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The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation adjustment (CVA) might become increasingly difficult should the long-standing correlation between singlename and index CDS products break down. So, we provide an estimation of the...
Persistent link: https://www.econbiz.de/10012970402
The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid, the implied adjustments in capital charges could be...
Persistent link: https://www.econbiz.de/10012944310
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...
Persistent link: https://www.econbiz.de/10010410031
Different theoretical and numerical methods for calculating the fair-value of a variance swap give rise to systematic … observed on fair-value index variance swap rates during the banking crisis in 2008, depending on the formula used and its … swap rates. The exchange's variance swap rate formula, used to quote volatility indices such as VIX, has an upward bias …
Persistent link: https://www.econbiz.de/10013124412
This paper invesitigates the influence of various fundamental variables on a cross-section of credit default swap …
Persistent link: https://www.econbiz.de/10005843402
measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyze … the relationship between the swap spreads and credit risk variables.(...) …
Persistent link: https://www.econbiz.de/10005846834
The 30-year U.S. swap spreads have been negative since September 2008. We offer a novel explanation for this persistent …. Combined with dealer banks' balance sheet constraints, this demand can drive swap spreads to become negative. Empirically, we … explanatory variable of 30-year swap spreads. We find a similar link between pension funds' underfunding and swap spreads for two …
Persistent link: https://www.econbiz.de/10012927397
We explore the dynamics of the adjusted swap spread (calculated as the difference between the swap rate and sovereign … yields over the credit default swap premium) in the Eurozone market by studying three markets simultaneously: 1) sovereign … bonds, 2) credit default swaps (CDS), and 3) swap rates. We find a strong relationship between the markets. Specifically …
Persistent link: https://www.econbiz.de/10012824253
Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and...
Persistent link: https://www.econbiz.de/10010326212
Persistent link: https://www.econbiz.de/10009724823