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Ewerhart, Christian; Cassola, Nuno; Ejerskov, Steen; … - Institut für Schweizerisches Bankwesen <Zürich> - 2006

Interest rate derivatives are among the most actively traded financial instruments in the main currency areas. With values of positions reacting immediately to the underlying index of daily interbank rates, manipulation has become an increasing challenge for the operational implementation of...

Persistent link: https://www.econbiz.de/10005858342

Credit Default Swaps and Financial Crisis Prediction

Neftci, Salih; Oliveira Santos, Andre; Lu, Yinqiu - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

. Yet, default swap market has severalnovel aspects that have not received much attention. In this paper we studyan aspect …

Persistent link: https://www.econbiz.de/10005858549

Optimal Investment in Variance Swaps Under Stochastic Volatility

Egloff, Daniel; Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich> - 2006

, the industry has created a series of variance derivative products to span variance risk. The variance swap contract is the … rate, called the variance swap rate, determined at the inception of the contract. We obtain a decade worth of variance swap … structure of the variance swap rates to analyze the return variance rate dynamics and market pricing of variance risk. We then …

Persistent link: https://www.econbiz.de/10005858375

Theory and Calibration of Swap Market Models

Galluccio, Stefano; Huang, Zhijhang; Ly, Jean-Michel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

admissible sets of for-ward swap rates spanning a given tenor structure. We relate this conceptto results in graph theory by …

Persistent link: https://www.econbiz.de/10005858304

Pricing Bermudan Swaptions in a Stochastic-Volatility LIBOR Market Model

Valchev, Stoyan; Matache, Ana-Maria - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper introduces a time-inhomogeneous parameterization of the forward LIBOR volatilities and analyzes its implications for the valuation of Bermudan swaptions. The model approximates the actual term structure of volatilities with a curve from a given set deﬁned by the parametric...

Persistent link: https://www.econbiz.de/10005858312

Convexity Adjustments and Forward Libor Model: Case of Constant Maturity Swaps

Lu, Yinqiu; Neftci, Salih - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

difference (spread) between the two-period CMS swap rates calcu-lated by convexity adjustment and Forward Libor Model. The spread … 0.8750 and 0.7939, respectively. Moreover,convexity adjustment yields CMS swap rates higher than Forward Libor Modeldoes …. Since the pricing using Forward Libor Model would be exact, we concludethat the convexity adjustment overestimates CMS swap …

Persistent link: https://www.econbiz.de/10005858548

A note on survival measures and the pricing of options on credit default swaps

Schoenbucher, Phillip J. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

In this note the pricing of options on credit default swaps using the survival-measure -pricing technique is discussed. In particular, we derive amodiﬁcation of the famous Black (1976) futures pricing formula which appliesto options on CDS, and show how other pricing formulae can be easily...

Persistent link: https://www.econbiz.de/10005858552

The Influence of FX Risk on Credit Spreads

Ehlers, Philippe; Schönbucher, Philipp - Institut für Schweizerisches Bankwesen <Zürich> - 2004

We analyze the connections between the credit spreads that the same credit risk commands in different currencies. We show that the empirically observed differences in these credit spreads are mostly driven by the dependency between the default risk of the obligor and the exchange rate. In our...

Persistent link: https://www.econbiz.de/10005858879

Analyzing Credit Risk in Default Swap Transaction Data : Is Fixed-Income Markets Information Sufficient to Evaluate Credit Risk?

Cossin, Didier; Hricko, Tomas; Aunon-Nerin, Daniel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are …

Persistent link: https://www.econbiz.de/10005859382

International Bond Risk Premia

Dahlquist, Magnus; Hasseltoft, Henrik - Institut für Schweizerisches Bankwesen <Zürich> - 2011

We identify local and global factors across international bond markets that arepoorly spanned by the traditional level, slope and curvature factors but havestrong forecasting power for future bond excess returns. Local and global fac-tors are jointly signicant predictors of bond returns, where...

Persistent link: https://www.econbiz.de/10009305251