Search results for "Active management"
showing 3 items of 3 documents
Portfolio diversification in the sovereign credit swap markets
2018
We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient idiosyncratic risk to be diversified. However, we identify regime switching in the times series of CDS spreads and spread returns, and the optimal diversified strategies can be regime dependent. The developed models trade off the CVaR risk measure against expected return, consistently with the statistical properties of spreads. We consider three investment strategies suited for different CDS market participants: for investors with long positions, speculators that hold unco…
German Bank Lending During Emerging Market Crises: A Bank Level Analysis
2007
This paper studies German bank lending during the Asian and Russian crises, using a bank level data set, which has been compiled from credit data at the Deutsche Bundesbank. Our aim is to gain more insight into the pattern of German bank lending during financial crises in emerging markets. We find that German banks reacted to the Asian crisis mainly by reallocating their portfolios among emerging markets. This behaviour is consistent with active portfolio management and does not necessarily indicate a spontaneous reaction to the Asian crisis. By contrast, the banks' behaviour during the Russian crisis is characterised by a general withdrawal from emerging markets. The use of micro data allo…
Cattle seed dispersal services and perspectives for management in a high biodiversity Mediterranean silvopastoral system
2019
In Mediterranean traditional silvopastoral systems are composed mostly with oaks, with an overall lack of fleshy-fruited species, key elements in Mediterranean flora. A mixed composition may enhance biodiversity and diversify fodder for livestock, and at the same time guarantee higher resistance, resilience and a richer network of ecological interactions. Here we investigated the interactions of cattle and native fleshy-fruited species in a high biodiversity silvopastoral system inside the last large forest remnant in western Sicily, Italy. Along two fruiting seasons we used sampling transects covering the gradient from the forest to the pastureland and analyzed 132 cattle dungs, of which 4…