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Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads
Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016
We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period 2008--2015, joint default probabilities based on...
Persistent link: https://www.econbiz.de/10011531096
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Credit protection and lending relationships
Arping, Stefan - 2012
Persistent link: https://www.econbiz.de/10010190981
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Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin; McAleer, Michael - 2014
One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...
Persistent link: https://www.econbiz.de/10010465152
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An empirical comparison of default swap pricing models
Houweling, Patrick; Vorst, Ton - 2001
Persistent link: https://www.econbiz.de/10001639524
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The valuation of interest rate derivatives : empirical evidence from the Spanish market
Moraleda Novo, Juan Manuel; Vorst, Ton - 1996
This paper studies empirical issues of one-factor yield curve models. We focus on the models by Ho & Lee (1986), Hull & White (1990) and Moraleda & Vorst (1996). To be consistent in the comparison of the models, we derive them all within the Ritkchen and Sankarasubramanian (1995) framework,...
Persistent link: https://www.econbiz.de/10010232145
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A smooth shadow-rate dynamic Nelson-Siegel Model for yields at the zero lower bound
Opschoor, Daan; Wel, Michel van der - 2022
interest rates during the recent zero lower bound (ZLB) period. By relaxing the no-arbitrage restriction, our shadow-rate model …
Persistent link: https://www.econbiz.de/10012817007
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Do information contagion and business model similarities explain bank credit risk commonalities?
Wang, Dieter; Lelyveld, Iman van; Schaumburg, Julia - 2018
This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The puzzle, first detected in corporate bonds, consists of two stylized facts: Structural determinants of credit risk not only have low explanatory power but also fail to capture...
Persistent link: https://www.econbiz.de/10011949150
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Estimation risk and shrinkage in vast-dimensional fundamental factor models
Vlodrop, Andries C. van; Lucas, André - 2018
We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental factor models (FFMs). FFMs are the typical benchmark in the asset management industry and depart from the usual statistical factor models and the factor models with observed...
Persistent link: https://www.econbiz.de/10011949129
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Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - 2014
This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying...
Persistent link: https://www.econbiz.de/10010250536
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Capital structure arbitrage revisited
Wojtowicz, Marcin - 2014
We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …
Persistent link: https://www.econbiz.de/10010415520