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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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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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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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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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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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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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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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Consumption Volatility Risk and the Inversion of the Yield Curve
Grasso, Adriana - 2018
-varying consumption volatility risk is essential for obtaining the inversion of the real curve and allows to price the average level and …
Persistent link: https://www.econbiz.de/10012921898
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Predicting Risk Premia in Short-Term Interest Rates and Exchange Rates
Gräb, Johannes - 2018
We assess the ability of yield curve factors to predict risk premia in short-term interest rates and exchange rates across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond yields predicts risk premia in both short-term interest...
Persistent link: https://www.econbiz.de/10012926459
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The impact of the euro on financial markets
Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006
We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...
Persistent link: https://www.econbiz.de/10011604644