When Financial Derivatives can be Applied to the Real Economy [extrait BMI 142]

When Financial Derivatives can be Applied to the Real Economy [extrait BMI 142]

Version numérique PDFProduct complexity of financial derivatives makes them little accessible to most investors. To help investors better understand these instruments, it is important to show how these sophisticated products work in a ?real economy? context by focusing on the economic rationale rather than on quantitative skills. Exotic options are...
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Economic-financial Literacy and Pension Reforms [extrait BMI 134]

Economic-financial Literacy and Pension Reforms [extrait BMI 134]

Version numérique PDFFinancial literacy has important implications for economic reforms. Reforms are meant to change people?s behavior and their effectiveness crucially depends on the ability of citizens to recognize and generally approve their necessity, their general design, and their ?sense of direction.? Without basic understanding by citizens,...
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Beneath the Sovereign Debt Iceberg [extrait BMI 124]

Beneath the Sovereign Debt Iceberg [extrait BMI 124]

Version numérique PDFIgnoring the explicit and implicit pension liabilities when assessing the solvency of the EU-27 countries gives a distorted view of their relative situations. After a short analysis of the main demographic, economic, and political determinants that could influence pension projections, we perform an estimation exercise analogous to...
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An Empirical Analysis of the Benefits of Inflation-Linked Bonds [extrait BMI 124]

An Empirical Analysis of the Benefits of Inflation-Linked Bonds [extrait BMI...

Version numérique PDFThis paper proposes an empirical analysis of the welfare gains involved in introducing various assets with inflation-hedging properties for long-term investors facing inflationlinked liabilities. Using formal intertemporal spanning tests, we find that interest rate risk dominates inflation risk so dramatically within instantaneous...
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Beneath the Sovereign Debt Iceberg [extrait BMI 124]

Beneath the Sovereign Debt Iceberg [extrait BMI 124]

Version numérique PDFEU-27 countries gives a distorted view of their relative situations. After a short analysis of the main demographic, economic, and political determinants that could influence pension projections, we perform an estimation exercise analogous to that of Mink (2008). Using several fixed discount rate hypotheses, we compute the net present...
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An Empirical Analysis of the Benefits of Inflation- Linked Bonds [extrait BMI 124]

An Empirical Analysis of the Benefits of Inflation- Linked Bonds [extrait BMI...

Version numérique PDFThis paper proposes an empirical analysis of the welfare gains involved in introducing various assets with inflation-hedging properties for long-term investors facing inflationlinked liabilities. Using formal intertemporal spanning tests, we find that interest rate risk dominates inflation risk so dramatically within instantaneous...
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Problem Loans in the MENA Countries [extrait BMI 121]

Problem Loans in the MENA Countries [extrait BMI 121]

Version numérique PDFThe paper empirically analyses the determinants of problem loans and the potential impact of both business and institutional environ¬ment on credit risk exposure of banks in the MENA region. Looking at a sample of 46 banks in 12 countries over the period 2002-2006, we find that, among bank specific factors, high credit growth, loan...
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Investors Expectations and Preferences during the Financial Crisis [extrait BMI 120]

Investors Expectations and Preferences during the Financial Crisis [extrait...

Version numérique PDFThis paper examines how the investors? expectations of the stock market evolve over the ten-year period from 1999 to 2008. In the past decade, the U.S. stock market experienced two major crises, with a relatively steady growth period in between. Using options implied risk neutral distributions to proxy for investors? expectations, the...
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Momentum Investing over the Last Twenty Years in France [extrait BMI 118]

Momentum Investing over the Last Twenty Years in France [extrait BMI 118]

Version numérique PDFThe paper investigates momentum investment strategies for the French Security Market during the most recent twenty years. The aims are to test whether such strategies perform persistently, i.e. they remain profitable today consistent with earlier literature, and if so, whether they areabnormal and if there has been an effect from the...
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Performance of Socially Responsible Investment Funds against an Effi cient SRI Index [extrait BMI 117]

Performance of Socially Responsible Investment Funds against an Effi cient...

Version numérique PDFThis paper conducts a performance measurement of Socially Responsible (SRI) funds and assesses the impact of changing the reference from a standard SRI index to an efficient SRI index. While usual SRI indices simply weight SRI-screened stocks by market cap, or sustainability scores, efficient SRI indices apply an optimal weighting...
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An arbitrage-free interest rate model consistent [extrait BMI 116]

An arbitrage-free interest rate model consistent [extrait BMI 116]

Version numérique PDFThis paper proposes an Heath-Jarrow-Morton model of the yield curve that can fit the particular requirements of long-term asset and liability management (ALM). In particular, the proposed HJM model can reproduce expected long-term statistical properties of any two interest rates, while still satisfying the no-arbitrage constraints. We...
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Passive Investing before and after the Crisis [extrait BMI 110]

Passive Investing before and after the Crisis [extrait BMI 110]

Version numérique PDFInvestment in ETFs  has been remarkably robust in the course of the recent financial crisis. This paper analyses investors? perceptions of ETFs and other indexing products by comparing the answers to two surveys of ETF users carried out in 2008 and 2009. We find that the crisis has divided the ETF market in two segments. Whereas ETFs...
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