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CONTENTS OF THE JULY 2004 ISSUE Vol.72(2)
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![]() GENERAL ARTICLES Difficultés de calculer les cotes
des swaps de volatilité Consultation publique sur les
fusions du secteur financier : une synthèse des réponses des participants
EVALUATED ARTICLES La structure par terme des taux
de défaut et ratings Le risque systémique : revue de la
littérature COLUMNS
Current Events Chair's Chronicle Insurance and Risk
Management Financial Risk Management Actuarial Chronicle Major Risks Technical Study
L’autorité des marchés financiers
LA STRUCTURE PAR TERME DES TAUX DE DÉFAUT ET RATINGS The
aim of this paper is to describe and compare the rating principles used by the
main rating agencies (Standard & Poor’s, Moody’s and Fitch) with the benchmark
scoring developed by the Banque de France. In particular, we analyse the term
structures of default and rating and the dynamic of transition matrices.
LE RISQUE
SYSTÉMIQUE : REVUE DE LA LITTÉRATURE Our
study is interested on systemic risk. The aim is to display theoretical and
empirical developments dealing with this concept. All over this paper, we
distinguish between two cases: the banking markets as a first case and the
payment and settlement system as a second case. Besides, we focus our attention
on some policies that would be applied in order to prevent from such a risk.
Difficultés de
calculer les cotes des swaps de volatilité
Volatility swaps and variance swaps are new derivative products in fashion since
1998. This paper presents an analytical solution to compute the quotation of a
volatility swap and examine its limits. This analytical solution was found by
Javaheri, Wilmott and Haug (2002) and it uses a GARCH (1,1) process to estimate
the volatility of the returns of the financial instrument studied. We apply this
procedure to estimate the quotations of volatility swaps of differing maturities
written on the S&P TSX60 index of the Toronto Stock Exchange. We have written a
Visual Basic (Excel) program to compute these quotes. A simulation of the model
revealed that it is very sensible to the estimation of its parameters,
particularly the speed of adjustment of the instantaneous variance and the
degree of kurtosis in the distribution of returns. A too small speed of
adjustment or a too high kurtosis might kill the volatility swap. These results
being more pronounced for long term swaps, we might question the use of the
analytical solution to price long term swaps. In view of the recent advent of
volatility swaps, we hope that our contribution on this subject will help the
financial analyst to better grasp the computation of a volatility swap quotation.
CONSULTATION PUBLIQUE SUR LES FUSIONS DU SECTEUR
FINANCIER : UNE SYNTHÈSE DES RÉPONSES DES PARTICIPANTS This
paper presents a synthesis of the public response to the consultation initiative
taken during Fall 2003 by the Federal Government on the subject of mergers
between large financial institutions. Issues outlined are related to cross
pillar and large insurance company mergers, public interest determination,
possible guidelines for the future structure of the financial services sector,
divestitures, full functionality of ATMs, foreign bank entry, and credit unions.
Among the contributors are banks, life-insurance companies, credit union
representatives, consumer interest groups and other independent participants.
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Last updated: July 2004
Insurance and Risk Management Journal, revue.assurances@hec.ca © HEC Montréal, 2004 All rights reserved. |
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