Archives for LFIN

Birds of a Feather – do Hedge Fund Managers Flock Together? Plazzi Alberto, Swiss Finance Institute Using mandatory filings on the universe of UK hedge funds, we analyze the effect of managerial networks based on past employment. Employment in the same industry and employment in the same firm...

Model-free International Stochastic Discount Factors Andrea Vedolin, London School of Economics We provide a theoretical characterization of international stochastic discount factors (SDFs) in incomplete markets under different degrees of market segmentation. Using 40 years of data on a...

Credit Exposure in the Presence of Initial Margin Michael V.  Pykhtin, Federal Reserve Board It has been widely believed that mandatory posting of initial margin (IM) required by the BCBS-IOSCO margin rules should effectively eliminate counterparty risk from bilateral trading. We apply...

Multiple Curve Interest Rate Modeling Allowing for Negative Rates Ernst Eberlein, University of Freiburg A multiple curve forward process as well as a multiple curve forward rate model is developed. In both approaches time-inhomogeneous Levy processes are used as drivers. Negative...