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Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat - In: Journal of Banking & Finance 37 (2013) 1, pp. 11-20

We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial …. Liquidity commonality was present in 1997–2003 when commodity prices were relatively stable and during the recent boom. There is … consistent link between stock and commodity liquidity in general. Energy commodities appear to provide a better hedge against …

Persistent link: https://www.econbiz.de/10011065589

Option-implied volatility factors and the cross-section of market risk premia

Li, Junye - In: Journal of Banking & Finance 36 (2012) 1, pp. 249-260

The main goal of this paper is to study the cross-sectional pricing of market volatility. The paper proposes that the market return, diffusion volatility, and jump volatility are fundamental factors that change the investors’ investment opportunity set. Based on estimates of diffusion and jump...

Persistent link: https://www.econbiz.de/10010582657

Credit spread changes within switching regimes

Maalaoui Chun, Olfa; Dionne, Georges; François, Pascal - In: Journal of Banking & Finance 49 (2014) C, pp. 41-55

Empirical studies on credit spread determinants are predicated on the presence of a single-regime over the entire sample period and thus find limited explanatory power. A single-regime model hides the fact that explanatory variables take on different loadings across changing patterns in credit...

Persistent link: https://www.econbiz.de/10011118073

Hedging structured credit products during the credit crisis: A horse race of 10 models

Ascheberg, Marius; Bick, Björn; Kraft, Holger - In: Journal of Banking & Finance 37 (2013) 5, pp. 1687-1705

Pricing and hedging structured credit products poses major challenges to financial institutions. This paper puts … history, September 2008, when Lehman Brothers went under? Did they produce reasonable hedging strategies? We study several … bottom-up and top-down credit portfolio models and compute the resulting delta hedging strategies using either index …

Persistent link: https://www.econbiz.de/10011065598

Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests

Bernales, Alejandro; Guidolin, Massimo - In: Journal of Banking & Finance 46 (2014) C, pp. 326-342

We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable predictability patterns. Predictability in implied volatilities is expected due to the learning behavior of agents in option markets. In particular, we explore the possibility that...

Persistent link: https://www.econbiz.de/10010907098

Modeling and monitoring risk acceptability in markets: The case of the credit default swap market

Madan, Dilip B. - In: Journal of Banking & Finance 47 (2014) C, pp. 63-73

Minimal discounted distorted expectations across a range of stress levels are employed to model risk acceptability in markets. Interactions between discounting and stress levels used in measure changes are accommodated by lowering discount rates for the higher stress levels. Acceptability...

Persistent link: https://www.econbiz.de/10010931658

Out-of-sample density forecasts with affine jump diffusion models

Yun, Jaeho - In: Journal of Banking & Finance 47 (2014) C, pp. 74-87

We conduct out-of-sample density forecast evaluations of the affine jump diffusion models for the S&P 500 stock index and its options’ contracts. We also examine the time-series consistency between the model-implied spot volatilities using options & returns and only returns. In particular, we...

Persistent link: https://www.econbiz.de/10010931669

Rate fears gauges and the dynamics of fixed income and equity volatilities

Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine - In: Journal of Banking & Finance 52 (2015) C, pp. 256-265

, hedging, and risk-taking tools. …

Persistent link: https://www.econbiz.de/10011209853

Pricing currency derivatives under the benchmark approach

Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of Banking & Finance 53 (2015) C, pp. 34-48

This paper considers the realistic modelling of derivative contracts on exchange rates. We propose a stochastic volatility model that recovers not only the typically observed implied volatility smiles and skews for short dated vanilla foreign exchange options but allows one also to price payoffs...

Persistent link: https://www.econbiz.de/10011209855

Counterparty risk for CDS: Default clustering effects

Bo, Lijun; Capponi, Agostino - In: Journal of Banking & Finance 52 (2015) C, pp. 29-42

We derive a closed-form expression for the bilateral credit valuation adjustment of a credit default swap in presence of simultaneous defaults. We develop our analysis under a default intensity model specified by a class of three-dimensional subordinators, allowing for default dependence through...

Persistent link: https://www.econbiz.de/10011209864

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