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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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Market liquidity after the financial crisis
Adrian, Tobias; Fleming, Michael J.; Shachar, Or; Vogt, Erik - 2017 - Revised June 2017
This paper examines market liquidity in the post-crisis era in light of concerns that regulatory changes might have reduced dealers' ability and willingness to make markets. We begin with a discussion of the broader trading environment, including an overview of regulations and their potential...
Persistent link: https://www.econbiz.de/10011547707
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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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Dealer balance sheets and bond liquidity provision
Adrian, Tobias; Boyarchenko, Nina; Shachar, Or - 2017 - Revised March 2017
Do regulations decrease dealer ability to intermediate trades? Using a unique data set of dealer-bond-level transactions, we link changes in liquidity of individual U.S. corporate bonds to dealers’ transaction activity and balance sheet constraints. We show that, prior to the financial crisis,...
Persistent link: https://www.econbiz.de/10011576274
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Regulatory changes and the cost of capital for banks
Kovner, Anna; Van Tassel, Peter - 2018
We estimate the cost of capital for the banking industry and find that while the cost of capital soared for banks in the financial crisis, after the passage of the Dodd-Frank Act, the value-weighted cost of capital for banks fell differentially more than did the cost of capital for nonbanks. The...
Persistent link: https://www.econbiz.de/10011868475
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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