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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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Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives and Margins
Biais, Bruno - 2012
We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller. This incentive problem limits the capacity to...
Persistent link: https://www.econbiz.de/10013113017
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Liquidity and Credit Risk Premia in Government Bond Yields
Ejsing, Jacob - 2012
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...
Persistent link: https://www.econbiz.de/10013106056
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Credit Spreads and the Links between the Financial and Real Sectors in a Small Open Economy : The Case of the Czech Republic
Konecny, Tomas - 2014
Various approaches have been employed to explore the possibility of non-linear feedback between the real and financial sector. The present study focuses on the impact of real shocks on selected financial sector indicators, and the responses of the real economy to impulses emanating from the...
Persistent link: https://www.econbiz.de/10013047994
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Credit Spreads, Economic Activity and Fragmentation
De Santis, Roberto A. - 2016
-to-maturity spreads or asset swap spreads for 2345 Eurobonds across euro area non-financial industries, we estimate a market wide relative …
Persistent link: https://www.econbiz.de/10012987466
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Leading Indicator Properties of Corporate Bond Spreads, Excess Bond Premia and Lending Spreads in the Euro Area
Krylova, Elizaveta - 2016
from both corporate bonds and bank loans for forecasting of real activity, unemployment, inflation and lending volumes in …
Persistent link: https://www.econbiz.de/10012988612
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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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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 Anatomy of the Euro Area Interest Rate Swap Market
Dalla Fontana, Silvia - 2019
comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing … capital and liquidity ratios, the leverage ratio plays a key role in determining a bank's IRS trading activity. 5) Also, after … mandatory central clearing, there is still a large dispersion in IRS transaction prices, which is partly determined by bank …
Persistent link: https://www.econbiz.de/10012892579
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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