了货币创造过度或崩溃的情况,以及货币政策和资本监管的适当结合可以恢复效率的情况。最后,我们对结果进行了一系列的推广和推广。
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引用次数: 7
Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging 分数Barndorf-Nielsen和Shephard模型:在方差和波动率互换以及套期保值中的应用
IF 1 Q4 BUSINESS, FINANCE Pub Date : 2021-07-13 DOI: 10.1007/s10436-021-00394-4
Nicholas Salmon, Indranil SenGupta

In this paper, we introduce and analyze the fractional Barndorff-Nielsen and Shephard (BN-S) stochastic volatility model. The proposed model is based upon two desirable properties of the long-term variance process suggested by the empirical data: long-term memory and jumps. The proposed model incorporates the long-term memory and positive autocorrelation properties of fractional Brownian motion with (H>1/2), and the jump properties of the BN-S model. We find arbitrage-free prices for variance and volatility swaps for this new model. Because fractional Brownian motion is still a Gaussian process, we derive some new expressions for the distributions of integrals of continuous Gaussian processes as we work towards an analytic expression for the prices of these swaps. The model is analyzed in connection to the quadratic hedging problem and some related analytical results are developed. The amount of derivatives required to minimize a quadratic hedging error is obtained. Finally, we provide some numerical analysis based on the VIX data. Numerical results show the efficiency of the proposed model compared to the Heston model and the classical BN-S model.

本文介绍并分析了分数阶Barndorf-Nielsen和Shephard(BN-S)随机波动率模型。所提出的模型基于经验数据提出的长期方差过程的两个理想性质:长期记忆和跳跃。所提出的模型结合了分数布朗运动的长期记忆和正自相关性质(H>;1/2),以及BN-S模型的跳跃性质。我们找到了这个新模型的方差和波动率掉期的无套利价格。由于分数布朗运动仍然是一个高斯过程,我们在研究这些交换价格的解析表达式时,导出了连续高斯过程积分分布的一些新表达式。结合二次套期保值问题对该模型进行了分析,并得到了一些相关的分析结果。获得了最小化二次套期保值误差所需的导数量。最后,我们基于波动率指数数据进行了一些数值分析。数值结果表明,与Heston模型和经典的BN-S模型相比,所提出的模型是有效的。
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引用次数: 19
Model uncertainty on commodity portfolios, the role of convenience yield 模型不确定性对商品投资组合、便利收益的作用
IF 1 Q4 BUSINESS, FINANCE Pub Date : 2021-07-07 DOI: 10.1007/s10436-021-00393-5
Junhe Chen, Marcos Escobar-Anel

This paper investigates the effect of model uncertainty on the performance of commodity-based portfolios. We consider a constant relative risk aversion (CRRA) utility maximizer investor in a complete market, with independent ambiguity-aversion levels for the three factors explaining the term structure of future prices, namely, spot prices, convenience yield (CY) and interest rates (IRs), as proposed in the seminal work of Schwartz (J Finance 52(3): 923–973, 1997). This generic investor is interested in the speculative component of the investment rather than possessing/consuming the physical commodity. We obtain closed-form solutions for optimal investments, optimal perturbations (alternative model) and value functions in line with the robust portfolio setting of Maenhout (Rev Financial Stud 17(4): 951–983, 2004). Our main focus is on the effect of convenience yield’s uncertainty on the optimal analysis. We estimate the model by applying a combination of maximum likelihood estimation (MLE) and Kalman Filter (KF) techniques, to two commodities: West Texas Intermediate (WTI) and copper future prices. The analysis demonstrates that uncertainty on the CY factor could be the largest contributor to the under-performance of a commodities portfolio, with wealth equivalent losses (WELs) in the ranges of 33% to 88% (WTI), and 7% to 31% (copper). Moreover, small variations, of up 25%, on CY’s covariance parameters could lead to a WEL of up to 40% (WTI, lesser volatility of CY).

本文研究了模型不确定性对基于商品的投资组合绩效的影响。正如Schwartz的开创性工作(J Finance 52(3):923–9731997)所提出的那样,我们考虑了一个完整市场中的恒定相对风险厌恶(CRRA)效用最大化投资者,其对解释未来价格期限结构的三个因素,即现货价格、便利收益率和利率,具有独立的模糊厌恶水平。这种普通投资者对投资的投机成分感兴趣,而不是拥有/消费实物商品。根据Maenhout的稳健投资组合设置,我们获得了最优投资、最优扰动(替代模型)和价值函数的闭式解(Rev Financial Stud 17(4):951–9832004)。我们的主要关注点是便利收益率的不确定性对最优分析的影响。我们通过将最大似然估计(MLE)和卡尔曼滤波器(KF)技术结合应用于两种商品来估计模型:西德克萨斯中质原油(WTI)和铜期货价格。分析表明,CY因素的不确定性可能是商品投资组合表现不佳的最大因素,财富等价损失(WEL)在33%至88%(WTI)和7%至31%(铜)之间。此外,CY协方差参数的小变化,高达25%,可能导致高达40%的WEL(WTI,CY的波动较小)。
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引用次数: 0
Systemic risk measurement: bucketing global systemically important banks 系统性风险测量:对全球系统重要性银行进行分类
IF 1 Q4 BUSINESS, FINANCE Pub Date : 2021-07-07 DOI: 10.1007/s10436-021-00391-7
Marina Brogi, Valentina Lagasio, Luca Riccetti

The general consensus on the need to enhance the resilience of the financial system has led to the imposition of higher capital requirements for certain institutions, supposedly based on their contribution to systemic risk. Global Systemically Important Banks (G-SIBs) are divided into buckets based on their required additional capital buffers ranging from 1% to 3.5%. We measure the marginal contribution to systemic risk of 26 G-SIBs using the Distressed Insurance Premium methodology proposed by Huang et al. (J Bank Financ 33:2036–2049, 2009) and examine ranking consistency with that using the SRISK of Acharya et al. (Am Econ Rev 102:59–64, 2012). We then compare the bucketing using the two academic approaches and supervisory buckets. Because it leads to capital surcharges, bucketing should be consistent, irrespective of methodology. Instead, discrepancies in the allocation between buckets emerge and this suggests the complementary use of other methodologies.

关于需要增强金融系统弹性的普遍共识导致对某些机构施加了更高的资本要求,据称是基于它们对系统性风险的贡献。全球系统重要性银行(G-SIBs)根据其所需的1%至3.5%的额外资本缓冲划分为多个类别。我们使用Huang等人提出的不良保险费方法(J Bank Financ 33:2036–20492009)来衡量26家全球系统重要性银行对系统风险的边际贡献,并使用Acharya等人的SRISK来检验排名的一致性等人(《美国经济评论》第102:59–642012)。然后,我们使用两种学术方法和监督桶对桶进行比较。因为它会导致资本附加费,所以无论方法如何,分段都应该是一致的。相反,桶之间的分配出现了差异,这表明需要补充使用其他方法。
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引用次数: 5
Birds of a feather: separating spillovers from shocks in sovereign default 物以类聚:主权违约中溢出效应与冲击的分离
IF 1 Q4 BUSINESS, FINANCE Pub Date : 2021-06-23 DOI: 10.1007/s10436-021-00392-6
Ryan Rudderham

In this paper, I propose a tractable model of sovereign default and the inter-state spillovers emanating from default. A coalition of nations may choose to insure against default, and the behavior of the coalition is used to examine the magnitude of the international spillovers. A voting structure for the coalition is proposed to examine idiosyncratic spillovers. The model is calibrated to the recent Greek Debt crisis to understand the spillovers from a default, and the moral hazard effect of the Troika. I find that spillover effects are large. If the rest of the world defaulted, this would create a loss equivalent to a permanent 9% decrease in government spending. Counterfactual experiments reveal that default would be prevalent without the IMF, suggesting that the own-penalty to defaulting has decreased since the IMF’s creation.

在本文中,我提出了一个易于处理的主权违约和违约产生的国家间溢出的模型。一个国家联盟可以选择为违约提供保险,联盟的行为被用来检验国际溢出效应的大小。提出了联盟的投票结构,以考察特殊的溢出效应。该模型根据最近的希腊债务危机进行了校准,以了解违约的溢出效应以及三驾马车的道德风险效应。我发现溢出效应很大。如果世界其他地区违约,这将造成相当于政府支出永久减少9%的损失。反事实实验表明,如果没有国际货币基金组织,违约将普遍存在,这表明自国际货币基金会成立以来,对违约的惩罚已经减少。
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引用次数: 0
Economic profitability and (non)additivity of residual income 经济盈利能力和(非)剩余收益的可加性
IF 1 Q4 BUSINESS, FINANCE Pub Date : 2021-06-18 DOI: 10.1007/s10436-021-00388-2
Carlo Alberto Magni

We show that the standard notion of residual income (RI) does not fulfill additive coherence. This gives rise to ambiguities and inconsistencies. The pitfall resides in the capital charge, which blends a non-market value with a market rate. We solve the problem by using a capital charge based on economic return, obtained as the product of a market value and a market rate. The resultant economic RI enjoys additivity. The economic RI is naturally associated to the average Return on Investment (ratio of total income to total invested capital). Subtracting the respective cost of capital (ratio of total economic return to total invested capital) the marginal economic efficiency of the capital is correctly captured. Economic RI guarantees consistency among the various sets of incomes, book values, economic values, accounting rates, and costs of capital, under an investment perspective as well as a financing one, both at a period level and at an aggregate level, either assuming time-invariant or time-varying costs of capital. Therefore, the economic RI offers a coherent tool for the assessment of a project’s or firm’s economic efficiency.

我们证明了剩余收入的标准概念不满足加性一致性。这导致了歧义和不一致。陷阱在于资本费用,它将非市场价值与市场利率相结合。我们通过使用基于经济回报的资本费用来解决这个问题,经济回报是市场价值和市场利率的乘积。由此产生的经济RI具有可加性。经济RI自然与平均投资回报率(总收入与总投资资本的比率)相关。减去各自的资本成本(总经济回报与总投资资本的比率),资本的边际经济效率被正确地捕获。经济RI保证各种收入、账面价值、经济价值、会计利率和资本成本之间的一致性,无论是从投资角度还是从融资角度,无论是在期间水平还是在总水平,都假设资本成本是时不变的或时变的。因此,经济RI为评估项目或企业的经济效率提供了一个连贯的工具。
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引用次数: 2
A stock market model based on CAPM and market size 基于CAPM和市场规模的股票市场模型
IF 1 Q4 BUSINESS, FINANCE Pub Date : 2021-05-31 DOI: 10.1007/s10436-021-00390-8
Brandon Flores, Blessing Ofori-Atta, Andrey Sarantsev

We introduce a new system of stochastic differential equations which models dependence of market beta and unsystematic risk upon size, measured by market capitalization. We fit our model using size deciles data from Kenneth French’s data library. This model is somewhat similar to generalized volatility-stabilized models. The novelty of our work is twofold. First, we take into account the difference between price and total returns (in other words, between market size and wealth processes). Second, we work with actual market data. We study the long-term properties of this system of equations, and reproduce observed linearity of the capital distribution curve. In the “Appendix”, we analyze size-based real-world index funds.

我们引入了一个新的随机微分方程组,该方程组模拟了市场贝塔和非系统风险对规模的依赖性,以市值衡量。我们使用Kenneth French数据库中的十分位数数据来拟合我们的模型。该模型在某种程度上类似于广义波动稳定模型。我们工作的新颖性是双重的。首先,我们考虑了价格和总回报之间的差异(换句话说,市场规模和财富过程之间的差异)。其次,我们使用实际的市场数据。我们研究了这个方程组的长期性质,并再现了观察到的资本分布曲线的线性。在“附录”中,我们分析了基于规模的真实世界指数基金。
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引用次数: 1
Valuation of R&D compound option using Markov chain approach 基于Markov链方法的R&D复合期权定价
IF 1 Q4 BUSINESS, FINANCE Pub Date : 2021-05-31 DOI: 10.1007/s10436-021-00389-1
Guglielmo D’Amico, Giovanni Villani

Incorporation of technical risk in compound real options has been considered in Cassimon et al. (2011) concerning the valuation of multi-stage pharmaceutical R&D. There, the technical success probabilities at each development stage were assumed to be generated independently of each other. This assumption can be unrealistic in many applied problems, pharmaceutical R&D included. We present a valuation procedure dealing with dependent success probabilities and random development stage times. This greater flexibility allows a better description of the sequence of decision stages and results, which in turn, impact the value of the considered project. The theoretical results are illustrated through a numerical example that shows the implementation of the model to a pharmaceutical R&D problem.

Cassimon等人已经考虑将技术风险纳入复合实物期权。(2011)关于多阶段药物R&;D.在那里,假设每个开发阶段的技术成功概率是相互独立产生的。这种假设在许多应用问题中可能是不现实的;包括D。我们提出了一个处理依赖成功概率和随机发展阶段时间的估值程序。这种更大的灵活性可以更好地描述决策阶段和结果的顺序,这反过来又会影响所考虑项目的价值。通过一个算例说明了该模型在制药R&;D问题。
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引用次数: 3
期刊
Annals of Finance
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