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Linking credit risk premia to the equity premium
Berg, Tobias; Kaserer, Christoph - 2008
estimation method which is based on credit valuations. The main idea is straigtforward: We use structural models to link equity …
Persistent link: https://www.econbiz.de/10010305726
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Global Factors and Emerging Market Spreads
Rozada, Martín González; Yeyati, Eduardo Levy - 2006
), global liquidity (measured by the international interest rates) and contagion (from systemic events like the Russian default …
Persistent link: https://www.econbiz.de/10010327074
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Risk premia in electricity wholesale spot markets: empirical evidence from Germany
Pietz, Matthäus - 2009
This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...
Persistent link: https://www.econbiz.de/10010305694
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Risk premia in the German electricity futures market
Pietz, Matthäus - 2009
The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity...
Persistent link: https://www.econbiz.de/10010305696
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Bond pricing and the macroeconomy
Duffee, Gregory R. - 2012
This chapter reviews some of the academic literature that links nominal and real term structures with the macroeconomy. The main conclusion is that none of our models is consistent with basic properties of nominal yields. It is difficult to explain the average shape of the nominal yield curve,...
Persistent link: https://www.econbiz.de/10010397776
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A Guarantee – Does the Obligee Agree? A Risk Premium Decomposition of Sub-Sovereign Bond Spreads
Knezevic, David; Krüger, Niclas A.; Nordström, Martin - 2019
bond yield spread into liquidity and credit risk premiums by variance decomposition in a vector autoregressive setting – an … spread is explained by the chosen liquidity and credit variables. The liquidity risk premium makes up 35% or 28 basis points …
Persistent link: https://www.econbiz.de/10012654454
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Liquidity in the Foreign Exchange Market:Measurement, Commonality, and Risk Premiums
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - National Centre of Competence in ResearchFinancial … - 2009
This paper develops a liquidity measure tailored to the foreign exchange (FX) market, quanties the amount of … commonality in liquidity across dierent exchange rates, and determines theextent of liquidity risk premiums embedded in FX returns …. The new liquidity measure utilizesultra high frequency data and captures cross-sectional and temporal variation in FX …
Persistent link: https://www.econbiz.de/10005868531
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A search-theoretic model of the term premium
Geromichalos, Athanasios; Herrenbrueck, Lucas; Salyer, Kevin - 2013
rates of return to compensate agents for their relative lack of liquidity. Consistent with empirical findings, our model …
Persistent link: https://www.econbiz.de/10010318851
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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10010500191
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How Banks Construct and Manage Risk : A Sociological Study of Small Firm Lending in Britain and Germany
Quack, Sigrid - 2012
This paper analyses the role of banks in financing SMEs in Britain and Germany. It applies a sociological institutionalist approach to understand how banks construct and manage risk, relating to SME business. The empirical analysis is based on the results of a comparative survey of a sample of...
Persistent link: https://www.econbiz.de/10013102832