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An Empirical Comparison of Default Swap Pricing Models

Houweling, Patrick; Vorst, Ton - EconWPA - 2001

In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works well for...

Persistent link: https://www.econbiz.de/10005413092

GARCH Option Pricing Under Skew

ABOURA, Sofiane - EconWPA - 2004

European style options for various maturities. The beauty of this model is to have used the standard GARCH theory in an option … of the volatility skew. We get severe mispricing for deep out- of-the-money and short term call options, which tend to … regime in the implied volatility surface judging from the transformation observed from smiles to skews. …

Persistent link: https://www.econbiz.de/10005561655

The Geometry of Payoff Spaces

Hendrickx, Marcel - EconWPA - 2002

We show how payoff spaces can be used to study minimum-variance unbiased estimators and give a proof of Barankin's theorem for finite sample spaces and for samples of size one.

Persistent link: https://www.econbiz.de/10005561688

Value Creation and Profit Optimization

Winther, K. Tobias - EconWPA - 2002

The present paper develops a basic framework for evaluating and optimizing profits in a business operation. In developing a business we are often faced with an infinity of choices ranging from what products or services to sell and what customers to target to how to structure and manage the...

Persistent link: https://www.econbiz.de/10005561773

The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework

Altay, Erdinc - EconWPA - 2003

This paper uses factor analytic techniques for deriving factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of economic factors on asset returns in an APT framework. The factor structure of the German economy yields...

Persistent link: https://www.econbiz.de/10005076970

A survey on risk-return analysis

Galagedera, Don U.A. - EconWPA - 2004

conditional on time-varying volatility. …

Persistent link: https://www.econbiz.de/10005561561

Stock Valuation and Investment Strategies

Chen, Zhiwu; Dong, Ming - EconWPA - 2004

This article studies the relative investment performance of several stock-valuation measures. The first is mispricing based on the valuation model developed by Bakshe and Chen (1998)and extended by Dong (1998) (hereafter, the BCD model). The BCD model relates, in closed form, a stock's fair...

Persistent link: https://www.econbiz.de/10005561689

A Generalized Earnings-Based Stock Valuation Model

Dong, Ming; Hirshleifer, David - EconWPA - 2004

This paper provides a model for valuing stocks that takes into account the stochastic processes for earnings and interest rates. Our analysis differs from past research of this type in being applicable to stocks that have a positive probability of zero or negative earnings. By avoiding the...

Persistent link: https://www.econbiz.de/10005561702

How Does Systematic Risk Impact Stocks? A Study On the French Financial Market

Hayette, Gatfaoui - EconWPA - 2004

prevailing in a Black & Scholes (1973) world are assumed to hold. Based on daily data, the results show that the level of the … implied market factor and its instantaneous return’s volatility are leptokurtic distributed. Having a proxy for the systematic … the prevailing relationship between the weekly rolling volatility of the return of the implied market factor and weekly …

Persistent link: https://www.econbiz.de/10005561708

Valuing defaultable bonds: an excursion time approach

Nardon, Martina - EconWPA - 2005

Recently there has been some interest in the credit risk literature in models which involve stopping times related to excursions. The classical Black-Scholes-Merton-Cox approach postulates that default may occur, either at or before maturity, when the firm's value process falls below a critical...

Persistent link: https://www.econbiz.de/10005561733

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