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Predicting Financial Distress in a High-Stress Financial World: The Role of Option Prices as Bank Risk Metrics

Coffinet, Jérôme; Pop, Adrian; Tiesset, Muriel - HAL - 2010

The current financial crisis offers a unique opportunity to investigate the leading properties of market indicators in a stressed environment and their usefulness from a banking supervision perspective. One pool of relevant information that has been little explored in the empirical literature is...

Persistent link: https://www.econbiz.de/10008793854

What drives option prices ?

Abergel, Frédéric; Zaatour, Riadh - HAL - 2012

We rely on high frequency data to explore the joint dynamics of underlying and option markets. In particular, high frequency data make observable the realized variance process of the underlying, so its effects on option price dynamics are tested. Empirical results are confronted with the...

Persistent link: https://www.econbiz.de/10010541432

Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios

Amédée-Manesme, Charles-Olivier; Baroni, Michel; … - HAL - 2011

use of Monte Carlo simulations and options theory. Our method considers the options embedded in Continental European lease … extent the options exercised by the tenant significantly affect the owner's income. Our main findings are that simulated cash … flows which take account of such options are more reliable that those usually computed by the traditional method of …

Persistent link: https://www.econbiz.de/10009647579

Are derivatives dangerous?

Capelle-Blancard, Gunther - HAL - 2010

Since the 1970s, the financial system has undergone deep structural changes. Innovation has been a key driver of these changes and most economists acknowledge that the impact has been positive overall. However, each time a financial crisis arises, the debate is on. Derivatives especially, which...

Persistent link: https://www.econbiz.de/10010605339

What drives option prices ?

Abergel, Frédéric; Zaatour, Riadh - HAL - 2012

Persistent link: https://www.econbiz.de/10010898539

Control-theoretic framework for a quasi-Newton local volatility surface inversion

Turinici, Gabriel - HAL - 2009

We investigate in this paper the recovery of the local volatility surface in a parametric framework similar to that of Coleman, Li and Verma [4]. The quality of a surface is assessed through a functional which is optimized; the specificity of the approach is to separate the optimization on the...

Persistent link: https://www.econbiz.de/10008789569

Evaluation du crédit-bail et risque de crédit

Capiez, Alain - HAL - 2000

Malgré une similitude observée entre les contrats de leasing et les obligations à risque, les modèles classiques de détermination des loyers d'un contrat de crédit-bail se focalisent sur le risque attaché au matériel ou risque de valeur résiduelle et ignorent le risque de crédit. Nous...

Persistent link: https://www.econbiz.de/10009004239

Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Variance (PRV) Sur Les (Credit Default Swap)

Zgolli, Ghada - HAL - 2012

Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical determinants are variance risk premia, implied volatility and the...

Persistent link: https://www.econbiz.de/10010821297

Cross-currency smile calibration

Turinici, Gabriel; Laillat, Marc - HAL - 2009

We document the numerical aspects of the calibration of cross-currency options on the local volatility framework. We …

Persistent link: https://www.econbiz.de/10008789152

Calibration of local volatility using the local and implied instantaneous variance

Turinici, Gabriel - HAL - 2009

We document the calibration of the local volatility in terms of local and implied instantaneous variances; we first explore the theoretical properties of the method for a particular class of volatilities. We confirm the theoretical results through a numerical procedure which uses a Gauss-Newton...

Persistent link: https://www.econbiz.de/10008791649