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Dorn, Daniel - 2010

During the last decade, markets for covered warrants (bank-issued options) have flourished in Europe and Asia. In these … trades in call options on the German DAX index, this paper documents substantial price dispersion across securities that are … close substitutes. Moreover, investors generally fail to identify attractively priced options. The results suggest that the …

Persistent link: https://www.econbiz.de/10003973343

A quantitative mirror on the Euribor market using implied probability density functions

Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010

the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete … history of Euribor futures options, thus comprising over ten years of daily data, from 13 January 1999 onwards. Time series of … contribute to monetary policy and financial stability analysis. - Financial market ; probability density functions ; options …

Persistent link: https://www.econbiz.de/10008901645

Do financial investors destabilize the oil price?

Lombardi, Marco; Van Robays, Ine - 2011

In this paper, we assess whether and to what extent financial activity in the oil futures markets has contributed to destabilize oil prices in recent years. We define a destabilizing financial shock as a shift in oil prices that is not related to current and expected fundamentals, and thereby...

Persistent link: https://www.econbiz.de/10009160021

Evaluating market risk from leveraged derivative exposures

Jukonis, Audrius - 2022

Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...

Persistent link: https://www.econbiz.de/10013367613

Volatility of interest rates in the euro area

Cassola, Nuno; Morana, Claudio - 2003

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both long-memory and stationary cyclical dynamics. Using...

Persistent link: https://www.econbiz.de/10009635972

Risk sharing through financial markets with endogenous enforcement of trades

Köppl, Thorsten V. - 2004

When people share risk in financial markets, intermediaries provide costly enforcement for most trades and, hence, are an integral part of financial marketsu0092 organization. We assess the degree of risk sharing that can be achieved through financial markets when enforcement is based on the...

Persistent link: https://www.econbiz.de/10009636542

Detecting and interpreting financial stress in the euro area

Grimaldi, Marianna - 2010

There is a need to find better models and indicators for large disruptive events, not least in order to be more prepared and mitigate their effects. In this paper we take a step in this direction and discuss the performance of a financial stress indicator with a specific focus on the euro area....

Persistent link: https://www.econbiz.de/10003983636

Risk and return in international corporate bond markets

Bekaert, Geert; De Santis, Roberto A. - 2020

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity, sovereign and corporate bonds. However, from a factor...

Persistent link: https://www.econbiz.de/10012259354

Institutional presence in secondary bank bond markets : how does it affect liquidity and volatility?

Oprică, Silviu; Weistroffer, Christian P. - 2019

Using newly available information on euro area sectoral holdings of securities, this paper investigates to what extent the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non-bank financial intermediaries, in particular money...

Persistent link: https://www.econbiz.de/10012009073

Disentangling the role of the exchange rate in oil-related scenarios for the European stock market

Ojea Ferreiro, Javier - 2019

Until now, stock market responses to a distress scenario for oil prices have been analysed considering prices in domestic currency. This assumption implies merging the commodity risk with the exchange rate risk when oil and stocks are traded in different currencies. This article proposes...

Persistent link: https://www.econbiz.de/10012034482