Similar Search Results

Pay attention or pay extra : evidence on the compensation of investors for the implicit credit risk of structured products

Arnold, Marc; Schuette, Dustin; Wagner, Alexander F. - 2014

We investigate the compensation of counterparty exposure in the prices of structured products. Our analysis reveals that product issuers do not compensate retail investors for counterparty exposure before the Lehman default. Post-Lehman, retail prices no longer neglect this risk. We also measure...

Persistent link: https://www.econbiz.de/10010410201

Modeling tick-by-tick realized correlations

Audrino, Francesco; Corsi, Fulvio - 2008

Persistent link: https://www.econbiz.de/10003903352

Pricing and hedging mandatory convertible bonds

Ammann, Manuel (contributor); Seiz, Ralf (contributor) - 2006

Persistent link: https://www.econbiz.de/10003376056

Ambiguity aversion and the term structure of interest rates

Gagliardini, Patrick (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003674261

Something in the air: information density, news surprises, and price jumps

Füss, Roland; Grabellus, Markus; Mager, Ferdinand; … - 2015

This paper introduces a new information density indicator to provide a more comprehensive understanding of price … reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which …

Persistent link: https://www.econbiz.de/10011344170