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Modelling the implied probability of stock market movements

Glatzer, Ernst; Scheicher, Martin - 2003

, the US stock markets and credit risk. We find that the risk-neutral densities exhibit pronounced negative skewness. Our …

Persistent link: https://www.econbiz.de/10011604258

The informational content of over-the-counter currency options

Christoffersen, Peter; Mazzotta, Stefano - 2004

than previously found using market-traded options. Finally, we find that wide-range interval and density forecasts are …

Persistent link: https://www.econbiz.de/10011604412

Investors with too many options?

Dorn, Daniel - 2010

During the last decade, markets for covered warrants (bank-issued options) have flourished in Europe and Asia. In these … trades in call options on the German DAX index, this paper documents substantial price dispersion across securities that are … close substitutes. Moreover, investors generally fail to identify attractively priced options. The results suggest that the …

Persistent link: https://www.econbiz.de/10011605243

A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions

de Vincent-Humphreys, Rupert - 2011

the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete … history of Euribor futures options, thus comprising over ten years of daily data, from 13 January 1999 onwards. Time series of …

Persistent link: https://www.econbiz.de/10013132237

Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

Fornari, Fabio - 2021

time but much less than implied volatilities. Estimates of risk aversion based on the physical skewness and kurtosis of …

Persistent link: https://www.econbiz.de/10013316627

Evaluating Market Risk from Leveraged Derivative Exposures

Jukonis, Audrius - 2022

Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...

Persistent link: https://www.econbiz.de/10013491644

Investors with Too Many Options?

Dorn, Daniel - 2010

Persistent link: https://www.econbiz.de/10013143634

Detecting and interpreting financial stress in the euro area

Blix Grimaldi, Marianna - 2010

There is a need to find better models and indicators for large disruptive events, not least in order to be more prepared and mitigate their effects. In this paper we take a step in this direction and discuss the performance of a financial stress indicator with a specific focus on the euro area....

Persistent link: https://www.econbiz.de/10011605260

Risk and Return in International Corporate Bond Markets

De Santis, Roberto A. - 2020

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity, sovereign and corporate bonds. However, from a factor...

Persistent link: https://www.econbiz.de/10012825946

Institutional Presence in Secondary Bank Bond Markets : How Does It Affect Liquidity and Volatility?

Oprica, Silviu - 2019

Using newly available information on euro area sectoral holdings of securities, this paper investigates to what extent the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non-bank financial intermediaries, in particular money...

Persistent link: https://www.econbiz.de/10012871121