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A value at risk analysis of credit default swaps

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

also observe a positive correlation between CDS and equity VaR. … bei längeren Haltedauern. Wir beobachten weiter eine positive Korrelation zwischen dem CDS - VaR und dem Aktien - VaR. …

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

Market conditions, default risk and credit spreads

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

are decreasing in GDP growth rate, but increasing in GDP growth volatility. We document that credit spreads are lower when … volatility raises credit spreads. More importantly, we demonstrate that the impact of market conditions on credit spreads is … Wachstum korreliert, geringere Kreditspreads aufweisen als solche mit einer schwachen Cashflow-Korrelation. Im Einklang mit den …

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

correlation risk premium. This premium, which covaries negatively with current realized correlations and positively with future … realized correlations, sheds light on market perceptions of and attitude towards correlation risk. …

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

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

Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - Deutsche Bundesbank - 2009

detail. In the next step, the asset correlation associated with a CDO tranche is estimated treating the structured instrument … “virtual” borrower or bond for which a single-factor model holds. Then, the correlation parameter is calculated via a non …-factor model and to express the dependence on the systematic risk factor via the corresponding asset correlation. It turns out that …

Persistent link: https://www.econbiz.de/10008509634

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

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

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

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

Early warning indicators for the German banking system: A macroprudential analysis

Jahn, Nadya; Kick, Thomas - Deutsche Bundesbank - 2012

Over the past two decades, Germany experienced several periods of banking system instability rather than full-blown banking system crises. In this paper we introduce a continuous and forward-looking stability indicator for the banking system based on information on all financial institutions in...

Persistent link: https://www.econbiz.de/10010957094