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Assessing the compensation for volatility risk implicit in interest rate derivatives

Fornari, Fabio (contributor) - 2008

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

Persistent link: https://www.econbiz.de/10003636292

The anatomy of the euro area interest rate swap market

Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019

comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing … capital and liquidity ratios, the leverage ratio plays a key role in determining a bank's IRS trading activity. 5) Also, after … mandatory central clearing, there is still a large dispersion in IRS transaction prices, which is partly determined by bank …

Persistent link: https://www.econbiz.de/10011975602

Bank private information in CDS markets

Bilan, Andrada; Ongena, Steven; Pancaro, Cosimo - 2023

Can banks trade credit default swaps (CDSs) referenced on their current corporate clients at competitive prices, or are banks penalized for potentially holding private information? To answer this question we merge CDS trades reported under the European Market Infrastructure Regulation (EMIR)...

Persistent link: https://www.econbiz.de/10014315233

Risk-sharing or risk-taking? : counterparty risk, incentives and margins

Biais, Bruno; Heider, Florian; Hoerova, Marie - 2012

Persistent link: https://www.econbiz.de/10009765248

How has CDO market pricing changed during the turmoil? : evidence from CDS index tranches

Scheicher, Martin (contributor) - 2008

This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...

Persistent link: https://www.econbiz.de/10003782657

The term structure of risk premia : new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...