Narrow search
Showing 1 - 10 of 299
Cover Image
Credit Spreads as Predictors of Real-Time Economic Activity : A Bayesian Model-Averaging Approach
Faust, Jon - 2011
Employing a large number of real and financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. Importantly, the predictor set includes option-adjusted credit spread indexes based on bond portfolios sorted by maturity and credit risk as...
Persistent link: https://www.econbiz.de/10012461932
Cover Image
Credit Risk and Disaster Risk
Gourio, Francois - 2011
Corporate credit spreads are large, volatile, countercyclical, and significantly larger than expected losses, but existing macroeconomic models with financial frictions fail to reproduce these patterns, because they imply small and constant aggregate risk premia. Building on the idea that...
Persistent link: https://www.econbiz.de/10012461632
Cover Image
An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices
Jagannathan, Ravi - 2001
We evaluate the classical Cox, Ingersoll and Ross (1985) (CIR) model using data on LIBOR, swap rates and caps and … swaptions. With three factors the CIR model is able to fit the term structure of LIBOR and swap rates rather well. The model is … able to match the hump shaped unconditional term structure of volatility in the LIBOR-swap market. However, statistical …
Persistent link: https://www.econbiz.de/10012470033
Cover Image
Banks and Derivatives
Gorton, Gary - 1995
interest-rate sensitivities of interest rate swap positions of U.S. commercial banks to empirically address the question of … whether swap contracts have increased or decreased systematic risk in the U.S. banking system. We find that the banking system … as a whole faces little net interest-rate risk from swap portfolios …
Persistent link: https://www.econbiz.de/10012473787
Cover Image
Over-the-Counter Derivatives and Systemic Risk to the Global Financial System
Darby, Michael R. - 1994
Over the last decade dealing in derivative financial instruments (basically forwards, futures, options and combinations of these), particularly in the over-the-counter (OTC) derivatives market has become a central activity for major wholesale banks and financial institutions. Measured in terms...
Persistent link: https://www.econbiz.de/10012474119
Cover Image
Simple Variance Swaps
Martin, Ian - 2011
the single-name variance swap market to dry up completely. This paper defines and analyzes a simple variance swap, a … relative of the variance swap that in several respects has more desirable properties. First, simple variance swaps are robust …
Persistent link: https://www.econbiz.de/10012461773
Cover Image
Individual Subjective Survival Curves
Gan, Li - 2003
Testing life-cycle models and other economic models of saving and consumption at micro level requires knowledge of individuals' subjective believes of their mortality risk. Previous studies have shown that individual responses on subjective survival probabilities are generally consistent with...
Persistent link: https://www.econbiz.de/10012469223
Cover Image
On the Validity of Using Census Geocode Characteristics to Proxy Individual Socioeconomic Characteristics
Geronimus, Arline T. - 1995
Investigators of social differentials in health outcomes commonly augment incomplete micro data by appending socioeconomic characteristics of residential areas (such as median income in a zip code) to proxy for individual characteristics. However, little empirical attention has been paid to how...
Persistent link: https://www.econbiz.de/10012473497
Cover Image
Evaluation of Subjective Probability Distributions in the HRS
Hurd, Michael D. - 1993
In the Health and Retirement Survey respondents were asked about the chances they would live to 75 or to 85, and the chances they would work after age 62 or 65. We analyze the responses to determine if they behave like probabilities, if their averages are close to average probabilities in the...
Persistent link: https://www.econbiz.de/10012474380
Cover Image
Back to the Future : Generating Moment Implications for Continuous-Time Markov Processes
Hansen, Lars Peter - 1993
Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. We show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method...
Persistent link: https://www.econbiz.de/10012474503