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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …
Persistent link: https://www.econbiz.de/10011605102
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Margin Regulation and Volatility
Brumm, Johannes - 2014
In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … stabilizing effects. However, in line with the empirical evidence on margin regulation in U.S. stock markets, we show that changes …
Persistent link: https://www.econbiz.de/10013051665
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Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model
Hördahl, Peter - 2000
This paper proposes the use of the two-factor term-structure model of Longstaff and Schwartz (1992a, LS) to estimate the risk-neutral density (RND) of the future short-term interest rate. The resulting RND can be interpreted as the market's estimate of the density of the future short-term...
Persistent link: https://www.econbiz.de/10011604062
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Systemic risk: A survey
De Bandt, Olivier; Hartmann, Philipp - 2000
This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the related payment and settlement systems. At the heart...
Persistent link: https://www.econbiz.de/10011604081
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A two-factor model of the German term structure of interest rates
Barros Luís, Jorge; Cassola, Nuno - 2001
In this paper we show that a two-factor constant volatility model provides an adequate description of the dynamics and shape of the German term structure of interest rates from 1972 up to 1998. The model also provides reasonable estimates of the volatility and term premium curves. Following the...
Persistent link: https://www.econbiz.de/10011604092
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The functional form of yield curves
Brousseau, Vincent - 2002
. This specific functional form is predicted by a particular arbitrage pricing model. The paper also examines the possible …
Persistent link: https://www.econbiz.de/10011604194
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Equity and bond market signals as leading indicators of bank fragility
Gropp, Reint E.; Vesala, Jukka; Vulpes, Giuseppe - 2002
We analyse the ability of the distance-to-default and bond spreads to signal bank fragility. We show that both indicators are complete and unbiased and that spreads are non-linear in the probability of bank default. We empirically test these properties in a sample of EU banks. We find leading...
Persistent link: https://www.econbiz.de/10011604196
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Bidding and performance in repo auctions: evidence from ECB open market operations
Nyborg, Kjell G.; Strebulaev, Ilya A.; Bindseil, Ulrich - 2002
We study bidder bahavior and performance in 53 main refinancing operations (repo auctions) of the European Central Bank (ECB). The data set starts with the first auctions after the ECB changed from fixed rate tenders to variable rate tenders. We find that private information and the winnner's...
Persistent link: https://www.econbiz.de/10011604203
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Myopic loss aversion, disappointment aversion, and the equity premium puzzle
Fielding, David; Stracca, Livio - 2003
This paper takes a close look at the 'behavioural finance' explanations of the equity premium puzzle, namely myopic loss aversion (Benartzi and Thaler, 1995) and disappointment aversion (Ang, Bekaert and Liu, 2000). The paper proposes a simple specification of loss and disappointment aversion...
Persistent link: https://www.econbiz.de/10011604249
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Do demographic changes affect risk premiums? Evidence from international data
Ang, Andrew; Maddaloni, Angela - 2003
We examine the link between equity risk premiums and demographic changes using a very long sample over the whole twentieth century for the US, Japan, UK, Germany and France, and a shorter sample covering the last third of the twentieth century for fifteen countries. We find that demographic...
Persistent link: https://www.econbiz.de/10011604254