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Bayesian Inference and Portfolio Efficiency

Kandel (deceased), Shmuel - 2008

A Bayesian approach is used to investigate a sample's information about a portfolio's degree of inefficiency. With standard diffuse priors, posterior distributions for measures of portfolio inefficiency can concentrate well away from values consistent with efficiency, even when the portfolio is...

Persistent link: https://www.econbiz.de/10012774475

Credit Risk and Disaster Risk

Gourio, François - 2011

Corporate credit spreads are large, volatile, countercyclical, and significantly larger than expected losses, but existing macroeconomic models with financial frictions fail to reproduce these patterns, because they imply small and constant aggregate risk premia. Building on the idea that...

Persistent link: https://www.econbiz.de/10013125570

Credit Spreads as Predictors of Real-Time Economic Activity : A Bayesian Model-Averaging Approach

Faust, Jon - 2011

Employing a large number of real and financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. Importantly, the predictor set includes option-adjusted credit spread indexes based on bond portfolios sorted by maturity and credit risk as...

Persistent link: https://www.econbiz.de/10013130981

Swap rates and credit quality

Duffie, Darrell - In: The journal of finance : the journal of the American … 51 (1996) 3, pp. 921-949

Persistent link: https://www.econbiz.de/10001203636

Swaps: plain and fanciful

Litzenberger, Robert H. - In: The journal of finance : the journal of the American … 47 (1992) 3, pp. 831-850

Persistent link: https://www.econbiz.de/10001132041

Interest rate swaps and corporate financing choices

Titman, Sheridan - In: The journal of finance : the journal of the American … 47 (1992) 4, pp. 1503-1516

Persistent link: https://www.econbiz.de/10001133686

The default risk of swaps

Cooper, Ian - In: The journal of finance : the journal of the American … 46 (1991) 2, pp. 597-620

Persistent link: https://www.econbiz.de/10001108680

On the term structure of default premia in the swap and LIBOR markets

Collin-Dufresne, Pierre; Solnik, Bruno - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 1095-1115

Persistent link: https://www.econbiz.de/10001593029

The relative valuation of caps and swaptions : theory and empirical evidence

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2067-2109

Persistent link: https://www.econbiz.de/10001631728

Banks and Derivatives

Gorton, Gary; Rosen, Richard Joseph - 2021

interest-rate sensitivities of interest rate swap positions of U.S. commercial banks to empirically address the question of … whether swap contracts have increased or decreased systematic risk in the U.S. banking system. We find that the banking system … as a whole faces little net interest-rate risk from swap portfolios …

Persistent link: https://www.econbiz.de/10013224189