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Pricing sovereign contingent convertible debt
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2017-11)
We develop a pricing model for sovereign contingent convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's credit default swap CDS spread. One innovation is the modeling of CDS spread regime switching ...
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2016-04)
We develop robust models for optimization of the VaR and CVaR risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and covariance matrix. We formulate models for ...
Pricing and Hedging GDP-Linked Bonds in Incomplete Markets
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2017-09)
We model the super-replication of payoffs linked to a country's GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging ...
Independent directors and defined benefit pension plan freezes
(2018)
We study the role of outside directors in defined benefit pension plan freezes, where the interests of shareholders are in apparent conflict with the interests of firm employees. We examine the effect of independent directors ...
National culture and bank risk-taking
(2019)
We investigate the relation between national cultural values and bank risk. Despite the rigid transnational regulatory oversight of systemic European banks, we find evidence of an economically significant association between ...