Corporate Governance of Banks and Risk Management by Stockholders [extrait BMI 120]

Corporate Governance of Banks and Risk Management by Stockholders [extrait...

Version numérique PDFThis paper reviews previous and current research on corporate governance in the banking sector through mechanisms in the hands of the shareholders. This is a potentially rich area for research, because of the interplay between governance that is desirable for bank shareholders and governance that is desirable for the regulator. It is...
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Effi ciency in Islamic and Conventional Banks: A Comparative Analysis in the MENA Region [extrait BMI 120]

Effi ciency in Islamic and Conventional Banks: A Comparative Analysis in the...

Version numérique PDFAuteurs :Hassiki Sarra Extrait de la revue BMI 120
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Evolution of the US Stock Market Risk Premium in Periods of Crisis [extrait BMI 120]

Evolution of the US Stock Market Risk Premium in Periods of Crisis [extrait...

Version numérique PDFWe study the evolution of the US stock market risk premium in periods of crisis using a multivariate GARCH-in-Mean model. This topic is particularly interesting as it enables us to learn about investor?s strategies and their attitude vis-à-vis of risk within financial crises. To do so, we estimate in a first step a dynamic CAPM. We...
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Refi nancing and Shareholder Value: Covered Bond Issuances between 2007 and 2010 [extrait BMI 120]

Refi nancing and Shareholder Value: Covered Bond Issuances between 2007 and...

Version numérique PDFThis paper deals with an event study assessing the influence of covered bond issuance on European banks? share prices. Covered bonds are debt securities backed by mortgages. In contrast to CDOs, mortgages remain on the issuer?s consolidated balance sheet. We show that successful covered bond issuances have a positive influence on...
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Regulatory Governance Mechanisms in Banks [extrait BMI 119]

Regulatory Governance Mechanisms in Banks [extrait BMI 119]

Version numérique PDFThis paper reviews the regulatory governance mechanisms that increase banking stability. Deposit insurance is one such mechanism; however, its design may generate a moral hazard. There is consensus on the impact of deposit insurance on increasing risk-taking, but not on the effect of the capital adequacy ratio or on regulation...
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Implied Distribution as a Function of the Volatility Smile [extrait BMI 119]

Implied Distribution as a Function of the Volatility Smile [extrait BMI 119]

Version numérique PDFIn this paper we obtain the risk-neutral density of an underlying asset price as a function of its option implied volatility. We derive a known expression for the density and decompose it into a sum of lognormal and adjustment terms. We also derive no-arbitrage conditions on the volatility smile. We then explain how to use the...
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Optimal Economic Capital and Investment Decisions for a Non-Life Insurance Company [extrait BMI 119]

Optimal Economic Capital and Investment Decisions for a Non-Life Insurance...

Version numérique PDFThis paper develops a theoretical portfolio-based approach to find the economic capital and the optimal assets allocation. The model maximizes a generalized version of the RORAC ratio, under a zero-CVaR constraint. An efficient optimization procedure is proposed. To illustrate the theoretical developments, we give a numerical...
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Option Pricing and Hedging in the Presence of Cross-Hedge Risk [extrait BMI 119]

Option Pricing and Hedging in the Presence of Cross-Hedge Risk [extrait BMI 119]

Version numérique PDFThis paper addresses the question of option pricing and hedging when the underlying asset is not available for dynamic trading, and some other asset is used as a substitute. We first provide an overview of the various hedging methodologies that can be used in this incomplete market setting, distinguishing between self-financing and...
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Focus on... The Individual Investor [extrait BMI 118]

Focus on... The Individual Investor [extrait BMI 118]

Version numérique PDFStandard financial theory does not distinguish categories of investors, in terms of optimal portfolios or trading strategies. Obviously there is a gap between individual investors and mutual funds because the investment problem is quite different, due to constraints, market imperfections and behavioral biases. In this paper we focus...
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On the Performance of Socially Responsible Investing: Further Evidence [extrait BMI 118]

On the Performance of Socially Responsible Investing: Further Evidence...

Version numérique PDFWe examine the relation between corporate social performance and stock portfolios performances. Based on Kinder, Lydenberg and Domini social performance ratings, the study constructs and evaluates different sets of equity portfolios that differ in social performance. The high-ranked portfolios provide, in most cases, higher average...
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Is the KIID Sufficient to Associate Portfolios to Investor Profiles? [extrait BMI 118]

Is the KIID Sufficient to Associate Portfolios to Investor Profiles? [extrait...

Version numérique PDFWith the Key Investor Information Document (KID), the new UCITS IV framework brings a useful standardized and simplified scheme to explain the risk of mutual funds to non-professional investors. The Synthetic Risk and Reward Indicator (SRRI) methodology defines how to assess a volatility equivalent for each type of funds, and...
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The Great Divergence: French Equity Premium is Lower and Riskier than the US since WWI [extrait BMI 118]

The Great Divergence: French Equity Premium is Lower and Riskier than the US...

Version numérique PDFIn this paper, we compare the US and French risk premium computed on high quality data. We confirm that the US risk premium has been constantly higher. We also show that the US equity outperformance is even higher when we compute the price of risk. Indeed, the US equity risk has been lower than the French one since 1917. The two world...
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