In: Finance and Stochastics, 2015, vol. 19, no. 2, p. 363-414
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In: Mathematics and Financial Economics, 2015, vol. 9, no. 1, p. 3-27
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Thèse de doctorat : Université de Fribourg, 2020.
This dissertation consists of four independent papers on economically relevant topics that cap- tured my attention because of personal background and professional experiences, such as coming from Ukraine, being an educated woman, living in a bilingual Swiss region and observing people delaying their work. Throughout my papers, I empirically analyze the determinants of individual attitudes ...
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Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO008.
My doctoral thesis examines the relationships among the degree of financial market integration and the pricing of different classes of assets. The first chapter provides a theoretical framework that uncovers in a model-free way the relationship between international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different...
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Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO002.
My dissertation consists of three chapters, each of which focuses on a different area of research in asset pricing. The first chapter deals with the informational role of brokerage firms during fire sales in the equity market. The second chapter exploits the ETF program by the bank of Japan as a quasi-natural experiment to measure the slope of the equity demand curve. The last chapter presents...
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In: Journal of risk and financial management, 2016, vol. 9, no. 1, p. 2
VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest at the short horizons typically used in applications. The computation of CVaR from option price is very...
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Thèse de doctorat : Università della Svizzera italiana, 2018 ; 2018ECO015.
We investigate the shape of risk appetite when the bank is financed also with contingent convertible bonds (CoCos). Our contribution to the existent literature is to assess risk appetite in a multi-dimensional perspective and to account for differences among banks' clusters, especially in a world with CoCos and policy rates approaching zero or negative figures. In our model, the bank objective...
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In: Finance and Stochastics, 2014, vol. 18, no. 2, p. 327-347
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In: Probability Theory and Related Fields, 2014, vol. 160, no. 1-2, p. 391-427
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In: Finance and Stochastics, 2014, vol. 18, no. 1, p. 1-37
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