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Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as of Notional interest rate futures options and to investigate how traders reacted to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...

Persistent link: https://www.econbiz.de/10005036199

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as of Notional interest rate futures options and to investigate how traders react to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...

Persistent link: https://www.econbiz.de/10005646662

The Expectation Theory: Tests on French, German, and American Euro-Rates.

Jondeau, E.; Ricart, R. - Banque de France - 1996

This paper deals with tests of the expectations hypothesis of the term structure on French, German, UK and US short-term interest rates. Three tests are examined: the first is based on forward rates and the other two are based on the interest rates spread. First, we show that the puzzle...

Persistent link: https://www.econbiz.de/10005036221

The Expectation Theory: Tests on French, German, and American Euro-Rates.

Jondeau, E.; Ricart, R. - Banque de France - 1996

This paper presents test of the expectations theory of the term structure on French, German and American interest rates.

Persistent link: https://www.econbiz.de/10005646669

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

La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières

Coffinet, J. - Banque de France - 2008

Persistent link: https://www.econbiz.de/10008528497

An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia.

Mouabbi, S. - Banque de France - 2014

This paper uses a risk-averse formulation of the uncovered interest rate parity to determine exchange rates through interest rate differentials, and ultimately extract currency risk premia. The method proposed consists of developing an affine Arbitrage-Free class of dynamic Nelson-Siegel term...

Persistent link: https://www.econbiz.de/10011096780

Estimating Gram-Charlier Expansions with Positivity Constraints.

Jondeau, E.; Rockinger, M. - Banque de France - 1999

Gram-Charlier expansion have become popular in Finance as a generalization over the normality assumption. Even though Gram-Charlier expansions allow for a certain flexibility over skewness and kurtosis they have the unfortunate drawback of sometimes yielding negative densities. The goal of this...

Persistent link: https://www.econbiz.de/10005487055

Estimating Gram-Charlier Expansions with Positivity Constraints.

Jondeau, E.; Rockinger, M. - Banque de France - 1998

The Gram-Charlier expansion, where skewness and kurtosi directly appear as parameters, has become popular in Finance as a generalization of the normal density. We show how positivity constraints can be numerically implemented, thereby guaranteeing that the expansion defines a density. The...

Persistent link: https://www.econbiz.de/10005036204

Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market.

Avouyi-Dovi, S.; Idier, J. - Banque de France - 2010

We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the … between financial institutions to market participants that bear new liquidity risk on the market associated with collateral … are used as collateral both in the open market operations of the ECB and on the interbank market. We use a time …

Persistent link: https://www.econbiz.de/10008516105

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