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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …
Persistent link: https://www.econbiz.de/10011605102
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Hedging costs and joint determinants of premiums and spreads in structured financial products
Entrop, Oliver; Fischer, Georg - 2019
This paper is the first to analyze the joint determinants of premiums and spreads in structured financial products, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an intraday basis in the German secondary market. We find that...
Persistent link: https://www.econbiz.de/10011961047
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Pricing risky bank loans in the new Basel II environment
Hasan, Iftekhar; Zazzara, Cristiano - 2006
Recently, banking literature has had a quest for appropriate pricing of bank loans under the new Basel II rules and has …
Persistent link: https://www.econbiz.de/10012147959
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Market Liquidity Risk - An Overview
Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009
Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...
Persistent link: https://www.econbiz.de/10005870300
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Credit gap risk in a first passage time model with jumps
Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - Centre for Practical Quantitative Finance <Frankfurt, Main> - 2009
The payoff of many credit derivatives depends on the level of credit spreads. Inparticular, credit derivatives with a leverage component are subject to gap risk, a riskassociated with the occurrence of jumps in the underlying credit default swaps. Inthe framework of first passage time models, we...
Persistent link: https://www.econbiz.de/10008695276
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Firm Migration and Stock Returns
Puopolo, Giovanni W. - Finrisk - 2009
This paper studies the asset pricing implications of a general equi-librium model in which real investment is …
Persistent link: https://www.econbiz.de/10009022140
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Asset Pricing with Matrix Jump Diffusions
Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …
Persistent link: https://www.econbiz.de/10009248844
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Price Impact and Portfolio Impact
Cvitanić, Jakša; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2010
We study survival, price impact and portfolio impact in heterogeneouseconomies. We show that, under the equilibrium risk-neutral measure,long-run price impact is in fact equivalent to survival, whereas longrunportfolio impact is equivalent to survival under an agent-specic,wealth-forward...
Persistent link: https://www.econbiz.de/10009305110
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Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. We find that one can...
Persistent link: https://www.econbiz.de/10009305112
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Three Solutions to the Pricing Kernel Puzzle
Hens, Thorsten; Reichlin, Christian - Swiss National Centre of Competence in Research North … - 2010
The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …
Persistent link: https://www.econbiz.de/10009305117