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Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives
Fornari, Fabio - 2021
volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …
Persistent link: https://www.econbiz.de/10013316627
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A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions
de Vincent-Humphreys, Rupert - 2011
This paper presents a set of probability density functions for Euribor outturns in three months' time, estimated from 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...
Persistent link: https://www.econbiz.de/10013132237
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Assessing the compensation for volatility risk implicit in interest rate derivatives
Fornari, Fabio - 2008
volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …
Persistent link: https://www.econbiz.de/10011604905
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How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches
Scheicher, Martin - 2008
This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...
Persistent link: https://www.econbiz.de/10011604956
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Is the corporate bond market forward looking?
Hilscher, Jens - 2007
This paper presents empirical evidence that the corporate bond market is forward looking with respect to volatility. I … use the Merton (1974) model to calculate a measure of implied volatility from corporate bond yield spreads. I find that … corporate bond transaction prices contain substantial information about future volatility: When predicting future volatility in …
Persistent link: https://www.econbiz.de/10011604846
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Tail Co-Movement in Inflation Expectations as an Indicator of Anchoring
Natoli, Filippo - 2017
We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a focus on the time span from 2014 onward when long-term beliefs have substantially drifted away from the policy target. Using a new estimation technique, we look at tail...
Persistent link: https://www.econbiz.de/10012963936
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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
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Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Castren, Olli - 2009
leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system … financial intermediaries playing a key role in the processes. High financial leverage and high asset volatility are found to …
Persistent link: https://www.econbiz.de/10013153431
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The functional form of yield curves
Brousseau, Vincent - 2002
Yield curves built from liquid instruments tend to exhibit specific features, both in term of smoothness and in term of patterns. The paper presents empirical evidence that those liquid yiled curves frequently conform to a specific functional form. This specific functional form is predicted by a...
Persistent link: https://www.econbiz.de/10011604194
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The pricing of risk in European credit and corporate bond markets
Berndt, Antje; Obreja, Iulian - 2007
This paper investigates the determinants of the default risk premia embedded in the European credit default swap spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent compensation for bearing exposure to systematic risk and...
Persistent link: https://www.econbiz.de/10011604851