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When It Cannot Get Better or Worse: The Asymmetric Impact of Good and Bad News on Bond Returns in Expansions and Recessions
Beber, Alessandro; Brandt, Michael W. - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news in economic … macroeconomic news impacts substantially the volatility of bond returns at all maturities by increasing jump intensities and by … bad news for bond returns in expansions and, to a lesser extent, when it contains good news for bond returns in …
Persistent link: https://www.econbiz.de/10005858024
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Pricing Prepayment Option in C&I Loans at Origination
Cossin, Didier; Lu, Hongze - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
the forward interest rate volatility but very sensitive to the forward credit spread volatility. …
Persistent link: https://www.econbiz.de/10005858717
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International Stock-Bond Correlations in a Simple Affine Asset Pricing Model
D'Addona, Stefano; Kind, Axel H. - Institut für Schweizerisches Bankwesen <Zürich> - 2006
correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model … to generate stock-bond correlations that are in line with empirically observed figures. …
Persistent link: https://www.econbiz.de/10005858383
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Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market
Beber, Alessandro; Brandt, Michael W.; Kavajec, Kenneth A. - Institut für Schweizerisches Bankwesen <Zürich> - 2006
Do bond investors demand credit quality or liquidity? The answer is both, but at different times and for different … reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit … market uncertainty. In contrast, the destination of large flows into the bond market is determined almost exclusively by …
Persistent link: https://www.econbiz.de/10005858392
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The Pricing of Interest Rate and Credit Risks in Equity Returns : An Empirical Cross-Country Comparison
Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In this study, we examine whether changes in the investment opportunityset stemming from interest rate and credit risks are priced in the US, theUK and the Swiss equity premia by estimating both two-factor and three-factor versions of Merton’s ICAPM. The systematic pricing of credit riskis...
Persistent link: https://www.econbiz.de/10005857973
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Dependent Credit Migrations
Wendin, Jonathan; McNeil, Alexander J. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2005
This paper examines latent risk factors in models for migration risk. We employ thestandard statistical framework for ordered categorical variables and induce dependencebetween migrations by means of latent risk factors. By assuming a Markov process forthe dynamics of the latent factors, the...
Persistent link: https://www.econbiz.de/10005857974
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Credit Risk and Substainable Debt: A Model and Estimationsof Why the Euro is Stable in the Long-Run
Semmler, Willi; Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
Sustainable debt has become a key issue in rating of private as well as sovereign debtors. The problem of how to estimate sustainable debt has also been at the center of debate over theAsian 1997-1998 financial crisis. If the external value of the currency depends on the external debt of a...
Persistent link: https://www.econbiz.de/10005858002
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An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios
Burkhard, Jürg; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In June 2003 Swiss banks held over CHF 500 billion in mortgages. This important segment accounts for about 63% of all loan portfolios of Swiss banks. Since default insurance is not common in Switzerland, the corresponding risks are a severe threat for the health of the financial system. We...
Persistent link: https://www.econbiz.de/10005858102
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Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk
Ehlers, Philippe; Schönbucher, Philipp J. - Institut für Schweizerisches Bankwesen <Zürich> - 2006
In single-obligor default risk modelling, using a background filtration in conjunction with a suitable embedding hypothesis (generally known as H-hypothesis or immersion property) has proven a very successful tool to separate the actual default event from the model for the default arrival...
Persistent link: https://www.econbiz.de/10005858244
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Default-Risky Bond Prices with Jumps, Liquidity Risk and Heterogeneous Investors
Jeanblanc, Monique; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper develops a default-risky bond pricing model, which assumes that the default intensity is driven by a Markov … chain and which accounts for default and liquidity risk. A representation of the bond price dynamics, which separates three … and valuation of a default-risky bond in this market was provided. …
Persistent link: https://www.econbiz.de/10005858310