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The pricing of risk in European credit and corporate bond markets
Berndt, Antje; Obreja, Iulian - 2007
spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent … tails. The pricing implications of this new factor are not limited to credit markets only. We find that this common factor … is priced consistently across a broad spectrum of corporate bond portfolios. In addition, our asset pricing tests also …
Persistent link: https://www.econbiz.de/10011604851
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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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An empirical study on the decoupling movements between corporate bond and CDS spreads
Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009
turmoil in the summer of 2007 induced a substantial increase in risk aversion and a shift in the pricing of credit risk, with …
Persistent link: https://www.econbiz.de/10011605131
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The term structure of risk premia: new evidence from the financial crisis
Berg, Tobias - 2010
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...
Persistent link: https://www.econbiz.de/10011605211
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An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads
Alexopoulou, Ioana - 2009
turmoil in the summer of 2007 induced a substantial increase in risk aversion and a shift in the pricing of credit risk, with …
Persistent link: https://www.econbiz.de/10013156973
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Pricing Sovereign Credit Risk of an Emerging Market
Camba-Mendez, Gonzalo - 2016
We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....
Persistent link: https://www.econbiz.de/10012987488
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Pricing Sovereign Credit Risk of an Emerging Market
Camba-Mendez, Gonzalo - 2016
We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....
Persistent link: https://www.econbiz.de/10012987870
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The Term Structure of Risk Premia : New Evidence from the Financial Crisis
Berg, Tobias - 2010
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...
Persistent link: https://www.econbiz.de/10013146561
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The Pricing of Risk in European Credit and Corporate Bond Markets
Berndt, Antje; Obreja, Iulian - 2021
spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent … tails. The pricing implications of this new factor are not limited to credit markets only. We find that this common factor … is priced consistently across a broad spectrum of corporate bond portfolios. In addition, our asset pricing tests also …
Persistent link: https://www.econbiz.de/10013316873
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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