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The Time Varying Properties of Credit and Liquidity Components of CDS Spreads

Coro, Filippo; Dufour, Alfonso; Varotto, Simone - Henley Business School, University of Reading - 2012

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during … normal and crisis periods. We find that liquidity risk is more important than credit risk regardless of market conditions … dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of default risk …

Persistent link: https://www.econbiz.de/10010937354

Estimating Corporate Yield Curves

Diaz, Antionio; Skinner, Frank - Henley Business School, University of Reading - 2001

This paper represents the first study of retail deposit spreads of UK financial institutions using stochastic interest rate modelling and the market comparable approach. By replicating quoted fixed deposit rates using the Black Derman and Toy (1990) stochastic interest rate model, we find that...

Persistent link: https://www.econbiz.de/10005357671

Interest in medieval accounts: Examples from England, 1272-1340

Bell, Adrian R.; Brooks, Chris; Moore, Tony - Henley Business School, University of Reading - 2008

Research into medieval interest rates has been hampered by the diversity of terms and methods used by historians, creating serious misconceptions in the eporting of medieval interest rates, which have then been taken at face value by later scholars. This has had important repercussions on the...

Persistent link: https://www.econbiz.de/10008542354

Credit Spreads and the Treasury Zero Coupon Spot Curve

Skinner, Frank; Papageorgiou, Nicholas - Henley Business School, University of Reading - 2001

This paper examines the relationship between credit spreads on industrial bonds and the underlying Treasury term-structure. Unlike previous studies, we use zero-coupon spot rates, which eliminate coupon bias, and so allow for a consistent study both within and across the different credit...

Persistent link: https://www.econbiz.de/10005738263

The At Issue Maturity of Corporate Bonds: The Influence of Credit Rating, Security Level, Duration and Macreoconomic Conditions

Bali, Geetajali; Skinner, Frank - Henley Business School, University of Reading - 2003

We examine the determinants of the at issue time to maturity of corporate bonds. We find evidence that corporations partly determine the at issue maturity of bonds by responding to economic conditions. They also appear to immunize by matching the maturity of assets with the at issue maturity of...

Persistent link: https://www.econbiz.de/10005558303

An Empirical Study of Credit Default Swaps

Skinner, Frank; Diaz, Antonio - Henley Business School, University of Reading - 2002

should have a positive economic value since credit spreads reflect differences in liquidity as well as credit risk. However …

Persistent link: https://www.econbiz.de/10005558304

Credit Risk Diversification

Varotto, Simonne - Henley Business School, University of Reading - 2001

We study the role of diversification in reducing the volatility of corporate bond returns induced by changes in credit spreads. Specifically, we look at how credit risk can be diminished when a portfolio is diversified across countries, industry sectors, maturities, seniority types and credit...

Persistent link: https://www.econbiz.de/10005558325

Commodity Risk Factors and the Cross-Section of Equity Returns

Brooks, Chris; Fernandez-Perez, Adrian; Miffre, Joëlle; … - Henley Business School, University of Reading - 2014

The article examines whether commodity risk is priced in the cross-section of equity returns. Alongside a long-only equally-weighted portfolio of commodity futures, we employ as an alternative commodity risk factor a term structure portfolio that captures the propensity of commodity futures...

Persistent link: https://www.econbiz.de/10010934886

Rationalization of Investment Preference Criteria

Pézier, Jacques - Henley Business School, University of Reading - 2011

The majority of risk adjusted performance measures (RAPM) currently in use – e.g., Treynor ratio, (?/?)) ratio, Omega index, RoVaR, ‘coherent’ preference criteria, etc. – are incompat- ible with any sensible utility function and would be best avoided. We argue instead for the assessment...

Persistent link: https://www.econbiz.de/10010938095

Liquidity Risk, Credit Risk, Market Risk and Bank Capital

Varotto, Simone - Henley Business School, University of Reading - 2011

the new capital requirements for (a) liquidity risk and credit risk through the so called Incremental Risk Charge, and (b …

Persistent link: https://www.econbiz.de/10010938960