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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 - 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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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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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 markets, investors often face a choice between many instruments that differ only slightly from each other. Based on retail trades in call options on the German DAX index, this...
Persistent link: https://www.econbiz.de/10013143634
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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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Derivative Margin Calls : A New Driver of MMF Flows
Ghio, Maddalena; Rousová, Linda; Salakhova, Dilyara; … - 2023
almost 8% of assets under management. This paper investigates whether the volatility in MMF flows was driven by investors …’ liquidity needs re-lated to derivative margin payments. We combine three highly granular unique data sources (EMIR data for …
Persistent link: https://www.econbiz.de/10014355985
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The Impact of Derivatives Collateralisation on Liquidity Risk : Evidence from the Investment Fund Sector
Jukonis, Audrius; Letizia, Elisa; Rousová, Linda - 2022
Stricter derivative margin requirements have increased the demand for liquid collateral but euro area investment funds …
Persistent link: https://www.econbiz.de/10014237692
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Estimating the full effect of a partially anticipated event: A market-based approach applied to the case of TLTROIII
Mosk, Benjamin; Vassallo, Danilo - 2024
This paper presents an event-study methodology that combines market data and survey-based probabilities to infer the full effect of a policy decision, as seen through the lens of financial markets. The market reaction to an event's outcome reflects its surprise or announcement effect, and...
Persistent link: https://www.econbiz.de/10015199444