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A multi-state approach to modelling intermediate events and multiple mortgage loan outcomes

Chamboko, Richard; Bravo, Jorge Miguel Ventura - In: Risks : open access journal 8 (2020) 2/64, pp. 1-28

current, delinquency, default, prepayment, repurchase, short sale and foreclosure on mortgage loans. The approach allows for …

Persistent link: https://www.econbiz.de/10012293007

The volatility of the "green" option-adjusted spread : evidence before and during the pandemic period

Ortolano, Alessandra; Nissi, Eugenia - In: Risks : open access journal 10 (2022) 3, pp. 1-13

The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period. To this purpose, after observing the dynamic joint correlations between all...

Persistent link: https://www.econbiz.de/10013093081

Determining financial uncertainty through the dynamics of Sukuk bonds and prices in emerging market indices

Sial, Muhammad Safdar; Cherian, Jacob; Meero, … - In: Risks : open access journal 10 (2022) 3, pp. 1-13

The main focus of the study is to determine the financial uncertainty while examining the Sukuk bonds prices, Sukuk bond and global emerging market indices returns dynamics. The study, with a time period ranging from 2017 to 2020, applies the quantile regression technique. The study findings...

Persistent link: https://www.econbiz.de/10013161520

Decomposition of natural catastrophe risks : insurability using parametric CAT bonds

Marvi, Morteza Tavanaie; Linders, Daniël - In: Risks : open access journal 9 (2021) 12, pp. 1-19

Nat Cat risks are not insurable by traditional insurance mainly because of producing highly correlated losses. The source of such correlation among buildings of a region subject to a natural hazard is discussed. A decomposition method is proposed to split Nat Cat risk into idiosyncratic (and...

Persistent link: https://www.econbiz.de/10012705095

On the diversification of fixed income assets

Le Courtois, Olivier - In: Risks : open access journal 10 (2022) 2, pp. 1-21

, I examine the importance of volatility risk, force of mean reversion, default risk, recovery risk, and default …

Persistent link: https://www.econbiz.de/10012806470

Bond and CDS pricing via the stochastic recovery Black-Cox Model

Cohen, Albert; Costanzino, Nick - In: Risks : open access journal 5 (2017) 2, pp. 1-17

Recovery Black-Cox model, whereby the asset risk driver At defines the default trigger and the recovery risk driver Rt defines … the amount recovered in the event of default. We then price zero-coupon bonds and credit default swaps under the … correlated risk drivers leads to a decoupling of the default and recovery risk premiums in the credit spread. We conclude this …

Persistent link: https://www.econbiz.de/10011643417

Desirable portfolios in fixed income markets : application to credit risk premiums

Garrido, José; Okhrati, Ramin - In: Risks : open access journal 6 (2018) 1, pp. 1-21

An arbitrage portfolio provides a cash flow that can never be negative at zero cost. We define the weaker concept of a “desirable portfolio” delivering cash flows with negative risk at zero cost. Although these are not completely risk-free investments and subject to the risk measure used,...

Persistent link: https://www.econbiz.de/10011811620

Analysis of yields and their determinants in the European corporate green bond market

Grishunin, Sergei; Bukreeva, Alesya; Suloeva, Svetlana; … - In: Risks : open access journal 11 (2023) 1, pp. 1-19

The green bond market helps to mobilize financial sources toward sustainable investments. Green bonds are similar to conventional bonds but are specifically designed to raise money to finance environmental projects. The feature of green bonds is the existence of greenium, or the lower yield...

Persistent link: https://www.econbiz.de/10014233051

A wavelet analysis of the dynamic connectedness among oil prices, green bonds, and CO2 emissions

Marín-Rodríguez, Nini Johana; González-Ruiz, Juan David - In: Risks : open access journal 11 (2023) 1, pp. 1-21

Wavelet power spectrum (WPS) and wavelet coherence analyses (WCA) are used to examine the co-movements among oil prices, green bonds, and CO2 emissions on daily data from January 2014 to October 2022. The WPS results show that oil returns exhibit significant volatility at low and medium...

Persistent link: https://www.econbiz.de/10014233065

The determinant of Sukuk rating : agency theory and asymmetry theory perspectives

Santoso, Bedjo; Widodo, Widodo; Akbar, Muhammad Taufiq; … - In: Risks : open access journal 10 (2022) 8, pp. 1-23

This research aims to develop a determinant variable of the Sukuk rating derived from agency and asymmetry theories. This research is essential because Sukuk or Islamic Bonds is needed in Indonesia, with 85% of its population out of 320 million people being Muslim. Many studies on the...

Persistent link: https://www.econbiz.de/10013368306