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Albanese, Claudio; Brigo, Damiano; Oertel, Frank - Deutsche Bundesbank - 2013

credit and debit valuation adjustments (CVA and DVA). Depending on how the default contingency is accounted for, we list a …

Persistent link: https://www.econbiz.de/10010957120

Time series properties of a rating system based on financial ratios

Krüger, Ulrich; Stötzel, Martin; Trück, Stefan - Deutsche Bundesbank - 2005

This paper provides an overview on classical and new methods for testing time series properties of migration matrices. It is well known that due to cyclical behaviour of the economy transition matrices for many credit portfolios cannot be considered to be constant through time. Further,...

Persistent link: https://www.econbiz.de/10005082757

A value at risk analysis of credit default swaps

Scheicher, Martin; Raunig, Burkhard - Deutsche Bundesbank - 2008

We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity. Our sample consists of CDS – stock price pairs for 86 actively traded firms over the period...

Persistent link: https://www.econbiz.de/10005082760

Market conditions, default risk and credit spreads

Tang, Dragon Yongjun; Yan, Hong - Deutsche Bundesbank - 2008

This study empirically examine the impact of market conditions on credit spreads as motivated by recently developed structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads are decreasing in GDP growth rate, but increasing...

Persistent link: https://www.econbiz.de/10005082769

The pricing of correlated default risk: evidence from the credit derivatives market

Zhu, Haibin; Tarashev, Nikola A. - Deutsche Bundesbank - 2008

In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall...

Persistent link: https://www.econbiz.de/10005082786

The Forecasting Performance of German Stock Option Densities

Keller, Joachim; Glatzer, Ernst; Craig, Ben R.; … - Deutsche Bundesbank - 2003

In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...

Persistent link: https://www.econbiz.de/10005083099

Forecasting the price of crude oil via convenience yield predictions

Knetsch, Thomas A. - Deutsche Bundesbank - 2006

The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from the cost-of-carry relationship. In a recursive...

Persistent link: https://www.econbiz.de/10005083300

Does modeling framework matter? A comparative study of structural and reduced-form models

Gündüz, Yalin; Uhrig-Homburg, Marliese - Deutsche Bundesbank - 2011

This study provides a rigorous empirical comparison of structural and reduced-form credit risk frameworks. As major difference we focus on the discriminative modeling of default time. In contrast to previous literature, we calibrate both approaches to bond and equity prices. By using same input...

Persistent link: https://www.econbiz.de/10009024637

Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?

Scharnagl, Michael; Stapf, Jelena - Deutsche Bundesbank - 2014

We tackle two questions in this paper: In the sovereign debt crisis, what moves the euro area inflation outlook and has the firm anchoring of medium to long-term inflation expectations been touched? Deriving densities from a new data set on options on the euro area harmonized index of consumer...

Persistent link: https://www.econbiz.de/10010957128

Money market derivatives and the allocation of liquidity risk in the banking sector

Hakenes, Hendrik; Fecht, Falko - Deutsche Bundesbank - 2006

Money markets have two functions, the allocation of liquidity and the processing of information. We develop a model … that due to its size, a large bank receives a more precise signal about the overall liquidity development in the banking … sector. In an upcoming liquidity shortage this large bank can exploit its informational advantage in the spot money market by …

Persistent link: https://www.econbiz.de/10005082808