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An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick; Vorst, Ton - EconWPA - 2001
In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works well for...
Persistent link: https://www.econbiz.de/10005413092
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Mark-up and Capital Structure of the Firm facing Uncertainty
Chatelain - EconWPA - 2004
This note shows that, with pre-set price and capital decisions of firms facing uncertainty and financial market imperfections, price, mark up and the expected degree of capacity utilization (resp. capital) decreases (resp. increases) with the firm internal net worth.
Persistent link: https://www.econbiz.de/10005134898
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Simulation-Based Pricing of Convertible Bonds
Ammann, Manuel; Kind, Axel; Wilde, Christian - EconWPA - 2005
We propose and empirically study a pricing model for convertible bonds based on Monte Carlo simulation. The method uses … parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the … pricing study of the US market, using 32 convertible bonds and 69 months of daily market prices. Our results do not confirm …
Persistent link: https://www.econbiz.de/10005413169
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The Valuation of Inflation-Indexed and FX Convertible Bonds
Landskroner, Yoram; Raviv, Alon - EconWPA - 2004
important subgroup is convertibles linked to a price index or exchange rate. In this paper we extend the convertible pricing … establish upper and lower bounds for the price of the indexed convertible. We approximate the pricing equations by using …, we demonstrate the usefulnes and the limitations of the pricing model by using convertible traded on the Tel- Aviv stock …
Persistent link: https://www.econbiz.de/10005561658
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Boom In, Bust Out: Young Households and the Housing Price Cycle
Ortalo-Magne, Francois; Rady, Sven - EconWPA - 1998
The UK experienced a major residential real estate boom-bust cycle from the mid-Eighties to the mid-Nineties, accompanied by unprecedented shifts in the owner occupancy rate of young households. Previous empirical analyses have pointed toward income changes and financial deregulation as the...
Persistent link: https://www.econbiz.de/10005076946
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Implied Calibration of Stochastic Volatility Jump Diffusion Models
Galluccio, Stefano; Cam, Yann Le - EconWPA - 2005
models in the affine- quadratic class for the purpose of contingent claims pricing and risk- management. In particular, we …
Persistent link: https://www.econbiz.de/10005076950
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The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework
Altay, Erdinc - EconWPA - 2003
This paper uses factor analytic techniques for deriving factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of economic factors on asset returns in an APT framework. The factor structure of the German economy yields...
Persistent link: https://www.econbiz.de/10005076970
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Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques
Mergner, Sascha - EconWPA - 2005
This paper investigates the time-varying behavior of systematic risk for eighteen pan-European industry portfolios. Using weekly data over the period 1987-2005, three different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t- GARCH(1,1)...
Persistent link: https://www.econbiz.de/10005076972
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A Wavelet Analysis of MENA Stock Markets
Gallegati, Marco - EconWPA - 2005
In this paper we revisit the issue of integration of emerging stock markets with each other and with the developed markets over different time horizons using weekly stock indices data from June 1997 until March 2005 of the five major MENA equity markets (Egypt, Israel, Jordan, Morocco and...
Persistent link: https://www.econbiz.de/10005076975
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An empirical analysis of structural models of corporate debt pricing
Teixeira, Joao C. A. - EconWPA - 2005
This paper tests empirically the performance of three structural models of corporate bond pricing, namely Merton (1974 …
Persistent link: https://www.econbiz.de/10005076981