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Third Quarter (2009)

0 comments / 14/07/2014 / / Archives, Book Reviews

BOOK REVIEW: The Logic of Life

Volume 7, Number 3, Third Quarter 2009 The Logic of Life Tim Harford Reviewed by Javier Estrada View PDF… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Surveys and Crossovers

SURVEYS: Managing Interest Rate Risk: The Next Challenge?

Sanjay K. Nawalkha and Gloria M. Soto Volume 7, Number 3, Third Quarter 2009 Are the managers of financial institutions ready for the small but increasingly significant risk of inflation in the near future, due to the unprecedented fiscal and monetary responses of the US government to prevent an economic collapse? This paper addresses this… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Case Studies

CASE STUDIES: St. Xavior Parish Church

J. Peter Williamson Volume 7, Number 3, Third Quarter 2009 View PDF… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles

Which Explains an Equity Index’s Return Better, the Change in Its Own Implied Volatility or That for a Broader Index?

Susana Yu and Dean Leistikow Volume 7, Number 3, Third Quarter 2009 This paper examines the proper risk proxy for an equity index. For each of nine indexes, an implied volatility index (VI) is computed from its options. For each, it determines whether the indexes return is explained better by the contemporaneous change in its… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles

The 4% Rule At What Price?

Jason S. Scott, William F. Sharpe and John G. Watson Volume 7, Number 3, Third Quarter 2009 The 4% rule is the advice many retirees follow for managing spending and investing. We examine this rules inefficiencies – the price paid for funding its unspent surpluses and the overpayments made to purchase its spending policy. We… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles

Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints

Alexander D. Healy and Andrew W. Lo Volume 7, Number 3, Third Quarter 2009 In response to the current financial crisis, a number of hedge funds have implemented gates on their funds that restrict withdrawals when the sum of redemption requests exceeds a certain percentage of the funds total assets. To reduce the investors risk… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles

Valuation of Credit Contingent Claims: An Arbitrage-Free Credit Model

Thomas S. Y. Ho and Sang Bin Lee Volume 7, Number 3, Third Quarter 2009 This study extends the generalized Ho-Lee model to the credit derivative swap (CDS) curve movements that ensures the hazard rate movement is arbitrage-free for any given CDS curve. This study shows that the generalized Ho-Lee model is not limited to… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Insight

INSIGHTS: Market Crises Can the Physics of Phase Transitions and Symmetry Breaking Tell Us Anything Useful?

Vineer Bhansali Volume 7, Number 3, Third Quarter 2009 This paper addresses aspects of the current financial market crisis by drawing analogies from the physics of phase transitions. If such an analogy is indeed appropriate, then the evolving dynamics of financial markets might have characteristics that the traditional models of finance will not be able… Read more

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