Martin Eling
Title
Prof. Dr.
Last Name
Eling
First name
Martin
Email
martin.eling@unisg.ch
ORCID
Phone
+41 71 224 7980
Web Site
58 results
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Item type:Publication, Does Hedge Fund Performance Persist? Overview and New Empirical EvidenceThe contribution of this paper is to provide an overview and new empirical evidence on hedge fund performance persistence, which has been a controversial issue in the academic literature during the last several years. In the first step, we review recent studies and put them into a joint evaluation of hedge fund performance persistence. In the second step, the methodological framework developed in the overview is used to present new empirical evidence. We find different levels of performance persistence depending on the statistical methodology and the hedge fund strategy employed. In our study, performance persistence cannot be explained by the use of option-like strategies, but it can be partially explained by survivorship and backfilling bias. Differences among hedge fund strategies might be explained by return smoothing. Finally, we develop a rationale for choosing between different methodologies to measure performance persistence and conclude that the multi-period Kolmogorov-Smirnov test is the most useful for evaluating performance persistence of hedge fundsType:journal articleJournal:European Financial ManagementVolume:15Issue:2Scopus© Citations 48 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Minimum Standards for Investment Performance: A New Perspective on Non-Life Insurer SolvencyThe aim of this paper is to develop an alternative approach for assessing an insurer's solvency as a proposal for a standard model for Solvency II. Instead of deriving minimum capital requirements-as is done in solvency regulation-our model provides company-specific minimum standards for risk and return of investment performance, given the distribution structure of liabilities and a predefined safety level. The idea behind this approach is that in a situation of weak solvency, an insurer's asset allocation can be adjusted much more easily in the short term than can, for example, claims cost distributions, operating expenses, or equity capital. Hence, instead of using separate models for capital regulation and solvency regulation-as is typically done in most insurance markets-our single model will reduce the complexity and costs for insurers as well as for regulators. In this paper, we first develop the model framework and second test its applicability using data from a German non-life insurer.Type:journal articleJournal:Insurance: Mathematics and EconomicsVolume:45Issue:1Scopus© Citations 23 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Good and Bad News on Capital Market Return EllipticityThe article presents the findings of the study concerning the effect of elliptical distribution to returns in capital markets. It notes that elliptical distributions may be specified through the mean, variance, and density generator. Moreover, the Capital Assets Pricing Model retains validity to the elliptical distributions. It points out that the empirical research studies the 500 stock returns reveals by January 1990 to December 2004. It states that the good outcome reveals that best return rate is the log-logistic while the bad result shows that funds for the portfolio should be held in subset funds in the distribution to maintain CAPM.Type:journal articleJournal:Atlantic Economic JournalVolume:37Issue:2 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Modeling and Management of Nonlinear Dependencies - Copulas in Dynamic Financial AnalysisThe aim of this paper is to study the influence of nonlinear dependencies on a nonlife insurers risk and return profile. To achieve this, we integrate several copula models in a dynamic financial analysis (DFA) framework and conduct numerical tests within a simulation study. We also test several risk management strategies in response to adverse outcomes generated by nonlinear dependencies. We find that nonlinear dependencies have a crucial influence on the insurers risk profile that can hardly be affected by the analyzed management strategies. Depending on the copula concept employed, we find large differences in risk assessment for the ruin probability and for the expected policyholder deficit. This has important implications for regulators and rating agencies that use these risk measures as a foundation for capital standards and ratings.Type:journal articleJournal:Journal of Risk and InsuranceVolume:76Issue:3Scopus© Citations 35 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Risk and return of reinsurance contracts under copula modelsType:journal articleJournal:European Journal of FinanceVolume:15Issue:7-8Scopus© Citations 3 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Does the Measure Matter in the Mutual Fund Industry?It is frequently noted that investment funds with a nonnormal return distribution cannot be adequately evaluated using the classic Sharpe ratio. However, recent research compared the Sharpe ratio with other performance measures and found virtually identical rank ordering using hedge fund data. We extend this research by analyzing a large data set of 38,954 funds investing in seven different asset classes. We find that the research result is true not only for hedge funds, but also for mutual funds investing in stocks, bonds, and real estate, funds of hedge funds, commodity trading advisors, and commodity pool operators. This finding has serious implications for performance measurement in the investment industry: the choice of performance measure is not critical to fund evaluation and the Sharpe ratio is generally adequate for analyzing hedge funds and mutual funds.Type:journal articleJournal:Financial Analysts JournalVolume:64Issue:3 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The Swiss Solvency Test and its Market ImplicationsIn this paper, we first discuss the characteristics and major benefits of the Swiss risk-based capital standards for insurance companies (Swiss Solvency Test), introduced in 2006. As the insurance industry is one of the largest institutional investors in Switzerland, changes to its asset and liability management as a result of the new regulatory framework could have striking economic effects. Thus, we further examine significant market implications for the Swiss economy due to possible changes in the asset and liability management of Swiss insurance companies. We investigate resulting effects on the Swiss capital market, focusing on bond, real estate, stock, foreign exchange markets, and the situation in case of a capital market crisis. Furthermore, we analyze potential consequences to corporate financing and product design. Most of the considered consequences result from the transition of past (in principle not risk-based) supervision to risk-based supervision and can thus be generalized to other supervision systems, in particular Solvency II.Type:journal articleJournal:Geneva Papers on Risk and InsuranceVolume:33Issue:3Scopus© Citations 23 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, An Overview and Comparison of Risk-Based Capital StandardsThis article provides an overview and comparison of risk-based capital (RBC) requirements as they currently exist in the United States, the European Union, Switzerland, and New Zealand. These four systems are representative of different ways capital standards are implemented around the globe. The United States uses a static factor model; Switzerland considers dynamic cash-flow-based approaches; New Zealand integrates private rating agencies into its supervisory process. Other differences between these three countries include the use of different risk measures, the use of internal models, and varying consideration of operational risk and catastrophe risk. Regulators in the European Union are being influenced by all three of these approaches as they finalize the design of their new regulatory framework Solvency II. We integrate the current version of this approach in our analysis.Type:journal articleJournal:Journal of Insurance RegulationVolume:26Issue:4 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Understanding Price Competition in German Motor InsuranceThis paper analyzes price competition in the German motor insurance market since 1994 and looks for evidence to back up a claim frequently found in the trade literature-that there have been two recent price wars in this industry, the first in 1996-1999, the second in 2005-2006. In a first step, we analyze development of the German motor insurance market and compare it to that of other property-liability lines of business. In a second step the applicability of price war definitions found in the marketing literature to the German motor insurance market is checked. In a third step, a comparison to reference cases from other industries, where price wars have been subject to academic analysis, is conducted to complement the analysis. We conclude that, contrary to reports in the trade literature, the periods of 1996-1999 and 2005-2006 should be considered as times of in-tense competition in the motor insurance industry, not as times of price war.Type:journal articleJournal:Zeitschrift für die gesamte VersicherungswissenschaftVolume:97Issue:Supplement 1Scopus© Citations 11 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Management Strategies and Dynamic Financial AnalysisDynamic financial analysis (DFA) has become an important tool in analyzing the financial situation of insurance companies. Constant development and documentation of DFA tools has occurred during the last years. However, several questions concerning the implementation of DFA systems have not been answered in the DFA literature to date. One such important issue is the consideration of management strategies in the DFA context. The aim of this paper is to study the effects of different management strategies on a non-life insurer's risk and return profile. Therefore, we develop several management strategies and test them numerially within a DFA simulation study.Type:journal articleJournal:VarianceVolume:2Issue:1