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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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How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches
Scheicher, Martin - 2008
has changed since the start of the credit market turmoil in 2007. Overall, I find that pricing of CDX and iTraxx tranches …
Persistent link: https://www.econbiz.de/10011604956
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A value at risk analysis of cedit default swaps
Raunig, Burkhard; Scheicher, Martin - 2008
We investigate the risk of holding credit default swaps(CDS) in the trading book and compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm’s equity using a sample of CDS – stock price pairs for 86 actively traded firms over the period from March...
Persistent link: https://www.econbiz.de/10011605014
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What Do Asset Prices Have to Say about Risk Appetite and Uncertainty?
Bekaert, Geert - 2011
normal volatility dynamics and macroeconomic uncertainty. Building on intuition from the dynamic asset pricing literature, we …
Persistent link: https://www.econbiz.de/10012756223
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A Value at Risk Analysis of Credit Default Swaps
Raunig, Burkhard - 2008
We investigate the risk of holding credit default swaps (CDS) in the trading book and compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity using a sample of CDS - stock price pairs for 86 actively traded firms over the period from March 2003...
Persistent link: https://www.econbiz.de/10012768765
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How has CDO Market Pricing Changed During the Turmoil? Evidence from CDS Index Tranches
Scheicher, Martin - 2008
has changed since the start of the credit market turmoil in 2007. Overall, I find that pricing of CDX and iTraxx tranches …
Persistent link: https://www.econbiz.de/10012771617
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The Pricing of Subprime Mortgage Risk in Good Times and Bad : Evidence from the ABX.HE Indices
Fender, Ingo - 2013
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/10013095930