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Default, liquidity and crises: an econometric framework
Monfort, A.; Renne, J-P. - Banque de France - 2011
In this paper, we present a general discrete-time affine framework aimed at jointly modeling yield curves associated with different debtors. The underlying fixed-income securities may differ in terms of credit quality and/or in terms of liquidity. The risk factors follow conditionally Gaussian...
Persistent link: https://www.econbiz.de/10009275672
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Credit and Liquidity in Interbank Rates: a Quadratic Approach.
Dubecq, S.; Monfort, A.; Renne, J-P.; Roussellet, G. - Banque de France - 2013
We propose a quadratic term-structure model of the EURIBOR-OIS spreads. Contrary to OIS, EURIBOR rates incorporate credit and liquidity risks resulting in compensations for (a) facing default risk of debtors, and (b) possible unexpected funding needs on the lender’s side. Our approach allows...
Persistent link: https://www.econbiz.de/10010815975
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Pricing Default Events: Surprise, Exogeneity and Contagion.
Gouriéroux, C.; Monfort, A.; Renne, J-P. - Banque de France - 2013
In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically price the default intensities, but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the...
Persistent link: https://www.econbiz.de/10010815976
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Asset Pricing with Second-Order Esscher Transforms.
Monfort, A.; Pegoraro, F. - Banque de France - 2012
historical and the risk-neutral state vector dynamics which is wider than the one implied by a classical exponential …
Persistent link: https://www.econbiz.de/10010815981
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Regime Switching and Bond Pricing.
Gouriéroux, C.; Monfort, A.; Pegoraro, F.; Renne, J-P. - Banque de France - 2013
This article proposes an overview of the usefulness of the regime switching approach for building various kinds of bond pricing models and of the roles played by the regimes in these models. Both default-free and defaultable bonds are considered. The regimes can be used to capture stochastic...
Persistent link: https://www.econbiz.de/10010816014
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Switching VARMA Term Structure Models - Extended Version.
Monfort, A.; Pegoraro, F. - Banque de France - 2007
capture simultaneously the following important features : (i) an historical dynamics of the factor driving term structure …
Persistent link: https://www.econbiz.de/10004998827
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No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.
Jardet, C.; Monfort, A.; Pegoraro, F. - Banque de France - 2009
Macroeconomic questions involving interest rates generally require a reliable joint dynamics of a large set of … reliable predictions of some key variables. Second, it must be able to propose a joint dynamics of some macroeconomic variables … interactions of this large set of variables is based on the statistical notion of New Information Response Function, recently …
Persistent link: https://www.econbiz.de/10005034720
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Econometric Asset Pricing Modelling.
Bertholon, H.; Monfort, A.; Pegoraro, F. - Banque de France - 2008
three main ingredients: (i) the historical discrete-time dynamics of the factor representing the information, (ii) the … Stochastic Discount Factor (SDF), and (iii) the discrete-time risk-neutral (R.N.) factor dynamics. Retaining an exponential …-Car) historical dynamics and a Car R.N. dynamics leading to explicit or quasi explicit pricing formulas for various derivative …
Persistent link: https://www.econbiz.de/10005036212
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Credit and liquidity risks in euro area sovereign yield curves
Monfort, A.; Renne, J-P. - Banque de France - 2011
In this paper, we propose a model of the joint dynamics of euro-area sovereign yield curves. The arbitrage …
Persistent link: https://www.econbiz.de/10009371432